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Review of Economic Dynamics最新文献

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Filtering economic time series: On the cyclical properties of Hamilton's regression filter and the Hodrick-Prescott filter 过滤经济时间序列：论汉密尔顿回归滤波器和霍德里克-普雷斯科特滤波器的周期特性
IF 2.3 3区 经济学
Review of Economic Dynamics Pub Date : 2024-10-01 Epub Date: 2024-07-22 DOI: 10.1016/j.red.2024.101237
Yves S. Schüler
{"title":"Filtering economic time series: On the cyclical properties of Hamilton's regression filter and the Hodrick-Prescott filter","authors":"Yves S. Schüler","doi":"10.1016/j.red.2024.101237","DOIUrl":"10.1016/j.red.2024.101237","url":null,"abstract":"<div><p>The Hamilton (H) filter is proposed as an alternative to the Hodrick-Prescott (HP) filter. It is designed to meet all of the objectives desired by users of the HP filter while avoiding its drawbacks (spurious dynamics, ad hoc filter settings, end-of-sample bias). I document a trade-off that has been overlooked: Addressing the HP filter's drawbacks means that the H filter cannot fulfill all of the desired objectives. It modifies different frequencies captured in an estimated cyclical component by inducing phase shifts and by likely altering variances. Typically, these modifications vary across time series. Through both simulation and real data exercises, I illustrate each filter's cyclical properties.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"54 ","pages":"Article 101237"},"PeriodicalIF":2.3,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1094202524000267/pdfft?md5=9bcd77d0b199515ef070e50ded87d1d0&pid=1-s2.0-S1094202524000267-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141846974","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Shocks to inflation expectations 对通货膨胀预期的冲击
IF 2.3 3区 经济学
Review of Economic Dynamics Pub Date : 2024-10-01 Epub Date: 2024-06-19 DOI: 10.1016/j.red.2024.101234
Jonathan J. Adams , Philip Barrett
{"title":"Shocks to inflation expectations","authors":"Jonathan J. Adams ,&nbsp;Philip Barrett","doi":"10.1016/j.red.2024.101234","DOIUrl":"https://doi.org/10.1016/j.red.2024.101234","url":null,"abstract":"<div><p>The consensus among central bankers is that higher inflation expectations can drive up actual inflation. We assess this by devising a novel method for identifying shocks to inflation expectations, estimating a semi-structural VAR where an expectation shock is identified as that which causes measured forecasts to diverge from the rational expectation. Surprisingly, using data for the United States we find that a positive inflation expectation shock is contractionary and deflationary: output, inflation, and interest rates all fall. These results are inconsistent with the standard New Keynesian model, which predicts inflation and interest rate hikes.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"54 ","pages":"Article 101234"},"PeriodicalIF":2.3,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141483410","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A unified approach to determinacy conditions with regime switching 制度转换的确定性条件的统一方法
IF 2.3 3区 经济学
Review of Economic Dynamics Pub Date : 2024-10-01 Epub Date: 2024-08-10 DOI: 10.1016/j.red.2024.101240
Jean Barthélemy , Seonghoon Cho , Magali Marx
{"title":"A unified approach to determinacy conditions with regime switching","authors":"Jean Barthélemy ,&nbsp;Seonghoon Cho ,&nbsp;Magali Marx","doi":"10.1016/j.red.2024.101240","DOIUrl":"10.1016/j.red.2024.101240","url":null,"abstract":"<div><p>The conditions that ensure the existence of a unique stable equilibrium — determinacy conditions — for rational expectations models with Markov switching depend on the stability concept, contrasting with standard linear rational expectations models. In this paper, we offer a unified framework for the two commonly used stability concepts: boundedness and mean-square stability. We derive determinacy conditions for both concepts based on simple metrics. Qualitatively, we show that mean-square stable solutions are always at least as many as bounded solutions. We then apply and discuss our results in two monetary models.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"54 ","pages":"Article 101240"},"PeriodicalIF":2.3,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142006370","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Public wages, public employment, and business cycle volatility: Evidence from U.S. metro areas 公共工资、公共就业和商业周期波动：来自美国大都市地区的证据
IF 2 3区 经济学
Review of Economic Dynamics Pub Date : 2024-10-01 Epub Date: 2024-05-21 DOI: 10.1016/j.red.2024.05.001
Claire A. Boeing-Reicher, Vincenzo Caponi
{"title":"Public wages, public employment, and business cycle volatility: Evidence from U.S. metro areas","authors":"Claire A. Boeing-Reicher,&nbsp;Vincenzo Caponi","doi":"10.1016/j.red.2024.05.001","DOIUrl":"10.1016/j.red.2024.05.001","url":null,"abstract":"<div><p>We revisit the question about whether a larger public sector stabilizes or destabilizes the economy. Based on results from two causal identification approaches, we show that a higher rate of public-sector employment reduces volatility in, i.e. stabilizes, private-sector employment growth, with at most a slight crowding-out of private employment. Public wages, meanwhile, increase private wages but appear not to be destabilizing. The stabilizing effect of public employment with limited crowding out is at odds with standard search and matching models that contain a public sector, which predict 1:1 crowding out and strong destabilization. To improve the performance of such models, we follow <span>Gomes (2015)</span> and add a product market that can replicate what Gomes calls the Business Cycle Wealth Effect. We also point out that the government procures output directly from the private sector. When the model has these two features, then it can generate stabilizing effects of public employment on private employment, with reduced crowding out.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"54 ","pages":"Article 101232"},"PeriodicalIF":2.0,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1094202524000152/pdfft?md5=663061ba25eaa8eb1e35fc5b7b7b7c17&pid=1-s2.0-S1094202524000152-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141196027","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Immigration, legal status and fiscal impact 移民、法律地位和财政影响
IF 2.3 3区 经济学
Review of Economic Dynamics Pub Date : 2024-10-01 Epub Date: 2024-07-26 DOI: 10.1016/j.red.2024.101238
Andri Chassamboulli , Xiangbo Liu
{"title":"Immigration, legal status and fiscal impact","authors":"Andri Chassamboulli ,&nbsp;Xiangbo Liu","doi":"10.1016/j.red.2024.101238","DOIUrl":"10.1016/j.red.2024.101238","url":null,"abstract":"<div><p>We develop a general equilibrium model with search frictions in the labor market, wage bargaining and a welfare state, to study the impact of immigrants on the fiscal balance and welfare of natives in the host country. We distinguish immigrants by legal status and account for both their direct fiscal effects, through their tax contributions and transfer receipts, and their indirect fiscal and welfare effects, through their labor-market impact. We calibrate the model to the U.S. economy and find that legal immigrants reduce the tax burden on natives and increase natives' welfare, mainly because their tax contributions greatly exceed the transfers they receive. On the other hand, illegal immigrants' positive welfare impact stems mainly from their positive effect on job creation, which increases income to natives and in turn consumption. A legalization program leads to a fiscal gain, increases natives' welfare and is more beneficial to natives than a purely restrictive immigration policy that reduces the illegal immigrant population.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"54 ","pages":"Article 101238"},"PeriodicalIF":2.3,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141840909","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Coordinating in financial crises 金融危机中的协调
IF 2.3 3区 经济学
Review of Economic Dynamics Pub Date : 2024-10-01 Epub Date: 2024-07-15 DOI: 10.1016/j.red.2024.101236
Caio Machado
{"title":"Coordinating in financial crises","authors":"Caio Machado","doi":"10.1016/j.red.2024.101236","DOIUrl":"10.1016/j.red.2024.101236","url":null,"abstract":"<div><p>Why do some financial crises lead to macroeconomic disasters, while others barely affect the real economy? This paper proposes a model to study unusually deep financial crises. Deep crises arise from the interplay of demand-driven coordination failures on the productive sector and weak banks' balance sheets. There is a dynamic feedback between banks' balance sheets and coordination. Coordination failures happen when banks suffer large losses and substantially reduce asset prices and welfare, even if the economy is in good times and they rarely happen. Financial crises that start from similar initial shocks can feature very heterogeneous real effects.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"54 ","pages":"Article 101236"},"PeriodicalIF":2.3,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141699096","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The macroeconomics of hedging income shares 对冲收入份额的宏观经济学
IF 2.3 3区 经济学
Review of Economic Dynamics Pub Date : 2024-10-01 Epub Date: 2024-07-11 DOI: 10.1016/j.red.2024.101235
Adriana Grasso , Juan Passadore , Facundo Piguillem
{"title":"The macroeconomics of hedging income shares","authors":"Adriana Grasso ,&nbsp;Juan Passadore ,&nbsp;Facundo Piguillem","doi":"10.1016/j.red.2024.101235","DOIUrl":"10.1016/j.red.2024.101235","url":null,"abstract":"<div><p>The debate about the falling labor share has brought attention to the income-shares trends, but less attention has been devoted to their variability. We analyze how their fluctuations can be insured between workers and capitalists, and the corresponding implications for financial markets. We study a neoclassical growth model with aggregate shocks that affect income shares and financial frictions that prevent firms from fully insuring idiosyncratic risk. We examine theoretically how aggregate risk sharing is shaped by the combination of idiosyncratic risk and moving shares. In this setting, accumulation of safe assets by capitalists and risky assets by workers emerges naturally as a tool to insure income shares' risk. Then, in a quantitative exploration we show that low interest rates, rising capital shares, and accumulation of safe assets by firms and risky assets by households can be rationalized by persistent shocks to the labor share.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"54 ","pages":"Article 101235"},"PeriodicalIF":2.3,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141942610","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Information acquisition and price discrimination in dynamic, decentralized markets 动态分散市场中的信息获取和价格歧视
IF 2 3区 经济学
Review of Economic Dynamics Pub Date : 2024-07-01 Epub Date: 2024-01-22 DOI: 10.1016/j.red.2024.01.001
Michael Choi, Guillaume Rocheteau
{"title":"Information acquisition and price discrimination in dynamic, decentralized markets","authors":"Michael Choi,&nbsp;Guillaume Rocheteau","doi":"10.1016/j.red.2024.01.001","DOIUrl":"10.1016/j.red.2024.01.001","url":null,"abstract":"<div><p>We formalize a decentralized market where consumers with privately-known preferences meet bilaterally with firms. The latter acquire information to raise their degree of price discrimination from second to first. In a dynamic setting where outside options are endogenous, information choices are strategic complements, possibly generating multiple equilibria across which consumers' surpluses and firms' investment in information are negatively correlated. While there exists a sequence of equilibria converging to perfect competition when trading frictions vanish, there exist other equilibria that fail to approach perfect competition. Our findings are robust to firm heterogeneity, entry, noisy signals, and consumers' price-setting power.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"53 ","pages":"Pages 1-46"},"PeriodicalIF":2.0,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1094202524000012/pdfft?md5=bd525368fb9b4d82f7a70e1a8793c537&pid=1-s2.0-S1094202524000012-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139515739","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Socially optimal search intensity in over-the-counter markets 场外交易市场的社会最优搜索强度
IF 2 3区 经济学
Review of Economic Dynamics Pub Date : 2024-07-01 Epub Date: 2024-05-10 DOI: 10.1016/j.red.2024.04.002
Shuo Liu
{"title":"Socially optimal search intensity in over-the-counter markets","authors":"Shuo Liu","doi":"10.1016/j.red.2024.04.002","DOIUrl":"https://doi.org/10.1016/j.red.2024.04.002","url":null,"abstract":"<div><p>This paper investigates the endogenous search intensity of traders in the OTC market, examining both competitive equilibrium and socially optimal scenario. Our study introduces a random search-and-matching model, where traders have the flexibility to <em>ex post</em> choose and adjust their search intensities based on two trader-level states: asset position and preference type. Our findings uncover the following key insights: (1) Changes in the level of search friction and/or the frequency of shocks on traders' preference type may lead to traders switching between high and low search intensities, shifting between the core and periphery of the trading network; and (2) Social optimality is achieved in the absence of intermediation, where no trader simultaneously invests in positive buying intensity and positive selling intensity. In contrast, competitive equilibrium reveals that some traders tend to over-search while others under-search, compared to the socially optimal outcome.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"53 ","pages":"Pages 224-282"},"PeriodicalIF":2.0,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1094202524000127/pdfft?md5=e32c344f6fa0b4b66ce2ca70c47b45e8&pid=1-s2.0-S1094202524000127-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140948759","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Training and search on the job 在职培训和搜索
IF 2 3区 经济学
Review of Economic Dynamics Pub Date : 2024-07-01 Epub Date: 2024-02-15 DOI: 10.1016/j.red.2024.02.002
Rasmus Lentz , Nicolas Roys
{"title":"Training and search on the job","authors":"Rasmus Lentz ,&nbsp;Nicolas Roys","doi":"10.1016/j.red.2024.02.002","DOIUrl":"10.1016/j.red.2024.02.002","url":null,"abstract":"<div><p>The paper studies human capital accumulation over workers' careers in an on-the-job search setting with heterogeneous firms. In renegotiation-proof employment contracts, more productive firms provide more training. General and specific training both induce higher wages within jobs and with future employers, even conditional on the future employer type.</p><p>Because matches do not internalize the specific capital loss from employer changes, specific human capital can be over-accumulated, more so in low type firms. The analysis also establishes that general training can be efficient regardless of the level of labor market frictions.</p><p>We calibrate the model to the US economy using Compustat and NLSY79. While validating the <span>Acemoglu and Pischke (1999)</span> mechanisms, the analysis nevertheless arrives at the opposite conclusion: increased labor market friction reduces training in equilibrium.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"53 ","pages":"Pages 123-146"},"PeriodicalIF":2.0,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139926721","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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