发布求助
文献互助 智能选刊 最新文献

Journal of Economic Dynamics & Control最新文献

筛选
英文 中文
DSGE Nash: Solving Nash games in macro models DSGE纳什：在宏观模型中解决纳什博弈
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-07-14 DOI: 10.1016/j.jedc.2025.105143
Massimo Ferrari Minesso , Maria Sole Pagliari
{"title":"DSGE Nash: Solving Nash games in macro models","authors":"Massimo Ferrari Minesso ,&nbsp;Maria Sole Pagliari","doi":"10.1016/j.jedc.2025.105143","DOIUrl":"10.1016/j.jedc.2025.105143","url":null,"abstract":"<div><div>This paper presents <span>DSGE Nash</span>, a toolkit to solve for pure strategy Nash equilibria of global games in macro models. Nash equilibria are computed with a decentralized approach: each player controls only its own policy function while other agents in the economy act independently. Although primarily designed to solve for Nash equilibria in DSGE models, the toolkit encompasses a broad range of settings, including the possibility of matching empirical data. Importantly, it allows to solve for the equilibrium in the presence of non-linearities or conditionally on shocks. When only one player is selected, the problem is re-framed as a standard optimal policy problem. We apply the algorithm to a standard two-country open-economy model, where central banks compete for rate setting. In the Nash equilibrium, central banks symmetrically trade-off inflation for output stabilization, in the presence of a zero lower bound constraint, the equilibrium becomes asymmetric: the central bank in the shock-originating economy implements a tighter policy, to reduce the zero lower bound duration, while the central bank in the other country opts for a more lenient rate setting strategy.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"178 ","pages":"Article 105143"},"PeriodicalIF":1.9,"publicationDate":"2025-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144633864","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
Mismatch unemployment during COVID-19 and the post-pandemic labor shortages COVID-19期间的不匹配失业和大流行后的劳动力短缺
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-07-11 DOI: 10.1016/j.jedc.2025.105142
Serdar Birinci , Yusuf Mercan , Kurt See
{"title":"Mismatch unemployment during COVID-19 and the post-pandemic labor shortages","authors":"Serdar Birinci ,&nbsp;Yusuf Mercan ,&nbsp;Kurt See","doi":"10.1016/j.jedc.2025.105142","DOIUrl":"10.1016/j.jedc.2025.105142","url":null,"abstract":"<div><div>We examine the extent to which mismatch unemployment—employment losses relative to an efficient allocation where the planner can costlessly reallocate unemployed workers across sectors to maximize output—shaped labor market dynamics during the COVID-19 pandemic and the subsequent recovery episode characterized by labor shortages. We find that, for the first time in our sample, mismatch unemployment turned negative at the onset of the pandemic. This result suggests that the efficient allocation of job seekers would involve reallocating workers toward longer-tenure and more-productive jobs, even at the expense of fewer hires. We show that sectoral differences in job separations were the main driver behind this result, while differences in vacancies caused positive mismatch unemployment during the recovery episode. We also establish an empirical link between mismatch unemployment and the surge in the labor cost during the recovery, documenting that sectors with larger mismatch unemployment experienced higher employment cost growth.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"178 ","pages":"Article 105142"},"PeriodicalIF":1.9,"publicationDate":"2025-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144632802","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 demographic transition and stagnation in countries vulnerable to climate change 易受气候变化影响国家的人口转型和停滞
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-07-08 DOI: 10.1016/j.jedc.2025.105141
Nguyen Thang Dao , Chrysovalantis Vasilakis
{"title":"The demographic transition and stagnation in countries vulnerable to climate change","authors":"Nguyen Thang Dao ,&nbsp;Chrysovalantis Vasilakis","doi":"10.1016/j.jedc.2025.105141","DOIUrl":"10.1016/j.jedc.2025.105141","url":null,"abstract":"<div><div>Climate change, environmental degradation, and high population growth can trap Sub-Saharan Africa in prolonged economic stagnation. We develop a novel theoretical framework showing how climate-induced resource depletion increases women's time spent collecting essentials like water and firewood, reducing investment in girls' education. This perpetuates gender inequality in education and income, slowing fertility decline and reinforcing population growth. A larger population further degrades resources, creating a feedback loop of stagnation. Empirical analysis of 44 African countries (1960 - 2017) supports these findings, revealing adverse climate effects on local resources and education gaps. Addressing these interconnected challenges is critical to breaking the stagnation cycle and fostering sustainable development.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"178 ","pages":"Article 105141"},"PeriodicalIF":1.9,"publicationDate":"2025-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144655942","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
Accounting for the multiple sources of inflation: An agent-based model investigation 考虑通货膨胀的多重来源：一个基于主体的模型研究
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-07-05 DOI: 10.1016/j.jedc.2025.105139
Leonardo Ciambezi , Mattia Guerini , Mauro Napoletano , Andrea Roventini
{"title":"Accounting for the multiple sources of inflation: An agent-based model investigation","authors":"Leonardo Ciambezi ,&nbsp;Mattia Guerini ,&nbsp;Mauro Napoletano ,&nbsp;Andrea Roventini","doi":"10.1016/j.jedc.2025.105139","DOIUrl":"10.1016/j.jedc.2025.105139","url":null,"abstract":"<div><div>We develop a macroeconomic agent-based model to study the role of demand and supply factors in determining inflation dynamics. Local interactions of heterogeneous firms and households in the labor and goods markets characterize the model. Asymmetric information implies that firm selection is imperfect and depends both on firms' relative prices and on their size. We calibrate the model on EU data by using the method of simulated moments and show that it can generate realistic inflation dynamics and a non-linear Phillips curve in line with recent empirical evidence. We then find that the traditional demand-led explanation of inflation stemming from a tight labor market only holds when selection in the goods markets is mostly driven by relative prices in comparison to firm size. Finally, we study the response of inflation to shocks impacting consumption, labor productivity, or energy costs. The results indicate that only demand shocks lead to wage-led inflation surges. Productivity shocks are entirely passed through to prices without affecting the income distribution. Energy shocks, instead, induce sellers' inflation after changes in both firms' cost structure and profit margins. This is in line with the recent empirical evidence for the Euro Area.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"178 ","pages":"Article 105139"},"PeriodicalIF":1.9,"publicationDate":"2025-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144655943","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
Optimal N-state endogenous Markov-switching model for currency liquidity timing 货币流动性时机的最优n状态内生马尔可夫切换模型
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-06-27 DOI: 10.1016/j.jedc.2025.105137
Luqi Wang, Giovanni Urga
{"title":"Optimal N-state endogenous Markov-switching model for currency liquidity timing","authors":"Luqi Wang,&nbsp;Giovanni Urga","doi":"10.1016/j.jedc.2025.105137","DOIUrl":"10.1016/j.jedc.2025.105137","url":null,"abstract":"<div><div>In this paper, we examine whether globally-diversified funds' actively adjust their currency exposure in response to systematic currency liquidity movements, a behavior we term <em>currency liquidity timing</em>. A novel currency-liquidity-timing model embedded with an <em>N</em>-state endogenous Markov-switching mechanism is proposed to capture the dynamics in funds' timing behavior, as well as the external and internal drivers influencing such dynamics. Using a sample of 382 international fixed income mutual funds from July 2001 to December 2020, we find evidence of currency liquidity timing at the aggregate level for the sample funds. Interestingly, funds' currency-liquidity-timing behavior exhibits a state-switching pattern across different market periods: funds on average engage in perverse currency liquidity timing during tranquil market periods, but in positive currency liquidity timing with a stronger degree of aggressivity during more turbulent market periods. Our results suggest that the state transitions in funds' currency-liquidity-timing behavior are driven by deteriorating external currency market liquidity conditions and negative shocks to internal fund returns.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"177 ","pages":"Article 105137"},"PeriodicalIF":1.9,"publicationDate":"2025-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144518869","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
Fear (no more) of floating: Asset purchases and exchange rate dynamics 担心（不再）浮动：资产购买和汇率动态
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-06-27 DOI: 10.1016/j.jedc.2025.105136
Yasin Mimir , Enes Sunel
{"title":"Fear (no more) of floating: Asset purchases and exchange rate dynamics","authors":"Yasin Mimir ,&nbsp;Enes Sunel","doi":"10.1016/j.jedc.2025.105136","DOIUrl":"10.1016/j.jedc.2025.105136","url":null,"abstract":"<div><div>We provide a theory on currency dynamics, capital flows and conditions for emerging-market economy central bank asset purchases to leave room for maneuver for conventional monetary policy. Local-currency asset purchases ease financial conditions and boost banks' foreign borrowing capacity. Therefore, they curb the financial amplification of government bond sell-off shocks by mitigating private sector capital outflows and the accompanying exchange rate depreciation. The resulting limited rise in inflation reduces the pro-cyclicality of conventional monetary policy. Our framework sheds light on stable exchange rate dynamics observed after the unprecedented asset purchase announcements in emerging-market economies during the COVID-19 crisis.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"177 ","pages":"Article 105136"},"PeriodicalIF":1.9,"publicationDate":"2025-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144518868","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
What are the macroeconomic effects of state-dependent forward guidance? 依赖政府的前瞻指引对宏观经济的影响是什么？
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-06-25 DOI: 10.1016/j.jedc.2025.105138
Martin Weale , Tomasz Wieladek
{"title":"What are the macroeconomic effects of state-dependent forward guidance?","authors":"Martin Weale ,&nbsp;Tomasz Wieladek","doi":"10.1016/j.jedc.2025.105138","DOIUrl":"10.1016/j.jedc.2025.105138","url":null,"abstract":"<div><div>We examine the macroeconomic effects of the Bank of England (BoE)’s state-dependent forward guidance (SDFG). The policy’s timing permits separate identification of SDFG from QE, which is difficult in the EA and US because these policies were announced jointly. A New Keynesian model shows that SDFG reduces uncertainty about the future policy rate. We use this prediction and the timing of the BoE’s SDFG, to identify SDFG shocks with a narrative sign restriction BVAR approach. Output and prices rise in response to SDFG, despite no econometric restrictions on these variables. The effects are small and consistent with the NK model. We find that changes in expectations play a greater role in transmitting SDFG to the economy than lower retail interest rates.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"178 ","pages":"Article 105138"},"PeriodicalIF":1.9,"publicationDate":"2025-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144656099","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
Decentralised finance and automated market making: Execution and speculation 去中心化金融和自动化做市：执行和投机
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-06-23 DOI: 10.1016/j.jedc.2025.105134
Álvaro Cartea , Fayçal Drissi , Marcello Monga
{"title":"Decentralised finance and automated market making: Execution and speculation","authors":"Álvaro Cartea ,&nbsp;Fayçal Drissi ,&nbsp;Marcello Monga","doi":"10.1016/j.jedc.2025.105134","DOIUrl":"10.1016/j.jedc.2025.105134","url":null,"abstract":"<div><div>Automated market makers (AMMs) are a new prototype of decentralised exchanges which are revolutionising market interactions. The majority of AMMs are constant product markets (CPMs) where exchange rates are set by a trading function. This work studies optimal trading and statistical arbitrage in CPMs where balancing exchange rate risk and execution costs is key. Empirical evidence shows that execution costs are accurately estimated by the convexity of the trading function. These convexity costs are linear in the trade size and are nonlinear in the depth of liquidity and in the exchange rate. We develop models for when exchange rates form in a competing centralised exchange, in a CPM, or in both venues. Finally, we derive computationally efficient strategies that account for stochastic convexity costs and we showcase their out-of-sample performance.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"177 ","pages":"Article 105134"},"PeriodicalIF":1.9,"publicationDate":"2025-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144491428","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
Expectation formation in financial markets: Heterogeneity and sentiment 金融市场的预期形成：异质性与情绪
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-06-23 DOI: 10.1016/j.jedc.2025.105133
Bart Frijns , Thanh Huynh , Remco C.J. Zwinkels
{"title":"Expectation formation in financial markets: Heterogeneity and sentiment","authors":"Bart Frijns ,&nbsp;Thanh Huynh ,&nbsp;Remco C.J. Zwinkels","doi":"10.1016/j.jedc.2025.105133","DOIUrl":"10.1016/j.jedc.2025.105133","url":null,"abstract":"<div><div>We set up an endowment based asset pricing model in which agents have heterogeneous expectations about future price levels. Expectations are a function of fundamentals or trends, both interacted with sentiment. Agents are able to switch between expectation formation functions based on past performance combined with sentiment. Estimation results on the S&amp;P500 index as well as its constituents reveal that there is heterogeneity between agents, with substantial switching between groups. We find that sentiment has both a direct and an indirect effect on expectations. Specifically, heterogeneity between groups is increasing in sentiment, and higher sentiment reduces the frequency of switching between functions. Our results imply that the true expectation formation process is a dynamic process based on multiple information sources.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"177 ","pages":"Article 105133"},"PeriodicalIF":1.9,"publicationDate":"2025-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144491427","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
Oil price shocks and US business cycles 油价冲击与美国商业周期
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-06-19 DOI: 10.1016/j.jedc.2025.105132
Irfan A. Qureshi , Ghufran Ahmad
{"title":"Oil price shocks and US business cycles","authors":"Irfan A. Qureshi ,&nbsp;Ghufran Ahmad","doi":"10.1016/j.jedc.2025.105132","DOIUrl":"10.1016/j.jedc.2025.105132","url":null,"abstract":"<div><div>This paper investigates the macroeconomic effects of oil price shocks on the US economy, focusing on how changes in oil supply expectations impact key indicators. We introduce an instrument to identify these shocks by isolating exogenous fluctuations in daily crude oil futures linked to catastrophic events in major oil-producing countries. These events arise independently of short-term market dynamics, minimizing reverse causality concerns. The shock disrupts oil operations, reduces economic activity, and increases unemployment and inflation, highlighting the role of oil prices in driving business cycles. Comprehensive robustness checks and analysis of other major economies reinforce the validity of our findings.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"177 ","pages":"Article 105132"},"PeriodicalIF":1.9,"publicationDate":"2025-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144330664","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
下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信