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Dynamic network formation with farsighted players and limited capacities 有远见的参与者和有限能力的动态网络形成
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2026-04-01 Epub Date: 2026-02-03 DOI: 10.1016/j.jedc.2026.105285
Michel Grabisch , Elena Parilina , Agnieszka Rusinowska , Georges Zaccour
{"title":"Dynamic network formation with farsighted players and limited capacities","authors":"Michel Grabisch ,&nbsp;Elena Parilina ,&nbsp;Agnieszka Rusinowska ,&nbsp;Georges Zaccour","doi":"10.1016/j.jedc.2026.105285","DOIUrl":"10.1016/j.jedc.2026.105285","url":null,"abstract":"<div><div>We investigate a <em>T</em>-stage dynamic network formation game with linear-quadratic payoffs. Players interact through network which they create as a result of their actions. We study two versions of the dynamic game and provide the equilibrium analysis. First, we assume that players sequentially propose links to others with whom they want to connect and choose the levels of contribution for their links. The players have limited total contributions or capacities for forming links at every stage which can differ among players and over time. They cannot delete links, but the principle of natural elimination of links with no contribution is adopted. Next, we assume that the players simultaneously and independently propose links to other players and have overall limited capacities for the whole game, and not for each stage. This means that every player can redistribute the capacity not only over links, but also over time. The equilibrium concept for the first version of the dynamic game is subgame perfect equilibrium, while it is the Nash equilibrium in open-loop strategies for the second version. Both models are illustrated with numerical examples.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"185 ","pages":"Article 105285"},"PeriodicalIF":2.3,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146175298","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
Proximity to the 52-week high and the risk-return trade-off 接近52周高点和风险回报权衡
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2026-04-01 Epub Date: 2026-02-03 DOI: 10.1016/j.jedc.2026.105286
Xingyu Chen , Zilin Chen , Jun Tu , Liyao Wang , Luying Wang
{"title":"Proximity to the 52-week high and the risk-return trade-off","authors":"Xingyu Chen ,&nbsp;Zilin Chen ,&nbsp;Jun Tu ,&nbsp;Liyao Wang ,&nbsp;Luying Wang","doi":"10.1016/j.jedc.2026.105286","DOIUrl":"10.1016/j.jedc.2026.105286","url":null,"abstract":"<div><div>Traditional asset pricing theory suggests a positive risk-return relationship, while empirical studies often find a negative association between risk and expected returns. In this paper, we uncover a unique pattern: a negative risk-return relationship among stocks far from their 52-week high prices and a positive relationship among stocks close to their 52-week high prices. We propose that this cross-sectional heterogeneity arises because investors evaluate stocks relative to the 52-week high, becoming risk-seeking when prices are far below this benchmark and risk-averse when prices are near it. We explore various potential explanations for this phenomenon but find no empirical support. Overall, our findings introduce a novel psychological perspective for understanding the risk-return trade-off.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"185 ","pages":"Article 105286"},"PeriodicalIF":2.3,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146175291","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
Redistribution, growth, and inequality: Insights from experimental dynamic public good games 再分配、增长和不平等：来自实验性动态公共利益游戏的见解
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2026-04-01 Epub Date: 2026-02-04 DOI: 10.1016/j.jedc.2026.105283
Edward Cartwright , Gergely Horvath , Friederike Mengel , Lian Xue
{"title":"Redistribution, growth, and inequality: Insights from experimental dynamic public good games","authors":"Edward Cartwright ,&nbsp;Gergely Horvath ,&nbsp;Friederike Mengel ,&nbsp;Lian Xue","doi":"10.1016/j.jedc.2026.105283","DOIUrl":"10.1016/j.jedc.2026.105283","url":null,"abstract":"<div><div>This paper investigates the interplay between income inequality, growth, and redistribution in a dynamic public good game. Redistribution, as expected, leads to lower inequality but it does not necessarily reduce growth. Especially in settings characterized by high initial inequality, a high tax rate can produce similar wealth levels as without taxation while reducing inequality. On average, we find that people tend to favor more redistribution over time, but there is substantial heterogeneity in this trend. We also find that individuals who are more favourable to redistribution contribute more to the public good.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"185 ","pages":"Article 105283"},"PeriodicalIF":2.3,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146175299","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
Hawkish or Dovish? Inferring intended monetary policy from the Fed’s dot plot 鹰派还是鸽派？从美联储的点阵图推断预期的货币政策
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2026-04-01 Epub Date: 2026-02-07 DOI: 10.1016/j.jedc.2026.105294
Manuel González-Astudillo , Rakeen Tanvir
{"title":"Hawkish or Dovish? Inferring intended monetary policy from the Fed’s dot plot","authors":"Manuel González-Astudillo ,&nbsp;Rakeen Tanvir","doi":"10.1016/j.jedc.2026.105294","DOIUrl":"10.1016/j.jedc.2026.105294","url":null,"abstract":"<div><div>We develop a forward-guidance Taylor rule with time-varying coefficients, estimated from the Federal Reserve’s Summary of Economic Projections (SEP) median forecasts of the federal funds rate, inflation, and unemployment between 2012 and 2025. Our model allows policy inertia, inflation responsiveness, and output sensitivity to evolve as stochastic processes, while accounting for the effective lower bound with a shadow-rate specification. The results show that the Fed’s intended policy after the pandemic became more persistent and markedly more responsive to inflation, particularly during the 2021–22 tightening cycle, while responsiveness to the output gap remained stable. Compared with constant-coefficient or non-inertial alternatives, our specification tracks SEP rate projections more accurately, especially at turning points, and the estimated coefficients help explain bond excess returns, indicating that markets interpret the evolving rule embedded in the dot plot. We conclude that the SEP functions as a dynamic communication device, signaling shifts in the Fed’s intended policy stance in real time.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"185 ","pages":"Article 105294"},"PeriodicalIF":2.3,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146175300","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
Solving and analyzing DSGE models in the frequency domain 在频域求解和分析DSGE模型
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2026-04-01 Epub Date: 2026-02-04 DOI: 10.1016/j.jedc.2026.105281
Alexander Meyer-Gohde
{"title":"Solving and analyzing DSGE models in the frequency domain","authors":"Alexander Meyer-Gohde","doi":"10.1016/j.jedc.2026.105281","DOIUrl":"10.1016/j.jedc.2026.105281","url":null,"abstract":"<div><div>I solve multivariate linear rational expectations models in the frequency domain using the generalized Schur decomposition, providing a numerical implementation suitable for standard DSGE estimation and analysis procedures. This approach generalizes the time domain restriction of autoregressive-moving average exogenous driving forces to arbitrary covariance stationary processes. Applied to the standard New Keynesian model, I find that a Bayesian analysis favors a single parameter log harmonic function of the lag operator over the usual AR(1) assumption as it generates hump shaped autocorrelation patterns more consistent with the data.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"185 ","pages":"Article 105281"},"PeriodicalIF":2.3,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146175195","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
Expropriations and cross-country heterogeneity in consumption volatility 消费波动的征收和跨国异质性
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2026-04-01 Epub Date: 2026-01-30 DOI: 10.1016/j.jedc.2026.105282
Yin Germaschewski, Jaroslav Horvath, Loris Rubini
{"title":"Expropriations and cross-country heterogeneity in consumption volatility","authors":"Yin Germaschewski,&nbsp;Jaroslav Horvath,&nbsp;Loris Rubini","doi":"10.1016/j.jedc.2026.105282","DOIUrl":"10.1016/j.jedc.2026.105282","url":null,"abstract":"<div><div>The relative volatility of consumption to output decreases with income per capita in the data. A workhorse small open economy real business cycle (RBC) model featuring financial frictions fails to produce this relationship. We can recover the negative relationship when introducing micro-founded expropriations to the RBC model and estimating it using Bayesian methods for over 50 countries. This is because an increase in expropriations reduces investment, freeing up resources for consumption, while moderately lowering output. These effects are amplified in poorer countries, where expropriations are more prevalent. Introducing expropriations can also account for the observed cross-country heterogeneity in consumption-related moments better than the RBC model, including the persistence and co-movement of consumption with output and investment.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"185 ","pages":"Article 105282"},"PeriodicalIF":2.3,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146175194","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
Liquidity trap and optimal monetary policy: Evaluations for U.S. monetary policy from 2020 to 2023 流动性陷阱与最优货币政策：对2020 - 2023年美国货币政策的评估
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2026-03-01 Epub Date: 2026-01-23 DOI: 10.1016/j.jedc.2026.105274
Kohei Hasui , Tomohiro Sugo , Yuki Teranishi
{"title":"Liquidity trap and optimal monetary policy: Evaluations for U.S. monetary policy from 2020 to 2023","authors":"Kohei Hasui ,&nbsp;Tomohiro Sugo ,&nbsp;Yuki Teranishi","doi":"10.1016/j.jedc.2026.105274","DOIUrl":"10.1016/j.jedc.2026.105274","url":null,"abstract":"<div><div>This paper shows that the recent Fed’s exit strategy reflects the conduct of optimal monetary policy in a liquidity trap. We use the conventional new Keynesian model for the U.S economy, incorporating recent inflation persistence. As observed in the Fed’s liftoff policy, optimal monetary policy shows inflation overshooting and prolonged zero interest rate policy under high inflation beyond the 2 percent target. With greater persistence of inflation, inflation overshooting becomes larger, yielding better consistency with the data. Our analysis also indicates the presence of a forward guidance puzzle in the Fed’s exit policy. Under optimal monetary policy, the discounted Euler equation successfully dampens forward guidance effects and better describes the output gap.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"184 ","pages":"Article 105274"},"PeriodicalIF":2.3,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146189292","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 allocation strategies in a discrete-time bandit problem 离散时间盗匪问题的最优分配策略
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2026-03-01 Epub Date: 2026-01-14 DOI: 10.1016/j.jedc.2026.105264
Audrey Hu , Liang Zou
{"title":"Optimal allocation strategies in a discrete-time bandit problem","authors":"Audrey Hu ,&nbsp;Liang Zou","doi":"10.1016/j.jedc.2026.105264","DOIUrl":"10.1016/j.jedc.2026.105264","url":null,"abstract":"<div><div>We study a discrete-time, two-armed “breakthrough” bandit in which an agent allocates a perfectly divisible resource each period between a safe arm and a risky arm. Departing from the binary “either–or” paradigm, we consider continuous allocation strategies and a general success technology <em>F</em> with nonincreasing hazard rate. Using a variational, pathwise approach combined with dynamic programming, we characterize the unique <em>optimal belief–allocation path</em> via a time-invariant backward/forward transformation. The optimal path features interior, tapering allocations that never stop prior to a breakthrough, and it delivers a strictly higher eventual success probability and expected payoff than the optimal binary (bang-bang) benchmark. In the exponential case, the mappings become explicit, making computation immediate and revealing a Goldilocks principle: total planned allocations to exploration is maximized at intermediate task difficulty. The framework highlights comparative dynamics—how entire optimal paths shift with primitives—while remaining robust to the functional form of <em>F</em>.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"184 ","pages":"Article 105264"},"PeriodicalIF":2.3,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146080126","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 insurance with information asymmetry: Nonlinear and linear pricing 信息不对称的最优保险：非线性和线性定价
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2026-03-01 Epub Date: 2026-01-22 DOI: 10.1016/j.jedc.2026.105265
Xia Han , Bin Li , Yao Luo
{"title":"Optimal insurance with information asymmetry: Nonlinear and linear pricing","authors":"Xia Han ,&nbsp;Bin Li ,&nbsp;Yao Luo","doi":"10.1016/j.jedc.2026.105265","DOIUrl":"10.1016/j.jedc.2026.105265","url":null,"abstract":"<div><div>We propose a new framework for studying optimal insurance under information asymmetry within the Stackelberg game framework. In this setting, a monopolistic insurer faces uncertainty regarding a customer’s loss distribution or risk attitude. The customer is assumed to follow a mean-variance preference in continuous time, while the insurer sets premiums through a risk loading based on the expected loss. An optimal menu is explicitly derived for a general class of aggregate loss models.</div><div>Our approach connects with the extensive literature on optimal insurance demand, stemming from the seminal work of Arrow (1963), and leads to an interesting finding: a nonlinear pricing structure for risk-type uncertainty versus a linear pricing structure for risk-attitude uncertainty. Specifically, if an insurer is uncertain about a customer’s risk type and seeks to elicit this information, the risk loading (premium minus expected loss) is set lower for high-risk individuals to encourage them to select the corresponding contract. In contrast, if the insurer is only uncertain about the customer’s risk attitude, no such discounts—in terms of risk loading—are provided. This reveals that information about customers’ risk types is more valuable than information about their risk attitudes. Additionally, we compare our optimal menu with the worst-case contract derived from the maxmin expected utility, we find that our optimal menu increases the insurer’s expected profit and enhances the likelihood of trading.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"184 ","pages":"Article 105265"},"PeriodicalIF":2.3,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146039644","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
Welfare measurements with heterogeneous agents 异质试剂的福利测量
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2026-03-01 Epub Date: 2026-01-07 DOI: 10.1016/j.jedc.2025.105252
Marek Weretka , Marcin Dec
{"title":"Welfare measurements with heterogeneous agents","authors":"Marek Weretka ,&nbsp;Marcin Dec","doi":"10.1016/j.jedc.2025.105252","DOIUrl":"10.1016/j.jedc.2025.105252","url":null,"abstract":"<div><div>The canonical infinite-horizon framework with heterogeneous consumers, commonly used in macroeconomic and financial literature, lacks a preference-based index that consistently quantifies the welfare impacts of economic policies. In particular, the classic money-metric indices, such as equivalent and compensating variations, are not additive across sets of policies, and predictions may depend on the assumed <em>status quo</em> or the order in which alternatives are implemented. This paper offers a positive result. We show that, for arbitrary heterogeneous von Neumann-Morgenstern preferences with a common discount factor, the equivalent (or compensating) variation is nearly additive and aggregates effectively as long as consumers are patient. Consequently, the index provides consistent quantitative welfare predictions for a wide variety of short-lived policies studied in the macroeconomic and finance literature.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"184 ","pages":"Article 105252"},"PeriodicalIF":2.3,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145993597","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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