Journal of Economic Dynamics & Control最新文献

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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
On automation, labor reallocation and welfare 在自动化、劳动力再分配和福利方面
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-06-13 DOI: 10.1016/j.jedc.2025.105129
Stéphane Auray , Aurélien Eyquem
{"title":"On automation, labor reallocation and welfare","authors":"Stéphane Auray ,&nbsp;Aurélien Eyquem","doi":"10.1016/j.jedc.2025.105129","DOIUrl":"10.1016/j.jedc.2025.105129","url":null,"abstract":"<div><div>We develop an open-economy model of endogenous automation with heterogeneous firms and labor-market reallocation to quantify the contribution of various trends to the adoption of robots in the U.S. economy. The decline in the relative price of robots is the major trend leading to automation, but interacts with other trends that either hinder (rising entry costs, rising markups) or slightly foster (rising labor productivity, declining trade costs) the adoption of robots. Taken alone, the decline in the relative price of robots produces moderate welfare gains in the long run, but less than labor productivity growth. We then exploit our model to show that a decline in the relative price of robots (<em>i</em>) generates small positive cross-country automation spillovers and (<em>ii</em>) produces inefficient labor-market reallocation since a small subsidy on robots combined with a training subsidy can generate small welfare gains. Our main conclusion is that automation can not be simply modeled as an exogenous decline in the price of robots, and must be analyzed in a broader framework taking into account trends affecting firms, such as the decline in business dynamism and the rise in markups.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"177 ","pages":"Article 105129"},"PeriodicalIF":1.9,"publicationDate":"2025-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144312720","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
Comparing external and internal instruments for vector autoregressions 比较矢量自回归的外部和内部仪器
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-06-10 DOI: 10.1016/j.jedc.2025.105131
Martin Bruns , Helmut Lütkepohl
{"title":"Comparing external and internal instruments for vector autoregressions","authors":"Martin Bruns ,&nbsp;Helmut Lütkepohl","doi":"10.1016/j.jedc.2025.105131","DOIUrl":"10.1016/j.jedc.2025.105131","url":null,"abstract":"<div><div>In conventional proxy VAR analysis, the shocks of interest are identified by external instruments. This is typically accomplished by considering the covariance of the instruments and the reduced-form residuals. Alternatively, the instruments may be internalized by augmenting the VAR process by the instruments or proxies. These alternative identification methods are compared and it is shown that the resulting shocks obtained with the alternative approaches differ in general. Conditions are provided under which their impulse responses are nevertheless identical. If the conditions are satisfied, identification of the shocks is ensured. An empirical example illustrates the theoretical results.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"177 ","pages":"Article 105131"},"PeriodicalIF":1.9,"publicationDate":"2025-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144263235","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
Real investment decision under CRRA utility: The flow payoff case CRRA效用下的实际投资决策:流收益案例
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-06-06 DOI: 10.1016/j.jedc.2025.105130
Xiaoqing Yin , Haijun Wang
{"title":"Real investment decision under CRRA utility: The flow payoff case","authors":"Xiaoqing Yin ,&nbsp;Haijun Wang","doi":"10.1016/j.jedc.2025.105130","DOIUrl":"10.1016/j.jedc.2025.105130","url":null,"abstract":"<div><div>This paper explores how payoff volatility (idiosyncratic volatility), time preference and investment-wealth ratio affect an entrepreneur's real investment decision in a constant relative risk aversion (CRRA) framework, when the investment project generates a flow payoff. We find that time preference has an important effect on the optimal investment threshold, which comes from wealth effects on the implied project value and the implied option value. Particularly, we discover that the optimal investment threshold is convex in time discount rate. At most cases, a larger payoff volatility increases the optimal investment threshold and makes the entrepreneur invest later. However, if the entrepreneur has lower risk aversion and more sufficient patience, a larger payoff volatility may decrease the optimal investment threshold and makes the entrepreneur invest earlier. Moreover, a higher investment-wealth ratio makes the entrepreneur invest later.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"177 ","pages":"Article 105130"},"PeriodicalIF":1.9,"publicationDate":"2025-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144241321","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
Extreme conditional tail risk inference in ARMA–GARCH models ARMA-GARCH模型的极端条件尾部风险推理
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-06-05 DOI: 10.1016/j.jedc.2025.105128
Yaolan Ma, Bo Wei
{"title":"Extreme conditional tail risk inference in ARMA–GARCH models","authors":"Yaolan Ma,&nbsp;Bo Wei","doi":"10.1016/j.jedc.2025.105128","DOIUrl":"10.1016/j.jedc.2025.105128","url":null,"abstract":"<div><div>In this study, we investigate the estimation of extreme conditional Value-at-Risk (CVaR) and conditional Expected Shortfall (CES) within the framework of ARMA-GARCH models, where innovations are assumed to follow a Pareto-type tail distribution and have no finite fourth moments. Building on the two-stage self-weighted estimation procedure proposed by <span><span>He et al. (2022)</span></span>, we develop a robust methodology for forecasting extreme CVaR and CES. Using extreme value theory, we derive a unified asymptotic theory for the extreme CVaR and CES estimators. Through comprehensive simulation studies, we evaluate the performance of our approach and compare it with several recently proposed estimators in the literature. Additionally, we apply our methodology to forecast extreme CVaR and CES for daily negative log-returns (i.e., losses) of four financial assets, demonstrating its practical applicability in financial risk management.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"177 ","pages":"Article 105128"},"PeriodicalIF":1.9,"publicationDate":"2025-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144241320","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 multi-period leverage-constrained portfolios: A neural network approach 最优多期杠杆约束投资组合:神经网络方法
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-05-29 DOI: 10.1016/j.jedc.2025.105127
Chendi Ni, Yuying Li, Peter Forsyth
{"title":"Optimal multi-period leverage-constrained portfolios: A neural network approach","authors":"Chendi Ni,&nbsp;Yuying Li,&nbsp;Peter Forsyth","doi":"10.1016/j.jedc.2025.105127","DOIUrl":"10.1016/j.jedc.2025.105127","url":null,"abstract":"<div><div>We present a neural network approach for multi-period portfolio optimization that relaxes the long-only restriction and instead imposes a bound constraint on leverage. We formulate the optimization problem for such a relaxed-constraint portfolio as a multi-period stochastic optimal control problem. We propose a novel relaxed-constraint neural network (RCNN) model to approximate the optimal control. Using our proposed RCNN model transforms the original leverage-constrained optimization problem into an unconstrained one, which makes solving it computationally more feasible. We prove mathematically that the proposed RCNN control model can approximate the optimal relaxed-constraint strategy with arbitrary precision. We further propose to compute the optimal outperforming strategy over a benchmark based on cumulative quadratic shortfall (CS). Using U.S. historical market data from Jan 1926 to Jan 2023, we computationally compare and assess the proposed neural network approach to the optimal leverage-constrained strategy and long-only strategy respectively. We demonstrate that the leverage-constrained optimal strategy can achieve enhanced performance over the long-only strategy in outperforming a benchmark portfolio.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"177 ","pages":"Article 105127"},"PeriodicalIF":1.9,"publicationDate":"2025-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144196070","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
Generalizing heuristic switching models and a (boundedly) rational route away from randomness 推广启发式切换模型和一条远离随机性的(有界)理性路径
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-05-22 DOI: 10.1016/j.jedc.2025.105125
Giorgos Galanis , Iraklis Kollias , Ioanis Leventides , Joep Lustenhouwer
{"title":"Generalizing heuristic switching models and a (boundedly) rational route away from randomness","authors":"Giorgos Galanis ,&nbsp;Iraklis Kollias ,&nbsp;Ioanis Leventides ,&nbsp;Joep Lustenhouwer","doi":"10.1016/j.jedc.2025.105125","DOIUrl":"10.1016/j.jedc.2025.105125","url":null,"abstract":"<div><div>The behavioral economics literature on evolutionary discrete choice models typically relies on the standard logit framework. However, this approach imposes significant limitations on the types of economic environments it can represent as it, e.g., does not allow for heterogeneity in preferences regarding observables (random taste variation) and assumes independence of irrelevant alternatives (IIA). We relax the assumptions underlying standard logit and address two key questions: (i) to what extent do the theoretical insights of <span><span>Brock and Hommes (1997)</span></span> (BH) hold in more general economic settings? (ii) can the standard logit's shortcomings in capturing relevant experimental findings be resolved by using more flexible forms of discrete choice models? We find that a probit-based model that meaningfully relaxes the IIA assumption fits experimental data with four choice alternatives considerably better than standard logit, especially if the model additionally allows for random taste variation. Further, we demonstrate that while the key insights of BH remain valid in broader environments, allowing for taste variation can provide a route away from the chaotic dynamics emerging in BH.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"177 ","pages":"Article 105125"},"PeriodicalIF":1.9,"publicationDate":"2025-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144114717","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 sleeper effect of comparative advertising in oligopolistic markets 寡头垄断市场比较广告的睡眠者效应
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-05-19 DOI: 10.1016/j.jedc.2025.105122
Rabah Amir , Dominika Machowska , Andrzej Nowakowski
{"title":"The sleeper effect of comparative advertising in oligopolistic markets","authors":"Rabah Amir ,&nbsp;Dominika Machowska ,&nbsp;Andrzej Nowakowski","doi":"10.1016/j.jedc.2025.105122","DOIUrl":"10.1016/j.jedc.2025.105122","url":null,"abstract":"<div><div>This research deals with comparative advertising strategies of firms in an oligopolistic market in the presence of the sleeper effect, through the lens of a differential game with time delay. We examine the open-loop Nash equilibrium and, for its validation, propose a new verification theorem that determines if a given strategy profile constitutes a Nash equilibrium. Our results reveal how the sleeper effect influences the equilibrium of comparative advertising strategies across two decision-making periods. Moreover, we highlight how market factors and firm attributes can significantly affect these strategies and derive conditions under which a firm will abstain from such strategies. Overall, our study provides novel insights into how market dynamics, firm attributes, and the sleeper effect interact in shaping comparative advertising strategies.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"177 ","pages":"Article 105122"},"PeriodicalIF":1.9,"publicationDate":"2025-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144106676","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 robust asymptotic control model to analyze climate policy with CDR options 具有CDR选项的气候政策鲁棒渐近控制模型分析
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-05-14 DOI: 10.1016/j.jedc.2025.105114
Frédéric Babonneau , Alain Haurie , Marc Vielle
{"title":"A robust asymptotic control model to analyze climate policy with CDR options","authors":"Frédéric Babonneau ,&nbsp;Alain Haurie ,&nbsp;Marc Vielle","doi":"10.1016/j.jedc.2025.105114","DOIUrl":"10.1016/j.jedc.2025.105114","url":null,"abstract":"<div><div>A three-region optimal economic growth model is proposed to represent the global energy transition to net-zero emissions when carbon dioxide removal (CDR) technologies are available. The main features of the model are (i) the representation of the economy and energy use with nested CES production functions; (ii) the representation of climate policy through the use of a safety cumulative emissions budget concept; and (iii) the introduction of an international emissions trading scheme for the implementation of climate policy. Using an infinite horizon optimal control paradigm, several contrasting scenarios are analyzed both in an asymptotic steady state or “turnpike” point, and in an optimal transition to sustainability. This very compact model produces dynamic path simulations that are consistent with the main recommendations from IPCC for long term climate policies. The potential use of this simple model in future developments in climate and economic modeling is discussed.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"177 ","pages":"Article 105114"},"PeriodicalIF":1.9,"publicationDate":"2025-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144084124","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 role of capital expansion in stock evaluation: A variance decomposition approach 资本扩张在股票评价中的作用:方差分解方法
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-05-01 DOI: 10.1016/j.jedc.2025.105113
Huixuan Li , Jing Chen , Manling Zhang , Ya Tang
{"title":"The role of capital expansion in stock evaluation: A variance decomposition approach","authors":"Huixuan Li ,&nbsp;Jing Chen ,&nbsp;Manling Zhang ,&nbsp;Ya Tang","doi":"10.1016/j.jedc.2025.105113","DOIUrl":"10.1016/j.jedc.2025.105113","url":null,"abstract":"<div><div>We extend Cohen et al.'s (2003) variance decomposition framework to examine cross-sectional stock valuation drivers across Chinese and U.S. markets by incorporating expected capital expansion as an additional component. Our analysis demonstrates that in China's A-share market, 32.8 percent of cross-sectional valuation dispersion is attributable to future capital expansion. This positive relationship is mirrored in the NASDAQ market but contrasts with the negative effect observed in the NYSE/AMEX market. In particular, capital expansion exhibits strong explanatory power for valuations of small firms, high-tech companies, and firms listed on China's growth-oriented ChiNext and STAR market segments. Our decomposition approach also measures price informativeness—the degree to which stock valuations reflect future cash flows. We find a significant improvement in the price informativeness of China's stock prices since 2005. These findings enhance our understanding of stock pricing dynamics in growth-oriented markets.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"177 ","pages":"Article 105113"},"PeriodicalIF":1.9,"publicationDate":"2025-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143937941","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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