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When and how should an incumbent respond to a potentially disruptive event? 在职者何时以及如何应对潜在的破坏性事件？
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-01 DOI: 10.1016/j.jedc.2024.104974
Benoît Chevalier-Roignant
{"title":"When and how should an incumbent respond to a potentially disruptive event?","authors":"Benoît Chevalier-Roignant","doi":"10.1016/j.jedc.2024.104974","DOIUrl":"10.1016/j.jedc.2024.104974","url":null,"abstract":"<div><div>Incumbents can respond to the competitive threat posed by a startup either by external or organic growth. Incumbents may fail do so in due course due to a phenomenon known as “incumbent inertia.” I develop a dynamic model of investment that stresses a new rationale for such inertia. The incumbent may wait even though the option to delay one response is “deep in the money.” This is because the incumbent has to make a choice among several possible responses and is strategically ambivalent about which is best. Such inertia would be bad news for startup valuations if the incumbent delays a lucrative exit for venture capitalists, but good news for consumers if it sustains fiercer competition.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142554114","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
Systemic risk in banking, fire sales, and macroeconomic disasters 银行业的系统性风险、火灾销售和宏观经济灾难
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-01 DOI: 10.1016/j.jedc.2024.104975
Spiros Bougheas , David I. Harvey , Alan Kirman , Douglas Nelson
{"title":"Systemic risk in banking, fire sales, and macroeconomic disasters","authors":"Spiros Bougheas ,&nbsp;David I. Harvey ,&nbsp;Alan Kirman ,&nbsp;Douglas Nelson","doi":"10.1016/j.jedc.2024.104975","DOIUrl":"10.1016/j.jedc.2024.104975","url":null,"abstract":"<div><div>We develop a dynamic computational network model of the banking system where fire sales provide the amplification mechanism of financial shocks. Each period a finite number of banks offers a large, but finite, number of loans to households. Banks with excess liquidity also offer loans to other banks with insufficient liquidity. Thus, each period an interbank loan market is endogenously formed. Bank assets are hit by idiosyncratic shocks drawn from a thin tailed distribution. The uneven distribution of shocks across banks implies that each period there are banks that become insolvent. If insolvent banks happen also to be heavily indebted to other banks, their liquidation can trigger other bank failures. We find that the distribution across time of the growth rate of banking assets has a ‘fat left tail’ that corresponds to rare economic disasters. We also find that the distribution of initial shocks is not a perfect predictor of economic activity; that is some of the uncertainty is endogenous and related to the structure of the interbank network.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142578572","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
The labor market channel of systemic risk 系统性风险的劳动力市场渠道
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-01 DOI: 10.1016/j.jedc.2024.104976
Michel Alexandre , Thiago Christiano Silva , Benjamin Miranda Tabak
{"title":"The labor market channel of systemic risk","authors":"Michel Alexandre ,&nbsp;Thiago Christiano Silva ,&nbsp;Benjamin Miranda Tabak","doi":"10.1016/j.jedc.2024.104976","DOIUrl":"10.1016/j.jedc.2024.104976","url":null,"abstract":"<div><div>In this paper, we explore the labor market channel of systemic risk. We consider that distressed firms, besides defaulting on part of their debt commitments, also react to negative shocks by laying off part of their employees. This constitutes another source of systemic risk, as we assume that laid-off employees will default on their debt commitments. Using Brazilian data, we compute the systemic risk considering three possible strategies distressed firms can adopt: layoff of employees, default on debt commitments, or both strategies. Our findings highlight the importance of the labor market channel. It has contributed noticeably more to overall systemic risk during the study's assessment period (2015–2020). Moreover, the shock multiplier of the employees' layer is higher than that of the firms' layer. We also assess, through machine learning techniques, the determinants of firms' systemic impact under different layer configurations–that is, when the bank-firm layer is composed of the corporate loans extended to the firms, and when this is composed of the loans extended to the firms' employees. This study emphasizes the crucial role that the labor market plays in determining systemic risk dynamics and calls for improved risk management practices to address these issues effectively.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142578573","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
Lack of identification of parameters in a simple behavioral macroeconomic model 简单行为宏观经济模型缺乏参数识别
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-10-16 DOI: 10.1016/j.jedc.2024.104972
Thomas Lux
{"title":"Lack of identification of parameters in a simple behavioral macroeconomic model","authors":"Thomas Lux","doi":"10.1016/j.jedc.2024.104972","DOIUrl":"10.1016/j.jedc.2024.104972","url":null,"abstract":"<div><div>Identifiability of the parameters is an important precondition for consistent estimation of models designed to describe empirical phenomena. Nevertheless, many estimation exercises proceed without a preliminary investigation into the identifiability of their models. As a consequence, the estimates could be essentially meaningless if convergence to the ‘true’ parameters is not guaranteed in the pertinent problem. We provide some evidence here that such a lack of identification is responsible for the inconclusive results reported in recent literature on parameter estimates for a certain class of nonlinear behavioral New Keynesian models. We also show that identifiability depends on the subtle details of the model structure. Hence, a careful investigation of identifiability should precede any attempt at estimation of such models.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142531108","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
Contracting with cost synergies: Continuous-time double-sided moral hazard 与成本协同效应签约：连续时间双面道德风险
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-10-10 DOI: 10.1016/j.jedc.2024.104971
Nian Yang , Jun Yang , Yu Chen
{"title":"Contracting with cost synergies: Continuous-time double-sided moral hazard","authors":"Nian Yang ,&nbsp;Jun Yang ,&nbsp;Yu Chen","doi":"10.1016/j.jedc.2024.104971","DOIUrl":"10.1016/j.jedc.2024.104971","url":null,"abstract":"<div><div>We study optimal effort and compensation in two continuous-time double-sided models with cost synergies. In the co-work synergy model, cost synergies exist between two agents with ongoing effort: each agent's effort reduces his colleague's marginal cost of effort. The agents completely divide the project's cash flow. In the optimal contract, the agent with higher productivity and a bigger cost-reduction influence claims a larger fraction of the cash flow. In the chain synergy model, one agent exerts initial effort to start the project, and her colleague exerts ongoing effort to manage it. The upfront effort reduces the marginal cost of her colleague's ongoing effort. The timing of optimal payments reflects cost synergies across agents and the timing of efforts: Upfront effort corresponds to early payments. We show that the introduction of cost synergies not only alters the allocation of the cash flow but also improves the expected social surplus. This study suggests that cost synergies increase efficiency for a broad set of contracting problems involving teams.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142433306","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
Heterogeneous beliefs and short selling taxes: A note 异质信仰与卖空税：注释
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-10-10 DOI: 10.1016/j.jedc.2024.104970
Michael Hatcher
{"title":"Heterogeneous beliefs and short selling taxes: A note","authors":"Michael Hatcher","doi":"10.1016/j.jedc.2024.104970","DOIUrl":"10.1016/j.jedc.2024.104970","url":null,"abstract":"<div><div>Short selling is widespread in financial markets but regulators can ban short positions. The intermediate policy of <em>taxing</em> short sellers has been studied in an asset pricing model with evolutionary competition of <em>two</em> belief types (<span><span>Anufriev and Tuinstra, 2013</span></span>). We extend this approach to an <em>arbitrary number</em> of belief types <em>H</em>, giving <span><math><msup><mrow><mn>3</mn></mrow><mrow><mi>H</mi></mrow></msup><mo>−</mo><msup><mrow><mn>2</mn></mrow><mrow><mi>H</mi></mrow></msup></math></span> cases to check each period in the worst-case scenario. We provide analytic expressions for asset prices along with conditions on beliefs (optimism) that determine which types take long, short or zero asset positions at the market-clearing price. We use these results to construct a fast solution algorithm (quadratic in <em>H</em>) which can solve models with hundreds or thousands of types in a matter of seconds. A numerical example with a short-selling tax and many heterogeneous beliefs in evolutionary competition shows that price dynamics can differ substantially relative to the benchmark of few types.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142433305","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
Closed-form approximations of moments and densities of continuous–time Markov models 连续时间马尔可夫模型的矩和密度的闭式近似值
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-09-19 DOI: 10.1016/j.jedc.2024.104948
Dennis Kristensen , Young Jun Lee , Antonio Mele
{"title":"Closed-form approximations of moments and densities of continuous–time Markov models","authors":"Dennis Kristensen ,&nbsp;Young Jun Lee ,&nbsp;Antonio Mele","doi":"10.1016/j.jedc.2024.104948","DOIUrl":"10.1016/j.jedc.2024.104948","url":null,"abstract":"<div><p>This paper develops power series expansions of a general class of moment functions, including transition densities and option prices, of continuous-time Markov processes, including jump–diffusions. The proposed expansions extend the ones in <span><span>Kristensen and Mele (2011)</span></span> to cover general Markov processes, and nest transition density and option price expansions recently developed in the literature, thereby connecting seemingly different ideas in a unified framework. We show how the general expansion can be implemented for fully general jump–diffusion models. We provide a new theory for the validity of the expansions which shows that series expansions are not guaranteed to converge as more terms are added in general once the time span of interest gets larger than some model–specific threshold. Thus, these methods should be used with caution when applied to problems with a larger time span of interest, such as long-term options or data observed at a low frequency. At the same time, the numerical studies in this paper demonstrate good performance of the proposed implementation in practice when applied to pricing options with time to maturity below three months. Thus, our expansions are particularly well suited for pricing ultra-short-term (such as “zero–day”) options.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0165188924001404/pdfft?md5=91b1920c72908d3fae9b959bab76dbae&pid=1-s2.0-S0165188924001404-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142274045","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
Capital misallocation and economic development in a dynamic open economy 动态开放经济中的资本错配与经济发展
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-09-18 DOI: 10.1016/j.jedc.2024.104969
Bruno R. Delalibera , Luciene Pereira , Heron Rios , Rafael Serrano-Quintero
{"title":"Capital misallocation and economic development in a dynamic open economy","authors":"Bruno R. Delalibera ,&nbsp;Luciene Pereira ,&nbsp;Heron Rios ,&nbsp;Rafael Serrano-Quintero","doi":"10.1016/j.jedc.2024.104969","DOIUrl":"10.1016/j.jedc.2024.104969","url":null,"abstract":"<div><div>Some countries, such as Canada, Italy, and Mexico, have experienced a higher growth rate of capital per worker but a lower growth rate for GDP per worker compared to the United States. This paper explains these two facts through the lens of a dynamic multisector open economy model where capital flows across countries. In the model, firms face sector-specific distortions on capital and intermediate inputs that influence the actual rate of return on capital and the aggregate total factor productivity (TFP). We calibrate the model to Mexico for the period 2000-2014 and show that changes in sectoral distortions and productivities reduced the actual rate of return on capital, triggering capital accumulation and a reduction in TFP. The results show that aggregate output decreased by 7.3% and aggregate capital increased by 10.6%. From 33 sectors (out of 48) that suffered productivity losses, approximately 50% accumulated more capital. Furthermore, the capital-intensive sectors explain 82% of the capital-output ratio increase.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142320260","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
Commodity prices and production networks in small open economies 小型开放经济体的商品价格和生产网络
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-09-16 DOI: 10.1016/j.jedc.2024.104968
Alvaro Silva , Petre Caraiani , Jorge Miranda-Pinto , Juan Olaya-Agudelo
{"title":"Commodity prices and production networks in small open economies","authors":"Alvaro Silva ,&nbsp;Petre Caraiani ,&nbsp;Jorge Miranda-Pinto ,&nbsp;Juan Olaya-Agudelo","doi":"10.1016/j.jedc.2024.104968","DOIUrl":"10.1016/j.jedc.2024.104968","url":null,"abstract":"<div><p>We study the role of domestic production networks in the transmission of commodity price fluctuations in small open economies. First, we present a tractable model of a small open economy's production network to explain sectoral propagation patterns. We demonstrate that the domestic production network is crucial in shaping the propagation of commodity prices. Using a panel of 31 sectors across 9 small open economies, we empirically confirm the model's predictions. Next, we construct a dynamic model of a small open economy featuring a production network to study the macroeconomic importance of the network structure in shaping both aggregate and sectoral responses to commodity price shocks. We show that: (i) the network-adjusted labor share of the commodity sector, rather than the sector's size, is key to understanding the real wage's response to commodity price fluctuations; and (ii) non-unitary elasticities of substitution in production are crucial for understanding the cross-sectional implications of these fluctuations.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142239187","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
How do households respond to income shocks? 家庭如何应对收入冲击？
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-09-05 DOI: 10.1016/j.jedc.2024.104961
Dirk Krueger , Egor Malkov , Fabrizio Perri
{"title":"How do households respond to income shocks?","authors":"Dirk Krueger ,&nbsp;Egor Malkov ,&nbsp;Fabrizio Perri","doi":"10.1016/j.jedc.2024.104961","DOIUrl":"10.1016/j.jedc.2024.104961","url":null,"abstract":"<div><p>We use panel data from the Italian Survey of Household Income and Wealth from 1991 to 2016 to document what components of the household budget constraint change in response to shocks to household labor income, both over shorter and over longer horizons. Consumption and wealth responses are informative about the household consumption (or savings) function and thus about what class of consumption-savings model best describes the data. Empirically, we first show that shocks to labor income are associated with negligible changes in transfers and non-labor income components, modest changes in consumption expenditures, and large changes in wealth. To understand the wealth response we then split households into a sample that does not own business or real estate wealth, and a sample that does. For the first group, we find that consumption responses are more substantial (and increasing with the horizon of the income shock) and wealth responses are much smaller (and mildly increasing with the income shock horizon). Turning to theory, we argue that for this group, a simple extension of the standard permanent income hypothesis (PIH) consumption function that allows for partial insurance against even permanent income shocks explains the consumption and wealth responses well, both at short and long horizons. For the second group with business wealth or real estate wealth the standard framework cannot explain the large changes in wealth associated with income shocks. We conclude that models which include shocks to the value of household wealth are necessary to fully evaluate the sources and consequences of household resource risk.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142148786","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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