Journal of Economic Dynamics & Control最新文献

{"title":"Price stickiness and strategic uncertainty: An experimental study","authors":"Yukihiko Funaki ,&nbsp;Kohei Kawamura ,&nbsp;Kozo Ueda ,&nbsp;Nobuyuki Uto","doi":"10.1016/j.jedc.2025.105186","DOIUrl":"10.1016/j.jedc.2025.105186","url":null,"abstract":"<div><div>We identify a minimal set of components to generate price stickiness by a laboratory experiment on an oligopolistic price setting game. Our design involves repeated aggregate shocks to the market but features no uncertainty in their timing and magnitude, no real-nominal distinction, or no need to compute the best response to the prices of the other subjects. We find persistent price stickiness when prices are strategic complements and fully anticipated shocks lower the equilibrium price. By exploring the causes of the observed downward stickiness, we find that it stems from strategic uncertainty regarding beliefs about others' prices, compounded by strategic complementarity and an asymmetric payoff structure.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"180 ","pages":"Article 105186"},"PeriodicalIF":2.3,"publicationDate":"2025-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145222663","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}

{"title":"Persistence of labor share fluctuations and overshooting","authors":"Sujan Bandyopadhyay ,&nbsp;Domenico Ferraro","doi":"10.1016/j.jedc.2025.105184","DOIUrl":"10.1016/j.jedc.2025.105184","url":null,"abstract":"<div><div>Workhorse business cycle models struggle to explain the magnitude and persistence of cyclical fluctuations in the labor share of output and employment in the United States. A model with search frictions in the labor market and a technology choice addresses this shortcoming. In this model, the production technology is a constant elasticity of substitution (CES) in the short run, while it converges to Cobb-Douglas in the long run. We calibrate the model using U.S. data and find that the inclusion of a technology choice with adjustment costs significantly enhances the model's ability to propagate productivity shocks, compared to a model with a fixed Cobb-Douglas technology. The calibrated model successfully replicates the overshooting of the labor share in the data.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"180 ","pages":"Article 105184"},"PeriodicalIF":2.3,"publicationDate":"2025-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145120574","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}

{"title":"Ambiguity and information tradeoffs","authors":"Nihad Aliyev","doi":"10.1016/j.jedc.2025.105180","DOIUrl":"10.1016/j.jedc.2025.105180","url":null,"abstract":"<div><div>We model investors facing ambiguity about the number of informed traders and characterize equilibrium in both financial and information markets. In the financial market, this ambiguity generates a premium that can be positive or negative, depending on traders' ambiguity attitude. The premium always increases with ambiguity aversion but only increases with ambiguity level when traders are sufficiently ambiguity averse. We show that traders' effective ambiguity aversion increases with the number of informed traders, resulting in a non-monotonic relation between the equity premium and the number of informed traders. In the information market, ambiguity about the number of informed traders emerges endogenously from a range of information acquisition costs.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"179 ","pages":"Article 105180"},"PeriodicalIF":2.3,"publicationDate":"2025-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145099747","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}

{"title":"Pricing path-dependent equity and credit derivatives within a general hybrid equity-credit framework: A unified CTMC approximation approach","authors":"Ning Cai ,&nbsp;Siyi Wang ,&nbsp;Wei Zhang ,&nbsp;Haohong Lin","doi":"10.1016/j.jedc.2025.105178","DOIUrl":"10.1016/j.jedc.2025.105178","url":null,"abstract":"<div><div>We propose a unified closed-form approximation approach to pricing path-dependent equity and credit derivatives such as defaultable single- and double-barrier options and equity default swaps (EDSs) under jump-to-default extended exponential Lévy models with local volatilities. This rich class of hybrid equity-credit models allows for state-dependent volatilities, state-dependent default intensities, and general Lévy types with either finite or infinite activities and with either finite or infinite variations, and includes many important hybrid equity-credit models as special cases. The convergences of the closed-form approximation pricing formulas are theoretically proved, and the corresponding convergence rates are also theoretically established. Numerical results indicate that our pricing method is accurate and efficient under a wide range of hybrid equity-credit models.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"180 ","pages":"Article 105178"},"PeriodicalIF":2.3,"publicationDate":"2025-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145099132","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}

{"title":"Efficient or systemic banks: Can regulation strike a deal?","authors":"Tirupam Goel","doi":"10.1016/j.jedc.2025.105182","DOIUrl":"10.1016/j.jedc.2025.105182","url":null,"abstract":"<div><div>Should there be few large or several small banks? Large banks benefit from scale economies, but their default can be systemic. This paper develops a macroeconomic model with heterogeneous banks to study the efficiency versus financial-stability trade-off. Scale economies and default losses are calibrated using micro-data. Unlike representative bank models, a novel banking-dynamics channel of regulation emerges – the endogenous response in banks' size-distribution matters for welfare. Capital regulation that equalizes leverage, default rate, or expected loss across banks fails to account for the size-dependent trade-off. Optimal regulation is size-dependent, features a hump-shaped welfare response, and induces more medium-sized banks.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"179 ","pages":"Article 105182"},"PeriodicalIF":2.3,"publicationDate":"2025-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145099745","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}

{"title":"Forward looking exporters","authors":"François de Soyres ,&nbsp;Erik Frohm ,&nbsp;Emily Highkin ,&nbsp;Carter Mix","doi":"10.1016/j.jedc.2025.105183","DOIUrl":"10.1016/j.jedc.2025.105183","url":null,"abstract":"<div><div>We study the role of expectations in driving export adjustment. Using bilateral data on exchange rates, exchange rate forecasts, and HS2-product export data for a panel of countries, we show that expectations of exchange rate changes are an important channel for anticipatory export adjustment. In our preferred specification, an expected exchange rate depreciation induces substantial entry of new exporters (extensive margin adjustment), with no significant effect on total export volumes or the intensive margin. We develop a simple model with heterogeneous firms to provide intuition for these findings and discuss how anticipation behavior may affect trade elasticity measurement.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"180 ","pages":"Article 105183"},"PeriodicalIF":2.3,"publicationDate":"2025-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145099130","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}

{"title":"Stackelberg equilibrium strategies between insurance demand and government interventions","authors":"Fudong Wang ,&nbsp;Zhibin Liang ,&nbsp;Yiying Zhang","doi":"10.1016/j.jedc.2025.105179","DOIUrl":"10.1016/j.jedc.2025.105179","url":null,"abstract":"<div><div>This paper investigates Stackelberg equilibrium strategies between insurance demand and government interventions—<em>ex ante</em> premium subsidies and <em>ex post</em> disaster relief—in catastrophe risk management. We develop a continuous-time framework where policyholders' losses follow a compound Poisson process, integrating dual government mechanisms to analyze their interplay. By solving (extended) Hamilton-Jacobi-Bellman (HJB) equations, we derive equilibrium insurance strategies for policyholders under mean-variance preferences and optimize government expenditure policies. First, we demonstrate that subsidies and relief have opposing effects on risk retention: higher subsidies tend to reduce retention, whereas increased relief expectations incentivize retention due to anticipated post-disaster compensation. Specifically, within the framework of a linear relief function, we characterize the relative growth rate of the subsidy relative to the relief coefficient to ensure that the effect of the premium subsidy on the retention level either dominates or is dominated by the impact of the relief payment. Second, for risks exhibiting decreasing mean residual life (DMRL), we derive optimal subsidies in closed-form solutions under proportional or truncated relief structures, depending on disaster probability and relief trends. Third, we innovatively prove that the cost-minimizing relief function adopts a proportional form relative to pre-retention claims, aligning with empirical practices such as FEMA's aid caps. Fourth, extensions to scenarios with loss-increasing and ambiguous relief probabilities are explored within the policyholders' optimization framework, demonstrating robustness and consistency with static expected-utility results. Additionally, we analyze the government's optimal strategy when incorporating policyholders' welfare constraints and conduct a comprehensive social welfare assessment under various intervention scenarios. Our work advances policy design by quantifying the trade-offs between subsidies and relief, providing actionable insights for enhancing societal resilience. Governments can strategically balance interventions to stabilize insurance markets, mitigate fiscal exposure, and incentivize proactive risk management. This study bridges theoretical rigor with practical relevance under dynamic risk models, offering a comprehensive framework for optimizing public-private catastrophe risk-sharing mechanisms.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"179 ","pages":"Article 105179"},"PeriodicalIF":2.3,"publicationDate":"2025-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145099746","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}

{"title":"Learning to bet (rationally) with logs","authors":"A. Carvajal ,&nbsp;H. Zhou","doi":"10.1016/j.jedc.2025.105181","DOIUrl":"10.1016/j.jedc.2025.105181","url":null,"abstract":"<div><div>In an economy with uncertainty and asymmetric information, suppose that some agents learn the relation between fundamentals and prices by observing past market outcomes. They refine their understanding as they become more experienced, but their past “errors” contaminate the information they receive. Does this process converge to the “perfect” understanding of the market that underlies rational expectation equilibria? We address this question in a simplified setting that allows for explicit computation of the learning process: a two-state economy with logarithmic utilities and no background risk. Our first result is that as long as the wealth of the uninformed agents is less than half the aggregate wealth of the economy, the learning process indeed converges to rational expectations. This convergence, however, is non-monotonic, and the market oscillates between phases of excess price volatility and phases of excess volume of trade. The learning process, in addition, is costly for the uninformed agents. We interpret our results as underscoring the fragility of <span>ree</span>: markets operate orderly only when speculation is less significant than fundamental trade.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"180 ","pages":"Article 105181"},"PeriodicalIF":2.3,"publicationDate":"2025-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145099131","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}

{"title":"Product technology adoption and aggregate innovation","authors":"Qiugu He ,&nbsp;Xuan Luo ,&nbsp;Fan Zheng","doi":"10.1016/j.jedc.2025.105177","DOIUrl":"10.1016/j.jedc.2025.105177","url":null,"abstract":"<div><div>We document that a firm's research and development (R&amp;D) expenditure depends on its product diversity. Combining with the fact that Chinese manufacturers often enter new product markets via technology adoption, we develop a quantitative framework of innovation and technology adoption, allowing firms to expand their product scopes. Firms adopt technologies across multiple fields to expand their knowledge base, which in turn serves as an input for subsequent innovation or adoption. Counterfactual analysis from the 2000s reveals that two-thirds of knowledge privately held by all firms is generated through adoption, accounting for one-third of aggregate innovation.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"179 ","pages":"Article 105177"},"PeriodicalIF":2.3,"publicationDate":"2025-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145019573","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}

{"title":"SVAR identification with nowcasted macroeconomic data","authors":"Fulvio Corsi ,&nbsp;Luigi Longo ,&nbsp;Francesco Cordoni","doi":"10.1016/j.jedc.2025.105176","DOIUrl":"10.1016/j.jedc.2025.105176","url":null,"abstract":"<div><div>Starting from the theoretical observation that the identification problem of SVAR models arises from contemporaneous dependence among macroeconomic variables, we show, both theoretically and empirically, that such dependence tends to vanish as the observation frequency increases. By adopting nowcasted high-frequency data, we exploit this feature to identify structural shocks using standard short-run restrictions, thereby reducing or even eliminating the reliance on variable ordering. Our empirical analysis is divided into two parts: an illustrative application comparing identification strategies across different frequencies, and a structural section featuring (i) a Proxy(HF-)SVAR to recover exogenous monetary policy shocks, and (ii) an uncertainty shock analysis using high-frequency data to replicate the well-known dynamics found in the literature. The results align with recent findings and highlight the feasibility and usefulness of preserving high-frequency information in all variables.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"179 ","pages":"Article 105176"},"PeriodicalIF":2.3,"publicationDate":"2025-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145010248","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}