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Risks and risk premia in the US Treasury market 美国国债市场的风险和风险溢价
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2023-11-10 DOI: 10.1016/j.jedc.2023.104788
Junye Li , Lucio Sarno , Gabriele Zinna
{"title":"Risks and risk premia in the US Treasury market","authors":"Junye Li ,&nbsp;Lucio Sarno ,&nbsp;Gabriele Zinna","doi":"10.1016/j.jedc.2023.104788","DOIUrl":"https://doi.org/10.1016/j.jedc.2023.104788","url":null,"abstract":"<div><p>We analyze the risk-return trade-off in the US Treasury market using a term structure model that features volatility-in-mean effects of multiple sources, and yet preserves tractable bond prices. We find a strong positive relation between risks and risk premia over the 1966-2018 period. While interest-rate risk is the main driver of such positive relation, macro risk plays a non-trivial role, and its omission leads to unstable estimates of the trade-off. Notably, macro risk contributes to the surge and consequent fall of risk premia around the 1980s, whereas it moves <em>inversely</em> with risk premia during the recent ‘low yield’ period.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S016518892300194X/pdfft?md5=c8187ef08abc05bed7a61cd636865610&pid=1-s2.0-S016518892300194X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109127503","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
Estimation of DSGE models with the effective lower bound 带有效下界的DSGE模型估计
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2023-11-08 DOI: 10.1016/j.jedc.2023.104784
Gregor Boehl , Felix Strobel
{"title":"Estimation of DSGE models with the effective lower bound","authors":"Gregor Boehl ,&nbsp;Felix Strobel","doi":"10.1016/j.jedc.2023.104784","DOIUrl":"https://doi.org/10.1016/j.jedc.2023.104784","url":null,"abstract":"<div><p><span>We propose a new approach for the efficient and robust Bayesian estimation of medium- and large-scale </span>DSGE models<span> with occasionally binding constraints. At its core lies the Ensemble Kalman filter<span>, a novel nonlinear recursive filter, which allows for fast likelihood approximations even for models with large state spaces. We combine the filter with a computationally efficient solution method for piece-wise linear models a state-of-the-art MCMC sampler. Using artificial data, we demonstrate that our approach accurately captures the true parameters of models with a lower bound on nominal interest rates, even with very long lower bound episodes. We use the approach to analyze the US business cycle dynamics until the Covid-19 pandemic, with a focus on the long lower bound episode after the Global Financial Crisis.</span></span></p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109127504","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
When are tax multipliers large? 什么时候税收乘数大?
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2023-11-08 DOI: 10.1016/j.jedc.2023.104785
Alexander Ziegenbein
{"title":"When are tax multipliers large?","authors":"Alexander Ziegenbein","doi":"10.1016/j.jedc.2023.104785","DOIUrl":"https://doi.org/10.1016/j.jedc.2023.104785","url":null,"abstract":"<div><p>I show that the US tax multiplier depends on the direction of the tax change. The tax multiplier is significantly larger (in absolute value) for tax hikes than for tax cuts – regardless of whether I identify tax shocks via (i) the narrative approach or (ii) sign restrictions. The tax hike multiplier is strongly pro-cyclical, i.e., substantially larger in expansions. Variation in the tax cut multiplier over the business cycle is milder and statistically insignificant. A simple business cycle model with downward nominal wage rigidities can explain these results.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0165188923001914/pdfft?md5=60561c56e73677175f2a3c7288a35f29&pid=1-s2.0-S0165188923001914-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109127502","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
Sharks in the dark: Quantifying HFT dark pool latency arbitrage 黑暗中的鲨鱼:量化高频交易暗池延迟套利
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2023-11-07 DOI: 10.1016/j.jedc.2023.104786
Matteo Aquilina , Sean Foley , Peter O'Neill , Thomas Ruf
{"title":"Sharks in the dark: Quantifying HFT dark pool latency arbitrage","authors":"Matteo Aquilina ,&nbsp;Sean Foley ,&nbsp;Peter O'Neill ,&nbsp;Thomas Ruf","doi":"10.1016/j.jedc.2023.104786","DOIUrl":"https://doi.org/10.1016/j.jedc.2023.104786","url":null,"abstract":"<div><p>We investigate stale reference pricing and liquidity provision in dark pools using proprietary, participant-level regulatory data. We show a substantial amount of stale trading occurs, imposing large costs on passive dark pool participants. Consistent with these costs, HFTs almost never provide liquidity in the dark, instead frequently consuming liquidity, in particular in order to take advantage of stale reference prices. Finally, we show that market design interventions randomizing dark execution times are successful at countering dark pool latency arbitrage, protecting passive providers of dark liquidity. Our results have substantial implications for practitioners and policymakers aiming to improve liquidity provision in dark pools.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0165188923001926/pdfft?md5=a2897dd0a51e419b04153969548f10d7&pid=1-s2.0-S0165188923001926-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91964415","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
Labor market dynamics with sorting 劳动力市场动态与分类
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2023-10-24 DOI: 10.1016/j.jedc.2023.104776
Bastian Schulz
{"title":"Labor market dynamics with sorting","authors":"Bastian Schulz","doi":"10.1016/j.jedc.2023.104776","DOIUrl":"https://doi.org/10.1016/j.jedc.2023.104776","url":null,"abstract":"<div><p>I study a dynamic search-matching model with two-sided heterogeneity, a production complementarity that induces labor market sorting, and aggregate shocks. In response to a positive productivity shock, incentives to sort increase disproportionately. Firms respond by posting additional vacancies, and the strength of the response is increasing in firm productivity. The distribution of unemployment worker types adjusts slowly, which amplifies job creation in the short run. In the long run, falling unemployment curtails the firms' vacancy posting. The model closely matches time-series moments from U.S. labor market data and produces realistic degrees of wage dispersion and labor market sorting.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0165188923001823/pdfft?md5=103aa318992c1334978f9041df49813f&pid=1-s2.0-S0165188923001823-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"92027166","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
Should macroprudential policy be countercyclical? 宏观审慎政策应该是反周期的吗？
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2023-10-23 DOI: 10.1016/j.jedc.2023.104765
Yoske Igarashi, Keqing Liu
{"title":"Should macroprudential policy be countercyclical?","authors":"Yoske Igarashi,&nbsp;Keqing Liu","doi":"10.1016/j.jedc.2023.104765","DOIUrl":"https://doi.org/10.1016/j.jedc.2023.104765","url":null,"abstract":"<div><p>This paper investigates the influence of possible bank default and bank leverage constraints on monetary and macroprudential policy prescriptions. We build a New Keynesian model with banks that channel funds from households to firms. Banks face endogenous leverage constraints and are subject to costly default. We calibrate our model to the US economy and show that in the decentralized equilibrium, banks borrow more than the socially efficient level. A macroprudential policy that limits bank leverage reduces the risk of bank default and improves long-run welfare. In the short run, a “macroprudential-flavored” monetary policy can reduce financial propagation by affecting bank shadow values, while countercyclical capital regulation is effective for stabilizing bank leverage. While both policies are effective, our study shows that introducing countercyclicality to bank capital regulation achieves little welfare improvement if monetary policy is already used to mitigate financial acceleration. The jointly optimal policies suggest that policymakers should assign countercyclical macroprudential roles to monetary policy, and bank capital regulation should focus on the desired level of prudence.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-10-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67740014","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
Monetary policy and financial stability 货币政策与金融稳定
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2023-10-23 DOI: 10.1016/j.jedc.2023.104764
Isabel Cairó, Jae Sim
{"title":"Monetary policy and financial stability","authors":"Isabel Cairó,&nbsp;Jae Sim","doi":"10.1016/j.jedc.2023.104764","DOIUrl":"https://doi.org/10.1016/j.jedc.2023.104764","url":null,"abstract":"<div><p>The 2008 Global Financial Crisis called into question the narrow focus on price stability of inflation targeting regimes. This paper studies the relationship between price stability and financial stability by analyzing alternative monetary policy<span> strategies for an economy that experiences endogenous financial crises due to excessive household sector leverage. We reach three conclusions. First, a central bank can improve both price stability and financial stability by adopting an aggressive inflation targeting regime, in the absence of the zero lower bound<span> (ZLB) constraint on nominal interest rates. Second, in the presence of the ZLB constraint, an aggressive inflation targeting regime may undermine both price stability and financial stability. Third, a leaning against the wind policy can be detrimental to both price stability and financial stability when the credit cycle is driven by countercyclical household sector leverage. In this environment, leaning with credit spreads can be more effective.</span></span></p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-10-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91960098","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
Estimating the effects of demographics on interest rates: A robust Bayesian perspective 估计人口对利率的影响:一个稳健的贝叶斯观点
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2023-10-23 DOI: 10.1016/j.jedc.2023.104772
Paul Ho
{"title":"Estimating the effects of demographics on interest rates: A robust Bayesian perspective","authors":"Paul Ho","doi":"10.1016/j.jedc.2023.104772","DOIUrl":"https://doi.org/10.1016/j.jedc.2023.104772","url":null,"abstract":"<div><p><span><span>We highlight a reason for the vast range of estimates for the effect of demographics on interest rates: the magnitudes are not well-identified without often omitted data on capital and life-cycle consumption. Using nonparametric prior sensitivity analysis for an overlapping generations model estimated through </span>Bayesian methods, we show small changes in the prior for the discount rate, intertemporal </span>elasticity<span> of substitution, and depreciation rate can shift posterior quantiles for the effects of demographics by up to 1.5 percentage points. Capital-output ratio data substantially tighten estimates of the depreciation rate but not the discount rate. Life-cycle consumption is especially informative about the intertemporal elasticity of substitution.</span></p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-10-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91964414","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
Underinvestment and optimal capital structure under environmental constraints 环境约束下的投资不足与最优资本结构
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2023-10-16 DOI: 10.1016/j.jedc.2023.104761
Pengfei Luo , Yingxian Tan , Jinqiang Yang , Yanming Yao
{"title":"Underinvestment and optimal capital structure under environmental constraints","authors":"Pengfei Luo ,&nbsp;Yingxian Tan ,&nbsp;Jinqiang Yang ,&nbsp;Yanming Yao","doi":"10.1016/j.jedc.2023.104761","DOIUrl":"https://doi.org/10.1016/j.jedc.2023.104761","url":null,"abstract":"<div><p>We develop a <em>Q</em>-theoretical model for levered firms subject to environmental constraints (regulations). The model highlights the implications of environmental constraints on dynamic investment and optimal capital structure decisions. We find that environmental constraints can lead equityholders to become endogenously risk averse. Moreover, environmental constraints give rise to underinvestment in capital and asset sales, which is attributed to the carbon abatement effect caused by environmental constraints. In addition, firms with environmental constraints use conservative debt for low business risk and choose high leverage for high business risk relative to firms without environmental constraints, which is governed by the trade-off between abatement cost effect and risk-aversion effect caused by environmental constraints. Firms with environmental constraints have high credit spreads. Our theoretical results are consistent with some empirical findings.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49889449","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
Fast estimation of a large TVP-VAR model with score-driven volatilities 具有分数驱动波动率的大型tpv - var模型的快速估计
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2023-10-16 DOI: 10.1016/j.jedc.2023.104762
Tingguo Zheng , Shiqi Ye , Yongmiao Hong
{"title":"Fast estimation of a large TVP-VAR model with score-driven volatilities","authors":"Tingguo Zheng ,&nbsp;Shiqi Ye ,&nbsp;Yongmiao Hong","doi":"10.1016/j.jedc.2023.104762","DOIUrl":"https://doi.org/10.1016/j.jedc.2023.104762","url":null,"abstract":"<div><p><span>This paper proposes a fast approach to estimating a large time-varying parameter vector autoregressive (TVP-VAR) model. Based on a score-driven modeling framework, we first assume that the time-varying variances of random errors in each equation of the TVP-VAR are score-driven, and then propose filtering and smoothing procedures to estimate time-varying parameters and time-varying volatilities. We show that under the forgetting factors, the filtering estimation of time-varying parameters is equivalent to an equation-by-equation estimator, significantly reducing the dimension of state space and thus delivering fast estimation. Moreover, a fast smoothing estimation can be derived, avoiding the inverse of the super-high dimensional state equation covariance matrix. We provide dynamic model averaging (selection) and </span>maximum likelihood estimates for forecasting and inference. Our simulation study shows that the proposed method is more accurate than the popular methods and enjoys tremendous computational gain from the equation-by-equation estimator. Finally, we conduct an empirical study on the dynamic connectedness of global stock markets, demonstrating the merits of our methods in real-time and ex-post analysis.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49889444","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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