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Declining research productivity and income inequality: A centenary perspective 研究生产力下降与收入不平等：百年展望
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-08-02 DOI: 10.1016/j.jedc.2024.104924
Jakob Madsen , Antonio Minniti , Francesco Venturini
{"title":"Declining research productivity and income inequality: A centenary perspective","authors":"Jakob Madsen ,&nbsp;Antonio Minniti ,&nbsp;Francesco Venturini","doi":"10.1016/j.jedc.2024.104924","DOIUrl":"10.1016/j.jedc.2024.104924","url":null,"abstract":"<div><p>Research productivity has been sharply declining since 1920. This decline has significant implications for inequality. Using an open-economy Schumpeterian growth model, we show that domestic research productivity influences income inequality through two opposing forces: a positive effect from increased asset returns and a negative effect from the erosion of innovation rents through creative destruction. In contrast, foreign research productivity affects inequality solely through the asset returns channel. By constructing a long historical data series for 21 OECD countries, we find that the asset returns channel has been the dominant driver of inequality over the past century. The reduction in both domestic and foreign R&amp;D productivity accounts for 25% to 35% of the observed downward trend in income inequality over this period.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"167 ","pages":"Article 104924"},"PeriodicalIF":1.9,"publicationDate":"2024-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0165188924001167/pdfft?md5=7216f732573de39c44eefffaf490bb4a&pid=1-s2.0-S0165188924001167-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141946547","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
Competition among high-frequency traders and market quality 高频交易商之间的竞争与市场质量
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-08-02 DOI: 10.1016/j.jedc.2024.104922
Johannes Breckenfelder
{"title":"Competition among high-frequency traders and market quality","authors":"Johannes Breckenfelder","doi":"10.1016/j.jedc.2024.104922","DOIUrl":"10.1016/j.jedc.2024.104922","url":null,"abstract":"<div><p>I study how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. The analysis exploits a unique dataset, which allows comparing environments with and without high-frequency competition, and contains an event - a tick size reform - which I use to separate the effects of high-frequency trading competition from the effects of the rising share of high-frequency trading in the market. I find that when HFTs compete in a stock, their speculative trading increases. Furthermore, market quality in that stock deteriorates. My findings hold for a variety of market quality and high-frequency trading behavior measures.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"166 ","pages":"Article 104922"},"PeriodicalIF":1.9,"publicationDate":"2024-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141946550","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 empirical performance of the financial accelerator since 2008 2008 年以来金融加速器的实证表现
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-08-02 DOI: 10.1016/j.jedc.2024.104927
Gregor Boehl , Felix Strobel
{"title":"The empirical performance of the financial accelerator since 2008","authors":"Gregor Boehl ,&nbsp;Felix Strobel","doi":"10.1016/j.jedc.2024.104927","DOIUrl":"10.1016/j.jedc.2024.104927","url":null,"abstract":"<div><p>We evaluate the empirical performance of financial frictions à la Bernanke et al. (1999) during and after the Global Financial Crisis. We document that in an ex-post analysis based on nonlinear Bayesian methods, these frictions do not improve the standard medium-scale DSGE model's ability to explain the macroeconomic dynamics during the Great Recession. The reason is that in the estimated model with financial frictions, the drastic post-2008 collapse of investment causes firms' leverage to decline. Taking the model at face value, this would trigger a narrowing of the credit spread, contradicting the observed persistently large credit spread throughout the post-2008 period. Additionally, the estimated model attributes only a minor role to risk shocks à la Christiano et al. (2014). These findings are confirmed independently for US and euro area data.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"167 ","pages":"Article 104927"},"PeriodicalIF":1.9,"publicationDate":"2024-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0165188924001192/pdfft?md5=e65078d7b362cfed91ac4ed4c56967fd&pid=1-s2.0-S0165188924001192-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141962741","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
Dynamic mean-variance portfolio selection under factor models 因子模型下的动态均值-方差投资组合选择
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-08-02 DOI: 10.1016/j.jedc.2024.104923
Yun Shi , Lingjie Kong , Lanzhi Yang , Duan Li , Xiangyu Cui
{"title":"Dynamic mean-variance portfolio selection under factor models","authors":"Yun Shi ,&nbsp;Lingjie Kong ,&nbsp;Lanzhi Yang ,&nbsp;Duan Li ,&nbsp;Xiangyu Cui","doi":"10.1016/j.jedc.2024.104923","DOIUrl":"10.1016/j.jedc.2024.104923","url":null,"abstract":"<div><p>Utilizing insights from financial literature and empirical financial data, we introduce a comprehensive system of factor models designed to capture both return and risk dynamics. Our focus extends to addressing the multi-period mean-variance portfolio selection challenge within the framework of these proposed factor models. Through rigorous analysis, we formulate a semi-analytical optimal portfolio policy, characterized by a linear relationship with the current wealth level. The coefficients of this optimal policy are intricately linked to a specific stochastic process known as the future investment opportunity (FIO), reflecting the investor's anticipation of future investment prospects. Furthermore, empirical examination within the U.S. market context underscores the efficacy of our approach. By incorporating the factor models for return and risk, our optimal portfolio policy exhibits superior out-of-sample Sharpe ratio compared to benchmark policies.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"167 ","pages":"Article 104923"},"PeriodicalIF":1.9,"publicationDate":"2024-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141946548","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 early retirement with target wealth 目标财富的最佳提前退休方式
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-08-02 DOI: 10.1016/j.jedc.2024.104926
Katerina Ivanov , Weidong Tian
{"title":"Optimal early retirement with target wealth","authors":"Katerina Ivanov ,&nbsp;Weidong Tian","doi":"10.1016/j.jedc.2024.104926","DOIUrl":"10.1016/j.jedc.2024.104926","url":null,"abstract":"<div><p>An agent often considers retirement adequacy when making a retirement decision. This paper introduces a target wealth constraint, where financial wealth must exceed an agent-based threshold for retirement, and studies several early retirement models under such a constraint. We present explicit characterizations of the optimal retirement time and demonstrate the influence of the target wealth on the early retirement decision and the consumption-investment strategy. As the target wealth for retirement increases, the agent will increase consumption, decrease investment in the risky asset, and delay the retirement time. Due to the early retirement effect, the proportion of financial wealth invested in risky assets could increase when the financial wealth approaches the target wealth. Our models demonstrate that retirement adequacy is a crucial factor in early retirement decisions.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"167 ","pages":"Article 104926"},"PeriodicalIF":1.9,"publicationDate":"2024-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141979503","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
Replicating business cycles and asset returns with sentiment and low risk aversion 用情绪和低风险规避复制商业周期和资产回报
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-07-30 DOI: 10.1016/j.jedc.2024.104921
Kevin J. Lansing
{"title":"Replicating business cycles and asset returns with sentiment and low risk aversion","authors":"Kevin J. Lansing","doi":"10.1016/j.jedc.2024.104921","DOIUrl":"10.1016/j.jedc.2024.104921","url":null,"abstract":"<div><p>I solve for the sequences of shocks (or wedges) that allow a standard real business cycle model to exactly replicate the quarterly time paths of U.S. macroeconomic variables and asset returns since 1960. The resulting shock sequences can be grouped into three main categories: (1) shocks that affect household sentiment and preferences, (2) shocks that appear in the law of motion for capital, and (3) shocks that appear in the production function for output. For most variables including output, no single shock category is clearly dominant in explaining the observed movements in U.S. data. While some variables are driven by a single dominant shock category, the dominant category is different for each of those variables. The results imply that there is no “most important shock.” Rather, U.S. economic outcomes have been shaped by a complex and time-varying mixture of fundamental and non-fundamental disturbances.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"167 ","pages":"Article 104921"},"PeriodicalIF":1.9,"publicationDate":"2024-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141946551","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 the sources of the aggregate risk premium: Risk aversion, bubbles or regime-switching? 总风险溢价的来源：风险规避、泡沫还是制度转换？
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-07-18 DOI: 10.1016/j.jedc.2024.104919
Tomás E. Caravello , John Driffill , Turalay Kenc , Martin Sola
{"title":"On the sources of the aggregate risk premium: Risk aversion, bubbles or regime-switching?","authors":"Tomás E. Caravello ,&nbsp;John Driffill ,&nbsp;Turalay Kenc ,&nbsp;Martin Sola","doi":"10.1016/j.jedc.2024.104919","DOIUrl":"10.1016/j.jedc.2024.104919","url":null,"abstract":"<div><p>We develop and estimate a consumption-based asset pricing model that uses historical US financial data and assumes recursive utility, allowing for priced regime-switching risk and intrinsic bubbles. We also estimate several restricted versions, including only a subset of these features. Priced regime-switching risk is essential to the equity risk premium, explaining more than fifty per cent of it. Furthermore, a model that does not consider regime switching would overestimate the public's risk aversion, mistakenly assigning the observed risk premium to high-risk aversion instead of priced regime-switching. We also find that intrinsic bubbles are statistically significant, and even though they are not crucial in explaining the risk premium, they substantially improve the model's fit at the end of the sample.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"166 ","pages":"Article 104919"},"PeriodicalIF":1.9,"publicationDate":"2024-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141851024","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 high-dimensional additive nonparametric model 高维加性非参数模型
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-07-14 DOI: 10.1016/j.jedc.2024.104916
Frank C.Z. Wu
{"title":"A high-dimensional additive nonparametric model","authors":"Frank C.Z. Wu","doi":"10.1016/j.jedc.2024.104916","DOIUrl":"10.1016/j.jedc.2024.104916","url":null,"abstract":"<div><p>Nonparametric additive models are garnering increasing attention in applied research across fields like statistics and economics, attributed to their distinct interpretability, versatility, and their adeptness at addressing the curse of dimensionality. This paper introduces a novel and efficient fully Bayesian method for estimating nonparametric additive models, employing a band matrix smoothness prior. Our methodology leverages unobserved binary indicator parameters, promoting linearity in each additive component while allowing for deviations from it. We validate the efficacy of our approach through experiments on synthetic data derived from ten-component additive models, encompassing diverse configurations of linear, nonlinear, and zero function components. Additionally, the robustness of our algorithm is tested on high-dimensional models featuring up to one hundred components, and models correlated components. The practical utility and computational efficiency of our technique are further underscored by its application to two real-world datasets, showcasing its broad applicability and effectiveness in various scenarios.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"166 ","pages":"Article 104916"},"PeriodicalIF":1.9,"publicationDate":"2024-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141639418","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
Financial crises with different collateral types 不同抵押品类型的金融危机
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-07-11 DOI: 10.1016/j.jedc.2024.104915
Rohan Shah
{"title":"Financial crises with different collateral types","authors":"Rohan Shah","doi":"10.1016/j.jedc.2024.104915","DOIUrl":"10.1016/j.jedc.2024.104915","url":null,"abstract":"<div><p>Firms borrow against earnings more than they do against their assets. How does this affect the aggregate response to financial crises? I take a dynamic stochastic general equilibrium model of heterogeneous firms that choose their capital and debt subject to a borrowing constraint and examine the recovery from a financial crisis when firms can use different types of collateral. I compare between two collateral types: assets, and earnings. I find that when firms borrow against earnings recessions are deeper, but recoveries are quicker compared to when firms borrow against assets. I also find that neither type of collateral can, by itself, completely explain the recovery from the Great Recession. Instead, the path of investment after the 2007-2008 Financial crisis is better captured by firms borrowing against earnings than by firms borrowing against assets, but this is reversed when looking at the path of output. This suggests that a combination of collateral types is required to fully capture the recovery from the Great Recession.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"166 ","pages":"Article 104915"},"PeriodicalIF":1.9,"publicationDate":"2024-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141714440","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
Multinational entry and exit, technology transfer, and international business cycles 跨国公司的进入和退出、技术转让和国际商业周期
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-07-11 DOI: 10.1016/j.jedc.2024.104914
Gautham Udupa
{"title":"Multinational entry and exit, technology transfer, and international business cycles","authors":"Gautham Udupa","doi":"10.1016/j.jedc.2024.104914","DOIUrl":"10.1016/j.jedc.2024.104914","url":null,"abstract":"<div><p>I develop a general equilibrium model of trade and horizontal multinational firms with firm heterogeneity and parent-to-affiliate technology transfer to evaluate how multinationals affect international business cycles. When calibrated to match micro and macro features of the United States, the impact of multinational firms crucially depends on the labor supply elasticity and the technology transfer parameter. Surprisingly, with standard (elastic) labor supply, multinationals lead to <em>lower</em> international correlations and <em>higher</em> macroeconomic volatility. A novel mechanism – procyclical exit of multinational firms – drives these results. The results are overturned only when inelastic labor supply and a high level of technology transfer are implemented together. Using novel bilateral data on the number and sales of multinational affiliates, I find evidence that the key model mechanism, i.e., entry and exit by multinationals, increases international output correlation.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"166 ","pages":"Article 104914"},"PeriodicalIF":1.9,"publicationDate":"2024-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141639434","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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