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Welfare and economic implications of universal child benefits 全民儿童福利的福利和经济影响
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-08-12 DOI: 10.1016/j.jedc.2024.104932
Aleksandra Kolasa
{"title":"Welfare and economic implications of universal child benefits","authors":"Aleksandra Kolasa","doi":"10.1016/j.jedc.2024.104932","DOIUrl":"10.1016/j.jedc.2024.104932","url":null,"abstract":"<div><p>Universal child benefits are an important component of the social protection systems in many developed economies, particularly in Europe. When evaluating their impact, most studies tend to focus primarily on the empirical evidence and short-term effects. However, given their large-scale implementation, such programs can have sizable general equilibrium effects. The aim of this paper is to study the long-run implications of universal child benefits within a theoretical framework that can capture the complexities of household decisions regarding consumption, labor participation, and the timing of children. To this end, I develop an overlapping generations model with idiosyncratic earnings risk, infertility shocks, and endogenous temporal fertility. According to the model simulations, universal child benefits lead to a reduction in the spacing between children and, on average, lower maternal age at childbirth for all births. This, in turn, alleviates some of the negative aggregate effects typically associated with redistributive policies, but has a detrimental impact on the average quality of children. Finally, universal child benefits increase ex-ante welfare by 0.42% of lifetime adult consumption, significantly outperforming broad-based transfer policies not tied to the number of children.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0165188924001246/pdfft?md5=be2ee5038ded185acf5cd9e7e49510b1&pid=1-s2.0-S0165188924001246-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142006633","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 expected return integrating real-time asset prices implied information and historical data 综合实时资产价格隐含信息和历史数据估算预期收益率
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-08-10 DOI: 10.1016/j.jedc.2024.104931
Shikun Wang , Shushang Zhu , Yi Huang , Zhongfei Li
{"title":"Estimation of expected return integrating real-time asset prices implied information and historical data","authors":"Shikun Wang ,&nbsp;Shushang Zhu ,&nbsp;Yi Huang ,&nbsp;Zhongfei Li","doi":"10.1016/j.jedc.2024.104931","DOIUrl":"10.1016/j.jedc.2024.104931","url":null,"abstract":"<div><p>In this paper, we develop a novel estimation for expected stock returns combining forward-looking information implied by real-time asset prices and backward-looking information implied by historical data. Considering a general heterogeneous market composed of both informed investors and noise investors, we investigate the market equilibrium characterized by the expected returns, risk-neutral moments and market portfolio. To mitigate the negative impact of the market noise on the forward-looking information implied in market equilibrium, we then incorporate historical data and propose the combined estimation for expected return within a Bayesian framework. The combined estimation is adaptive to the market composition and adjustable to changes in market states. Monte Carlo simulations and empirical studies are performed to validate the merits of the proposed approach.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142006632","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
Quantifying qualitative survey data with panel data 用面板数据量化定性调查数据
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-08-06 DOI: 10.1016/j.jedc.2024.104929
Alexandros Botsis , Christoph Görtz , Plutarchos Sakellaris
{"title":"Quantifying qualitative survey data with panel data","authors":"Alexandros Botsis ,&nbsp;Christoph Görtz ,&nbsp;Plutarchos Sakellaris","doi":"10.1016/j.jedc.2024.104929","DOIUrl":"10.1016/j.jedc.2024.104929","url":null,"abstract":"<div><p>We develop a novel methodology to quantify forecasts based on qualitative survey data. The methodology is generally applicable when quantitative information is available on the realization of the forecasted variable, for example from firm balance sheets. The method can be applied to a wide range of panel datasets, including qualitative surveys on firm-level forecasts or household expectations. As an application, we employ a panel of Greek manufacturing firms and quantify firms' forecast errors of own sales growth. In this context, we conduct a variety of exercises to demonstrate the methodology's validity and accuracy.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141946546","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
International portfolio rebalancing and fiscal policy spillovers 国际投资组合再平衡与财政政策溢出效应
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-08-05 DOI: 10.1016/j.jedc.2024.104925
Sami Alpanda , Uluc Aysun , Serdar Kabaca
{"title":"International portfolio rebalancing and fiscal policy spillovers","authors":"Sami Alpanda ,&nbsp;Uluc Aysun ,&nbsp;Serdar Kabaca","doi":"10.1016/j.jedc.2024.104925","DOIUrl":"10.1016/j.jedc.2024.104925","url":null,"abstract":"<div><p>We theoretically and empirically evaluate the spillover effects of debt-financed fiscal policy interventions of the United States on other economies. We first consider a two-country dynamic stochastic general equilibrium model with international portfolio rebalancing effects arising from an imperfect substitutability between short- and long-term domestic and foreign bonds. We show that the model predicts fiscal multipliers for the US similar to those found in the literature. For international spillovers, the model shows that US fiscal expansions financed by long-term debt issuance would, on net, hinder economic activity in the rest of the world (ROW). This is despite the standard trade channel's net positive effect on the ROW economy given the depreciation in the ROW currency. The fall in ROW output occurs mainly due to the increase in the ROW term premiums and long-term rates through the portfolio rebalancing channel, as the relative demand for ROW long-term bonds decreases following the increase in the supply of US long-term bonds accompanying the fiscal expansion. Testing the predictions of our theoretical model by using panel regressions and vector autoregressions, we find empirical support for the trade and portfolio balance channels of fiscal spillovers and for the negative relationship between ROW output and US fiscal policy shocks.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142021178","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
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":null,"pages":null},"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":null,"pages":null},"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":null,"pages":null},"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":null,"pages":null},"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":null,"pages":null},"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":null,"pages":null},"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
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