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Sentiment-driven speculation in financial markets with heterogeneous beliefs: A machine learning approach 具有异质信念的金融市场中情绪驱动的投机：一种机器学习方法
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-03-27 DOI: 10.1016/j.jedc.2025.105092
Tommaso Di Francesco , Cars Hommes
{"title":"Sentiment-driven speculation in financial markets with heterogeneous beliefs: A machine learning approach","authors":"Tommaso Di Francesco ,&nbsp;Cars Hommes","doi":"10.1016/j.jedc.2025.105092","DOIUrl":"10.1016/j.jedc.2025.105092","url":null,"abstract":"<div><div>We study an heterogenous asset pricing model in which different classes of investors coexist and evolve, switching among strategies over time according to a fitness measure. In the presence of boundedly rational agents, with biased forecasts and trend following rules, we study the effect of two types of speculation: one based on fundamentalist and the other on rational expectations. While the first is only based on knowledge of the asset underlying dynamics, the second takes also into account the behavior of other investors. We bring the model to data by estimating it on the Bitcoin Market with two contributions, relying on methods from Machine Learning. First, we construct the Bitcoin Twitter Sentiment Index (BiTSI) to proxy a time varying bias. Second, we propose a new method based on a Neural Network, for the estimation of the resulting heterogeneous agent model with rational speculators. We show that the switching finds support in the data and that while fundamentalist speculation amplifies volatility, rational speculation has a stabilizing effect on the market.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"175 ","pages":"Article 105092"},"PeriodicalIF":1.9,"publicationDate":"2025-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143746920","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
Monetary policy, labor force participation, and wage rigidity 货币政策、劳动力参与率和工资刚性
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-03-25 DOI: 10.1016/j.jedc.2025.105085
Yuto Iwasaki , Hiroyuki Kubota , Ichiro Muto , Mototsugu Shintani
{"title":"Monetary policy, labor force participation, and wage rigidity","authors":"Yuto Iwasaki ,&nbsp;Hiroyuki Kubota ,&nbsp;Ichiro Muto ,&nbsp;Mototsugu Shintani","doi":"10.1016/j.jedc.2025.105085","DOIUrl":"10.1016/j.jedc.2025.105085","url":null,"abstract":"<div><div>To understand the role of monetary policy in determining the labor force participation rate, we present empirical evidence for Japan and the US. The data suggests that labor force participation declines in Japan but temporarily increases in the US in response to a monetary tightening. To inspect the mechanism, we develop and estimate a New Keynesian model of endogenous labor force participation decisions incorporating wage rigidity. We find that the opposite response of labor force participation can be attributed to a difference in the degree of wage rigidity. Counterfactual analysis based on the estimated models shows that the large-scale monetary easing in recent years helped boost the labor force participation rate in Japan, while its effect was almost neutral in the US.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"175 ","pages":"Article 105085"},"PeriodicalIF":1.9,"publicationDate":"2025-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143785163","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 credit flows: A tale of two effective lower bounds 货币政策与信贷流动：两个有效下限的故事
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-03-24 DOI: 10.1016/j.jedc.2025.105084
Timothy Bianco , Ana María Herrera
{"title":"Monetary policy and credit flows: A tale of two effective lower bounds","authors":"Timothy Bianco ,&nbsp;Ana María Herrera","doi":"10.1016/j.jedc.2025.105084","DOIUrl":"10.1016/j.jedc.2025.105084","url":null,"abstract":"<div><div>This paper evaluates the quantitative effects of monetary policy on credit flows. Using Compustat data and a factor-augmented vector autoregression where monetary policy shocks are identified via an external instrument, we show that monetary policy promotes long-term credit creation while delaying or preventing long-term credit destruction. In parallel, it reduces short-term credit creation and destruction, effectively reallocating credit toward longer maturities. Focusing on two effective lower bound periods, we show that monetary policy prompted a reshuffling of credit toward financially constrained firms, notably small, young, and high-default-probability firms. Our findings underscore the effectiveness of monetary policy in steering credit toward financially constrained firms and stimulating future economic activity near the effective lower bound.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"175 ","pages":"Article 105084"},"PeriodicalIF":1.9,"publicationDate":"2025-03-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143716314","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
Robust algorithmic trading in a generalized lattice market 广义网格市场中的稳健算法交易
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-03-21 DOI: 10.1016/j.jedc.2025.105083
Chung-Han Hsieh , Xin-Yu Wang
{"title":"Robust algorithmic trading in a generalized lattice market","authors":"Chung-Han Hsieh ,&nbsp;Xin-Yu Wang","doi":"10.1016/j.jedc.2025.105083","DOIUrl":"10.1016/j.jedc.2025.105083","url":null,"abstract":"<div><div>This paper introduces a novel robust trading paradigm, called <em>multi-double linear policies</em>, within a <em>generalized</em> lattice market that incorporates serially correlated returns through a conditional probabilistic model as well as asset correlations. Our framework departs from existing discrete-time robust trading strategies, which are typically limited to single or paired assets and embed asset correlation within the trading strategy itself, rather than as an inherent market characteristic. In the nominal case, where model parameters are known, we demonstrate that the proposed policies ensure survivability and probabilistic positivity. We derive an analytic expression for the worst-case expected gain-loss and prove sufficient conditions under which the proposed policies can maintain <em>positive expected profits</em>, even within a seemingly nonprofitable symmetric lattice market. For unknown parameters requiring estimation, we show that the parameter space of the lattice model forms a convex polyhedron and present an efficient estimation method using a constrained least-squares approach. These theoretical findings are strengthened by extensive empirical studies using data from the top 30 companies within the S&amp;P 500 index, substantiating the effectiveness of the generalized model and the robustness of the proposed policies in sustaining the positive expected profit and providing downside risk protection.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"174 ","pages":"Article 105083"},"PeriodicalIF":1.9,"publicationDate":"2025-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143687602","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
Dynamic labor demand and informality 动态劳动力需求与非正式性
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-03-20 DOI: 10.1016/j.jedc.2025.105082
Armela Mancellari
{"title":"Dynamic labor demand and informality","authors":"Armela Mancellari","doi":"10.1016/j.jedc.2025.105082","DOIUrl":"10.1016/j.jedc.2025.105082","url":null,"abstract":"<div><div>Formal firms across the size distribution face static and dynamic incentives to employ informal labor. In this paper, I explore the implications of these incentives for resource allocation within and across firms and for policies that address informality. I build and estimate a structural model in which firms employ informal labor to evade payroll taxes (a static incentive) and to avoid the adjustment costs incurred when hiring or firing formal workers (a dynamic incentive). Formal firms do not report informal labor in official data. I overcome this obstacle with a novel strategy that exploits a 2015 shock to the enforcement of Albanian tax laws to extract information about firms' use of informal labor which I use to estimate the model. I reach three conclusions. First, I show that the gains in allocative efficiency that accrue to better enforcement of labor laws are far more modest after accounting for firms' dynamic incentives to use informal labor to adjust to shocks. Second, failing to account for informal labor results in an overstatement of formal labor adjustment costs by a factor of two. Intuitively, firms use informal labor to avoid the cost of varying output, and thus the reported data understates variation in their actual use of labor. Third, I show that reducing the costs of rigidities in formal labor markets is as effective as enhanced enforcement in reducing the aggregate informal share of employment.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"174 ","pages":"Article 105082"},"PeriodicalIF":1.9,"publicationDate":"2025-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143688026","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
Hidden information as a source of misallocation: An application to the opioid crisis 隐藏信息作为分配不当的来源：在阿片类药物危机中的应用
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-03-14 DOI: 10.1016/j.jedc.2025.105081
Bayarmaa Dalkhjav , Loris Rubini
{"title":"Hidden information as a source of misallocation: An application to the opioid crisis","authors":"Bayarmaa Dalkhjav ,&nbsp;Loris Rubini","doi":"10.1016/j.jedc.2025.105081","DOIUrl":"10.1016/j.jedc.2025.105081","url":null,"abstract":"<div><div>We develop a general equilibrium model where key employee information is hidden from managers, leading to a suboptimal allocation of resources. The health of the employees is not verifiable by managers, and an employee with poor health is less productive than a healthy one. We use this framework to study the loss of resources due to misallocation associated with the opioid crisis. Individuals with opioid use disorder are less productive and absent more often, which by itself generates output losses. In addition, since managers cannot distinguish unhealthy from healthy workers, wages differ from marginal productivity, creating a suboptimal allocation of resources. Calibrating the model to the U.S., we estimate that opioid misuse reduced output by $218.07 billion in 2023, with 12.4% of this loss attributable to misallocation.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"174 ","pages":"Article 105081"},"PeriodicalIF":1.9,"publicationDate":"2025-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143636340","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 role of international reserves in sovereign debt restructuring under fiscal adjustment 财政调整下国际储备在主权债务重组中的作用
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-03-06 DOI: 10.1016/j.jedc.2025.105080
Tiago Tavares
{"title":"The role of international reserves in sovereign debt restructuring under fiscal adjustment","authors":"Tiago Tavares","doi":"10.1016/j.jedc.2025.105080","DOIUrl":"10.1016/j.jedc.2025.105080","url":null,"abstract":"<div><div>Highly indebted developing economies commonly also hold large external reserves. This behavior seems puzzling given that governments borrow with an interest rate penalty to compensate lenders for default risk. Although reducing external debt to the same extent as international reserves would reduce the interest payment burden, reserves can have additional insurance benefits during default crises. Moreover, reserves can also be used to improve lenders recovery rates upon default, thus decreasing the interest rate penalty in non-defaulting times. A standard model of sovereign default risk, augmented with distortionary tax policies and debt restructuring, can replicate quantitatively the observed data patterns on external debt and reserves holdings.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"174 ","pages":"Article 105080"},"PeriodicalIF":1.9,"publicationDate":"2025-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143592416","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
What drives German trend output growth? A sectoral view 是什么推动了德国趋势产出增长？行业观点
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-03-06 DOI: 10.1016/j.jedc.2025.105079
Robert Lehmann , Lara Zarges
{"title":"What drives German trend output growth? A sectoral view","authors":"Robert Lehmann ,&nbsp;Lara Zarges","doi":"10.1016/j.jedc.2025.105079","DOIUrl":"10.1016/j.jedc.2025.105079","url":null,"abstract":"<div><div>In this paper, we outline material and capital linkages across sectors to quantify the role of the German production network in amplifying sectoral dynamics on aggregate trend gross domestic product growth. This allows us to study the impact of sectoral labor input and total factor productivity trend growth variation on the persistent decline in long-run output growth. Our estimation reveals that sector-specific developments have historically accounted for half of this long-term decline. Zooming into the reunification period, we find a pronounced decline of total factor productivity growth in Professional and Business Services together with a fall in labor input growth in the Construction sector to drive the sharp decline of German trend output growth over the 1990s. We further document significant changes regarding the sectors' importance as input suppliers to the economy over the past decades. Our analysis identifies the labor-intensive Construction sector as a major input hub in the production network, its long-run amplification effect exceeding four times its share in value added. Given the impending demographic change, the low potential for automation in this sector may significantly reduce future German trend output growth.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"174 ","pages":"Article 105079"},"PeriodicalIF":1.9,"publicationDate":"2025-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143578669","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
Robots, AI, and unemployment 机器人、人工智能和失业
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-03-04 DOI: 10.1016/j.jedc.2025.105069
Noritaka Kudoh , Hiroaki Miyamoto
{"title":"Robots, AI, and unemployment","authors":"Noritaka Kudoh ,&nbsp;Hiroaki Miyamoto","doi":"10.1016/j.jedc.2025.105069","DOIUrl":"10.1016/j.jedc.2025.105069","url":null,"abstract":"<div><div>Do robots and artificial intelligence (AI) cause joblessness? We develop a dynamic general equilibrium model with search-matching frictions. In our model, robots substitute routine human tasks, and AI substitutes abstract human tasks. We find a cutoff level for the elasticity of substitution between routine labor input and robots, above which an increase in robot productivity leads to increased unemployment. We examine a scenario in which AI-driven automation of abstract tasks transforms high-skilled workers into unskilled ones. A substantial productivity gain through AI is required to offset the output loss associated with this labor displacement.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"174 ","pages":"Article 105069"},"PeriodicalIF":1.9,"publicationDate":"2025-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143549366","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
Microdata-based output gap estimation using business tendency surveys 使用业务趋势调查的基于微数据的产出缺口估计
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-02-27 DOI: 10.1016/j.jedc.2025.105068
Mirosław Błażej , Mariusz Górajski , Magdalena Ulrichs
{"title":"Microdata-based output gap estimation using business tendency surveys","authors":"Mirosław Błażej ,&nbsp;Mariusz Górajski ,&nbsp;Magdalena Ulrichs","doi":"10.1016/j.jedc.2025.105068","DOIUrl":"10.1016/j.jedc.2025.105068","url":null,"abstract":"<div><div>This study employs a micro-econometric model to estimate output gaps by analysing microdata from business tendency surveys and annual enterprise activity reports. We apply the control function method to estimate sector-specific production functions that incorporate information about firms' capacity utilisation levels. To construct aggregate indices of potential output, we calculate potential input values by extracting statistical trends from firm-level data and then input them into production functions. We then compute microdata-based output gaps for regions, sectors, and the total economy. Subsequently, we decompose the total output gap into three primary components: capital-, labour-, and capacity utilisation-based output gaps, as well as weighted sectoral and regional output gaps. We validate our methodology by analysing the Polish manufacturing, construction, and service sectors, highlighting its strengths and limitations. Our findings reveal that capacity utilisation effectively captures the business cycle component within unadjusted total factor productivity indices. Finally, we demonstrate that microdata-based output gap measures are significant explanatory variables in the Phillips curve.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"174 ","pages":"Article 105068"},"PeriodicalIF":1.9,"publicationDate":"2025-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143529336","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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