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Time-varying government spending foresight 时变的政府支出预见
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-02-18 DOI: 10.1016/j.jedc.2025.105067
Junjie Guo , Zhao Han
{"title":"Time-varying government spending foresight","authors":"Junjie Guo ,&nbsp;Zhao Han","doi":"10.1016/j.jedc.2025.105067","DOIUrl":"10.1016/j.jedc.2025.105067","url":null,"abstract":"<div><div>Government spending forecast is noisy and displays time-varying uncertainties. Using the Survey of Professional Forecasters, we establish three stylized facts about disagreement regarding future discretionary government spending. A simple noise representation of foresight <em>á la</em> <span><span>Chahrour and Jurado (2018)</span></span> featuring stochastic volatility captures these stylized facts. We analyze both qualitatively and quantitatively how the noisy foresight structure impacts the macroeconomy under different monetary-fiscal policy regimes. Time-varying fiscal foresight manifests its effect through non-zero noise shocks by generating state-dependent government spending multipliers.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"173 ","pages":"Article 105067"},"PeriodicalIF":1.9,"publicationDate":"2025-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143453204","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
Trend-cycle decomposition in the presence of large shocks 在大冲击存在的情况下趋势周期分解
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-02-18 DOI: 10.1016/j.jedc.2025.105066
Güneş Kamber , James Morley , Benjamin Wong
{"title":"Trend-cycle decomposition in the presence of large shocks","authors":"Güneş Kamber ,&nbsp;James Morley ,&nbsp;Benjamin Wong","doi":"10.1016/j.jedc.2025.105066","DOIUrl":"10.1016/j.jedc.2025.105066","url":null,"abstract":"<div><div>We introduce some refinements of the Beveridge-Nelson filter to help address possible distortions from large shocks. We then compare how the Beveridge-Nelson filter and other popular univariate trend-cycle decomposition methods perform given the extreme outliers associated with the Covid recession. Real-time estimates of the output gap based on the Hodrick-Prescott filter are highly unreliable in the years just prior to the pandemic, although the revised estimates during the pandemic are similar to those of the more reliable Beveridge-Nelson filter. The Hamilton filter suffers from base effects that produce a mechanical spike in the estimated output gap exactly two years after the onset of the pandemic, in line with the filter horizon. Given projected data with a simulated Covid-like shock, both the Hodrick-Prescott and Hamilton filters overstate the true reduction in the output gap and fail to capture the implied movements in trend output. The Hodrick-Prescott filter generates a spurious transitory boom just prior to the simulated shock, while the Hamilton filter produces another mechanical spike exactly two years after the simulated shock, as well as an ongoing divergence in forecasted values of the output gap away from zero. Only the Beveridge-Nelson filter correctly forecasts trend and cycle movements when faced with a Covid-like shock.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"173 ","pages":"Article 105066"},"PeriodicalIF":1.9,"publicationDate":"2025-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143510760","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
Conditional forecasts in large Bayesian VARs with multiple equality and inequality constraints 具有多个等式和不等式约束的大型贝叶斯var的条件预测
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-02-05 DOI: 10.1016/j.jedc.2025.105061
Joshua C.C. Chan , Davide Pettenuzzo , Aubrey Poon , Dan Zhu
{"title":"Conditional forecasts in large Bayesian VARs with multiple equality and inequality constraints","authors":"Joshua C.C. Chan ,&nbsp;Davide Pettenuzzo ,&nbsp;Aubrey Poon ,&nbsp;Dan Zhu","doi":"10.1016/j.jedc.2025.105061","DOIUrl":"10.1016/j.jedc.2025.105061","url":null,"abstract":"<div><div>Conditional forecasts, i.e. projections of a set of variables of interest on the future paths of some other variables, are used routinely by empirical macroeconomists in a number of applied settings. In spite of this, the existing algorithms used to generate conditional forecasts tend to be very computationally intensive, especially when working with large Vector Autoregressions or when multiple linear equality and inequality constraints are imposed at once. We introduce a novel precision-based sampler that is fast, scales well, and yields conditional forecasts from linear equality and inequality constraints. We show in a simulation study that the proposed method produces forecasts that are identical to those from the existing algorithms but in a fraction of the time. We then illustrate the performance of our method in a large Bayesian Vector Autoregression. Within this setting, we first highlight how we can simultaneously impose a mix of linear equality and inequality constraints on the future trajectories of several key US macroeconomic indicators over a forecast horizon spanning multiple years. Next, we test the benefits of using inequality constraints in an out-of-sample exercise spanning the period between 1995Q1 and 2022Q3 and find that imposing these constraints on the future path of Real GDP leads to significant improvement in point and density forecasts of the large BVAR model.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"173 ","pages":"Article 105061"},"PeriodicalIF":1.9,"publicationDate":"2025-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143350011","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
Modelling dynamic interdependence in nonstationary variances with an application to carbon markets 非平稳方差中的动态相互依赖建模及其在碳市场中的应用
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-02-05 DOI: 10.1016/j.jedc.2025.105062
Susana Campos-Martins , Cristina Amado
{"title":"Modelling dynamic interdependence in nonstationary variances with an application to carbon markets","authors":"Susana Campos-Martins ,&nbsp;Cristina Amado","doi":"10.1016/j.jedc.2025.105062","DOIUrl":"10.1016/j.jedc.2025.105062","url":null,"abstract":"<div><div>In this paper we propose a multivariate generalisation of the multiplicative decomposition of the volatility within the class of conditional correlation GARCH models. The GARCH variance equations are multiplicatively decomposed into a deterministic nonstationary component describing the long-run movements in volatility and a short-run dynamic component allowing for volatility interactions across markets or assets. The conditional correlations are assumed to be time-invariant in its simplest form or generalised into a flexible dynamic parameterisation. Parameters of the model are estimated equation-by-equation by maximum likelihood applying the maximisation by parts algorithm to the variance equations, and thereafter to the structure of conditional correlations. An empirical application using carbon markets data illustrates the usefulness of the model. Our results suggest that, after modelling the variance equations accordingly, we find evidence that the transmission mechanism of shocks is supported by the presence of dynamic interdependence in variances robust to nonstationarity.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"173 ","pages":"Article 105062"},"PeriodicalIF":1.9,"publicationDate":"2025-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143223223","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
How large are hysteresis effects? Estimates from a Keynesian growth model 滞后效应有多大？根据凯恩斯增长模型的估计
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-02-04 DOI: 10.1016/j.jedc.2025.105058
Steven M. Fazzari , Alejandro González
{"title":"How large are hysteresis effects? Estimates from a Keynesian growth model","authors":"Steven M. Fazzari ,&nbsp;Alejandro González","doi":"10.1016/j.jedc.2025.105058","DOIUrl":"10.1016/j.jedc.2025.105058","url":null,"abstract":"<div><div>This paper estimates a demand-led model of macroeconomic growth and fluctuations in which the growth rate of the economy's supply side converges to the growth rate of demand. Convergence happens because labor supply and productivity growth respond to the degree of slack in the economy. Faster demand growth reduces unemployment and stimulates supply. We estimate the model using simulated method of moments and find that after a unit demand shock, labor productivity and labor supply increase by 0.8 and 0.2, respectively, in the long-run. For an economy with labor market slack, our estimates imply that supply growth could accommodate a one percentage point increase in the growth rate of demand with a 0.74 percentage point reduction in the long-run unemployment rate. These hysteresis results are robust to whether or not the Great Recession is included in our sample.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"173 ","pages":"Article 105058"},"PeriodicalIF":1.9,"publicationDate":"2025-02-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143376822","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
An experimental analysis of contagion in financial markets 金融市场传染的实验分析
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-02-01 DOI: 10.1016/j.jedc.2024.105033
Ronald Peeters , Helena Veiga , Marc Vorsatz
{"title":"An experimental analysis of contagion in financial markets","authors":"Ronald Peeters ,&nbsp;Helena Veiga ,&nbsp;Marc Vorsatz","doi":"10.1016/j.jedc.2024.105033","DOIUrl":"10.1016/j.jedc.2024.105033","url":null,"abstract":"<div><div>In an experimental market, we study how information about the dividend of an asset, which is available to some traders, is absorbed in the asset's price when all traders also have access to the prices of another different asset. We consider two treatments: in one, the dividends of the two assets are independent; in the other, the dividend of the own asset correlates positively with the dividend of the other asset. Since there is no aggregate uncertainty in the own market, the other dividend should not affect own prices according to the rational expectations equilibrium. Consistent with a prior information perspective, we find that (a) own prices are increasing in the other dividend if and only if dividends are correlated, and (b) correlated dividends can worsen information dissemination when the own dividend is low, and the other dividend is high. These findings imply that linkages between markets, both via fundamentals and via observability of market prices, can cause financial contagion even if there are corrective market forces at play (superior private information in the own market).</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"171 ","pages":"Article 105033"},"PeriodicalIF":1.9,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143130048","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
Entrepreneurship and leverage dynamics without commitment 创业和杠杆动态没有承诺
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-02-01 DOI: 10.1016/j.jedc.2025.105043
Caiquan Bai , Chen Feng , Congming Mu , Siqi Zhao
{"title":"Entrepreneurship and leverage dynamics without commitment","authors":"Caiquan Bai ,&nbsp;Chen Feng ,&nbsp;Congming Mu ,&nbsp;Siqi Zhao","doi":"10.1016/j.jedc.2025.105043","DOIUrl":"10.1016/j.jedc.2025.105043","url":null,"abstract":"<div><div>This paper builds a dynamic liquidity management model to examine the interdependent consumption-portfolio choices and debt financing problems when a risk-averse entrepreneur has leverage commitment friction. First, we find that low risk aversion leads to active debt buybacks, providing a novel rationale for the prevalent callable feature through the risk management channel. Second, high risk aversion generates a leverage ratchet effect. The distressed entrepreneur reduces consumption but takes on more risk to gamble for resurrection. To diversify business risk, the borrower accelerates the issuance of risky debt. Finally, we predict that the debt spiral effect (leverage mean reversion) is more likely to occur when the borrower is less (more) risk-averse, debt maturity is longer (shorter), or idiosyncratic risk is smaller (larger).</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"171 ","pages":"Article 105043"},"PeriodicalIF":1.9,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143130053","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
An Investigation into the Uncertainty Revision Process of Professional Forecasters 专业预报员不确定性修正过程的研究
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-02-01 DOI: 10.1016/j.jedc.2025.105060
Michael P. Clements , Robert W. Rich , Joseph Tracy
{"title":"An Investigation into the Uncertainty Revision Process of Professional Forecasters","authors":"Michael P. Clements ,&nbsp;Robert W. Rich ,&nbsp;Joseph Tracy","doi":"10.1016/j.jedc.2025.105060","DOIUrl":"10.1016/j.jedc.2025.105060","url":null,"abstract":"<div><div>Following Manzan (2021), this paper examines how professional forecasters revise their fixed-event uncertainty (variance) forecasts and tests the Bayesian learning prediction that variance forecasts should decrease as the horizon shortens. We show that Manzan's (2021) use of first moment “efficiency” tests are not applicable to studying revisions of variance forecasts. Instead, we employ monotonicity tests developed by Patton and Timmermann (2012) in our first known application of these tests to second moments of survey expectations. We find strong evidence that the variance forecasts are consistent with the Bayesian learning prediction of declining monotonicity.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"173 ","pages":"Article 105060"},"PeriodicalIF":1.9,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143510759","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 stochastic implications of autonomous creation and destruction 自主创造和毁灭的随机含义
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-02-01 DOI: 10.1016/j.jedc.2024.105022
Gregory W. Huffman
{"title":"The stochastic implications of autonomous creation and destruction","authors":"Gregory W. Huffman","doi":"10.1016/j.jedc.2024.105022","DOIUrl":"10.1016/j.jedc.2024.105022","url":null,"abstract":"<div><div>A model of stochastic, autonomous creative destruction is developed to study a change in the volatility of inter-firm productivity shocks. The model shows that the observed increase in the variance of firm-specific technology shocks can explain the recent growth slowdown observed in recent decades. This also has implications for inequality. The economy exhibits a non-optimal rate of business destruction, and policies are developed to address this and to raise welfare. The model yields a novel asset pricing formula involving a survival function reflecting the expected random, productivity-dependent lifetime of the firm, and this has implications for the volatility of returns.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"171 ","pages":"Article 105022"},"PeriodicalIF":1.9,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143130050","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
Granular information and sectoral movements 详细信息和部门运动
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-02-01 DOI: 10.1016/j.jedc.2024.105018
Hao Jiang , Sophia Zhengzi Li , Peixuan Yuan
{"title":"Granular information and sectoral movements","authors":"Hao Jiang ,&nbsp;Sophia Zhengzi Li ,&nbsp;Peixuan Yuan","doi":"10.1016/j.jedc.2024.105018","DOIUrl":"10.1016/j.jedc.2024.105018","url":null,"abstract":"<div><div>This paper shows a strong link between the granular information contained in individual stock prices and sectoral movements. We find that a predictor aggregating the price movements of a broad cross section of individual stocks predicts intraday returns of sector ETF. When we further incorporate the information from structural models, the resulting information signal has even stronger return predictability. These results support theories of granular and network origins of aggregate shocks.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"171 ","pages":"Article 105018"},"PeriodicalIF":1.9,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143129413","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
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