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Leaning against persistent financial cycles with occasional crises 倾向于持续的金融周期和偶尔的危机
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2026-02-01 Epub Date: 2025-12-22 DOI: 10.1016/j.jedc.2025.105245
Thore Kockerols , Erling Motzfeldt Kravik , Yasin Mimir
{"title":"Leaning against persistent financial cycles with occasional crises","authors":"Thore Kockerols ,&nbsp;Erling Motzfeldt Kravik ,&nbsp;Yasin Mimir","doi":"10.1016/j.jedc.2025.105245","DOIUrl":"10.1016/j.jedc.2025.105245","url":null,"abstract":"<div><div>We investigate the conditions under which a leaning against the wind (LAW)-type monetary policy is advisable to address risks to financial stability stemming from housing credit imbalances. We do so within an endogenous regime-switching dynamic stochastic general equilibrium (DSGE) model with occasional crises, effective lower bound (ELB) on interest rates, and intrinsically persistent financial cycles driven by partly backward-looking house price expectations. Under empirically plausible financial cycles, LAW amplifies the transmission of supply shocks to inflation by strengthening the countercyclical response of collateral values and domestic demand. This results in heightened inflation volatility and a lower average inflation rate, thereby increasing the frequency of ELB episodes. In our baseline estimated model, we find that these costs far outweigh the benefits of a less likely and less severe crisis. However, we also show that LAW may become advisable, depending on specific conditions, including (i) if the central bank focuses less on near-term output stabilization but more on medium-term growth stability by counteracting financial imbalances, or (ii) if the expectations-driven financial cycles are intrinsically less persistent or more policy-responsive than currently observed. Higher long-run capital regulation is better suited to addressing risks to financial stability as it significantly reduces the fluctuations in inflation and output by reducing both the frequency of ELB and the severity of crises.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"183 ","pages":"Article 105245"},"PeriodicalIF":2.3,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145885128","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
Tradeoffs for the poor, divine coincidence for the rich 穷人得失，富人得失
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2026-01-01 Epub Date: 2025-12-01 DOI: 10.1016/j.jedc.2025.105221
Marco Del Negro , Ibrahima Diagne , Keshav Dogra , Pranay Gundam , Donggyu Lee , Brian Pacula
{"title":"Tradeoffs for the poor, divine coincidence for the rich","authors":"Marco Del Negro ,&nbsp;Ibrahima Diagne ,&nbsp;Keshav Dogra ,&nbsp;Pranay Gundam ,&nbsp;Donggyu Lee ,&nbsp;Brian Pacula","doi":"10.1016/j.jedc.2025.105221","DOIUrl":"10.1016/j.jedc.2025.105221","url":null,"abstract":"<div><div>We use an estimated medium-scale HANK model to investigate how the tradeoff between stabilizing inflation and consumption volatility varies for households with different levels of wealth. Consumption for the rich is mostly affected by demand shocks via their exposure to highly procyclical profits—for them, stabilizing consumption and inflation coincide. The poor are more vulnerable to supply shocks, hence aggressively stabilizing inflation is costly in terms of their consumption volatility. While they dislike inflation because it erodes real wages, they are hurt even more by an aggressive monetary policy response to inflation, which reduces real wages further while increasing unemployment.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"182 ","pages":"Article 105221"},"PeriodicalIF":2.3,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145884302","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
Back in time. fast. Accelerated time iterations 回到过去。快。加速时间迭代
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2026-01-01 Epub Date: 2025-12-03 DOI: 10.1016/j.jedc.2025.105226
Pablo Winant
{"title":"Back in time. fast. Accelerated time iterations","authors":"Pablo Winant","doi":"10.1016/j.jedc.2025.105226","DOIUrl":"10.1016/j.jedc.2025.105226","url":null,"abstract":"<div><div>We present two complementary algorithms to solve nonlinear rational expectations models characterized by first order conditions: an accelerated time-iteration method and a Newton–Krylov solver. Both approaches exploit an explicit construction of the derivative operator (and the model Jacobian) and achieve quadratic convergence near the solution, yielding large computational gains over standard time iteration. We show how to apply these linear operators without forming dense matrices and invert the resulting systems efficiently using truncated Neumann series or GMRES. On three benchmark models (consumption–savings, RBC, and a two-country model), the two methods produce the same solution with substantially reduced runtimes.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"182 ","pages":"Article 105226"},"PeriodicalIF":2.3,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145938758","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
Uncertainty shocks in an intangible economy 无形经济中的不确定性冲击
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2026-01-01 Epub Date: 2025-11-28 DOI: 10.1016/j.jedc.2025.105230
Shuonan Zhang
{"title":"Uncertainty shocks in an intangible economy","authors":"Shuonan Zhang","doi":"10.1016/j.jedc.2025.105230","DOIUrl":"10.1016/j.jedc.2025.105230","url":null,"abstract":"<div><div>This paper studies uncertainty shocks in the context of an intangible economy. I build a two-sector dynamic stochastic general equilibrium (DSGE) model to understand a shift in investment composition and its implications for the transmission of uncertainty shocks. The model is motivated by the role of intangible capital as a cushion, mitigating the adverse effects of uncertainty on investment, as suggested by firm-level data. The quantitative analysis shows that heightened uncertainty directs resources toward the intangible sector, making the economy more intangible-intensive. The rising importance of intangibles diminishes aggregate volatility in the uncertainty-driven business cycle.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"182 ","pages":"Article 105230"},"PeriodicalIF":2.3,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145694257","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 credit market policy 最优信贷市场政策
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2026-01-01 Epub Date: 2025-11-26 DOI: 10.1016/j.jedc.2025.105223
Matteo Iacoviello , Ricardo Nunes , Andrea Prestipino
{"title":"Optimal credit market policy","authors":"Matteo Iacoviello ,&nbsp;Ricardo Nunes ,&nbsp;Andrea Prestipino","doi":"10.1016/j.jedc.2025.105223","DOIUrl":"10.1016/j.jedc.2025.105223","url":null,"abstract":"<div><div>We study optimal credit market policy in a stochastic, quantitative, general equilibrium, infinite-horizon economy with collateral constraints tied to housing prices. Collateral constraints imply that the competitive equilibrium is Pareto inefficient. Taxing housing or borrowing in good states and subsidizing it in recessions leads to a Pareto-improving allocation for borrowers and savers. Quantitatively, the welfare gains afforded by the optimal tax are significant. The optimal tax reduces the covariance of house prices with consumption, and, by doing so, it increases house prices on average and delivers welfare gains both in steady state and around it. We also show that the welfare gains stem from mopping up after the crash rather than the ex-ante macroprudential aspect, aligning with prior research that emphasizes the importance of ex-post measures compared to preventive policies alone.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"182 ","pages":"Article 105223"},"PeriodicalIF":2.3,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145694260","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
Scalable global solution techniques for high-dimensional models in Dynare Dynare中高维模型的可伸缩全局解决方案技术
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2026-01-01 Epub Date: 2025-11-26 DOI: 10.1016/j.jedc.2025.105225
Aryan Eftekhari , Michel Juillard , Normann Rion , Simon Scheidegger
{"title":"Scalable global solution techniques for high-dimensional models in Dynare","authors":"Aryan Eftekhari ,&nbsp;Michel Juillard ,&nbsp;Normann Rion ,&nbsp;Simon Scheidegger","doi":"10.1016/j.jedc.2025.105225","DOIUrl":"10.1016/j.jedc.2025.105225","url":null,"abstract":"<div><div>For over three decades, Dynare has been a cornerstone of dynamic stochastic modeling in economics, relying primarily on perturbation-based local solution methods. However, these techniques often falter in high-dimensional, non-linear models that demand more comprehensive approaches. This paper demonstrates that global solutions of economic models with substantial heterogeneity and frictions can be computed accurately and swiftly by augmenting Dynare with adaptive sparse grids (SGs) and high-dimensional model representation (HDMR). SGs mitigate the curse of dimensionality, as the number of grid points grows significantly slower than in traditional tensor-product Cartesian grids. Additionally, adaptivity focuses grid refinement on regions with steep gradients or non-differentiabilities, enhancing computational efficiency. Complementing SGs, HDMR tackles large state spaces by approximating policy functions with a hierarchical expansion of low-dimensional terms. Using a time iteration algorithm, we benchmark our approach on an international real business cycle model. Our results show that both SGs and HDMR alleviate the curse of dimensionality, enabling accurate solutions for at least 100-dimensional models on standard hardware in relatively short times. This advancement extends Dynare’s capabilities beyond perturbation approaches, establishing a versatile platform for sophisticated non-linear models and paving the way for integrating the most recent global solution methods, such as those from machine learning.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"182 ","pages":"Article 105225"},"PeriodicalIF":2.3,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145625015","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
Unemployment risk, liquidity traps, and monetary policy 失业风险、流动性陷阱和货币政策
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2026-01-01 Epub Date: 2025-12-05 DOI: 10.1016/j.jedc.2025.105238
Dario Bonciani , Joonseok Oh
{"title":"Unemployment risk, liquidity traps, and monetary policy","authors":"Dario Bonciani ,&nbsp;Joonseok Oh","doi":"10.1016/j.jedc.2025.105238","DOIUrl":"10.1016/j.jedc.2025.105238","url":null,"abstract":"<div><div>We study optimal monetary policy in a model with incomplete markets, in the form of uninsurable unemployment risk, and an occasionally binding zero lower bound (ZLB) constraint. The optimal policy consists of keeping the nominal rate at zero longer than implied by current macroeconomic conditions. Such policy improves expected labour market conditions, substantially mitigating the rise in unemployment risk and precautionary savings. As a result, we find that market incompleteness does not significantly amplify contractions in output and inflation at the ZLB. However, when the central bank follows more realistic policy rules instead of the optimal policy, incomplete markets exacerbate the fall in demand, emphasising the importance of unemployment insurance for output stabilisation.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"182 ","pages":"Article 105238"},"PeriodicalIF":2.3,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145938797","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
Estimation of nonlinear DSGE models through Laplace based solutions 基于拉普拉斯解的非线性DSGE模型估计
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2026-01-01 Epub Date: 2025-11-29 DOI: 10.1016/j.jedc.2025.105220
Elnura Baiaman kyzy , Roberto Leon-Gonzalez
{"title":"Estimation of nonlinear DSGE models through Laplace based solutions","authors":"Elnura Baiaman kyzy ,&nbsp;Roberto Leon-Gonzalez","doi":"10.1016/j.jedc.2025.105220","DOIUrl":"10.1016/j.jedc.2025.105220","url":null,"abstract":"<div><div>This paper proposes a novel Laplace-based solution to non-linear DSGE models that has a closed-form likelihood. We implicitly use a non-linear approximation to the policy function that is invertible with respect to the shocks, implying that in the approximation the shocks can be recovered uniquely from some of the control variables. Using perturbation methods and a Lagrange inversion formula, we are able to calculate the derivatives of the likelihood and construct the Laplace based solution. In contrast with previous likelihood-based approaches, the method used here requires neither the introduction of linear shocks nor simulation to evaluate the likelihood. Using US data, we estimate linear and nonlinear variants of a well-known neoclassical growth model with and without time-varying variances. We find that a nonlinear heteroscedastic model has a much better empirical performance. Furthermore, our models allow us to ascertain that the monetary policy shock causes most of the time changes in economic uncertainty.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"182 ","pages":"Article 105220"},"PeriodicalIF":2.3,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145694255","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
Drivers of firm-level tail dependence: A machine learning approach 企业层面尾部依赖的驱动因素：一种机器学习方法
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2026-01-01 Epub Date: 2025-11-15 DOI: 10.1016/j.jedc.2025.105207
Thomas Conlon , John Cotter , Ioannis Ropotos
{"title":"Drivers of firm-level tail dependence: A machine learning approach","authors":"Thomas Conlon ,&nbsp;John Cotter ,&nbsp;Ioannis Ropotos","doi":"10.1016/j.jedc.2025.105207","DOIUrl":"10.1016/j.jedc.2025.105207","url":null,"abstract":"<div><div>The paper studies the determinants of firm-level tail dependence of companies with respect to foreign markets using machine learning. We measure dependence for a comprehensive international set of firms using copulas and we find that left tail dependence is consistently stronger than right tail dependence with their gap widening in recessionary periods. We then apply random forest regressions to identify and characterize the factors that account for the total panel variation of tail risk. The World Uncertainty Index, the R2 integration measure and coskewness with respect to foreign markets are the most important determinants. For US firms individual ownership variables such as the number of total or foreign investors dominate the remaining firm-level characteristics in explaining tail dependence. Our results contribute to the understanding of crash risk in the modern global financial landscape with implications for asset managers.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"182 ","pages":"Article 105207"},"PeriodicalIF":2.3,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145694258","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
Stochastic extended path 随机扩展路径
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2026-01-01 Epub Date: 2025-12-02 DOI: 10.1016/j.jedc.2025.105227
Stéphane Adjemian , Michel Juillard
{"title":"Stochastic extended path","authors":"Stéphane Adjemian ,&nbsp;Michel Juillard","doi":"10.1016/j.jedc.2025.105227","DOIUrl":"10.1016/j.jedc.2025.105227","url":null,"abstract":"<div><div>The Extended Path (EP) method solves DSGE models under certainty equivalence, capturing nonlinearities and occasionally binding constraints but ignoring the role of uncertainty. We propose the Stochastic Extended Path (SEP), which restores this channel by computing conditional expectations with quadrature and unscented transforms. To avoid the exponential explosion of a full tree of future shocks, we introduce a sparse tree representation that scales linearly with the horizon. We further develop a hybrid SEP, combining SEP with perturbation corrections to capture long-run effects of volatility at low cost. Accuracy is benchmarked in an asset pricing model with a closed-form solution, where hybrid SEP outperforms perturbation methods. We then illustrate the approach in an RBC model with a lower bound on investment.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"182 ","pages":"Article 105227"},"PeriodicalIF":2.3,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145748440","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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