Journal of Economic Dynamics & Control最新文献_第4页

Phase transitions in debt recycling 债务回收中的相变

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2025-02-01 DOI: 10.1016/j.jedc.2025.105044

Sabrina Aufiero , Preben Forer , Pierpaolo Vivo , Fabio Caccioli , Silvia Bartolucci

{"title":"Phase transitions in debt recycling","authors":"Sabrina Aufiero , Preben Forer , Pierpaolo Vivo , Fabio Caccioli , Silvia Bartolucci","doi":"10.1016/j.jedc.2025.105044","DOIUrl":"10.1016/j.jedc.2025.105044","url":null,"abstract":"<div><div>Debt recycling is an aggressive equity extraction strategy that potentially permits faster repayment of a mortgage. While equity progressively builds up as the mortgage is repaid monthly, mortgage holders may obtain another loan they could use to invest on a risky asset. The wealth produced by a successful investment is then used to repay the mortgage faster. The strategy is riskier than a standard mortgage-repayment plan since fluctuations in the house market and investment's volatility may also lead to a fast default, as both the mortgage and the liquidity loan are secured against the same good. The general conditions of the mortgage holder and the outside market under which debt recycling may be recommended or discouraged have not been fully investigated. In this paper, in order to evaluate the effectiveness of traditional monthly mortgage repayment versus debt recycling strategies, we build a dynamical model of debt recycling and study the time evolution of equity and mortgage balance as a function of loan-to-value ratio, house market performance, and return of the risky investment. We find that the model has a rich behavior as a function of its main parameters, showing strongly and weakly successful phases – where the mortgage is eventually repaid faster and slower than the standard monthly repayment strategy, respectively – a default phase where the equity locked in the house vanishes before the mortgage is repaid, signaling a failure of the debt recycling strategy, and a permanent re-mortgaging phase – where further investment funds from the lender are continuously secured, but the mortgage is never fully repaid. The strategy's effectiveness is found to be highly sensitive to the initial mortgage-to-equity ratio, the monthly amount of scheduled repayments, and the economic parameters at the outset. The analytical results are corroborated with numerical simulations with excellent agreement.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"171 ","pages":"Article 105044"},"PeriodicalIF":1.9,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143130054","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

Is U.S. real output growth non-normal? A tale of time-varying location and scale 美国实际产出增长不正常吗？一个地点和规模随时间变化的故事

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2025-02-01 DOI: 10.1016/j.jedc.2024.105032

Matei Demetrescu , Robinson Kruse-Becher

{"title":"Is U.S. real output growth non-normal? A tale of time-varying location and scale","authors":"Matei Demetrescu , Robinson Kruse-Becher","doi":"10.1016/j.jedc.2024.105032","DOIUrl":"10.1016/j.jedc.2024.105032","url":null,"abstract":"<div><div>Testing distributional assumptions is an evergreen topic in applied economics and econometrics. A key assumption is stationarity of the series of interest, however time-varying moments are common in economic data. Yet, under time-varying moments, falsely treating data as homogeneous results in apparent distributions belonging to a mixture family. Therefore, tests consistently reject when stationarity assumptions are violated, even under correct specification of the baseline distribution. We propose robust tests building on local standardization (by flexible nonparametric estimators), in particular we use raw moments of probability integral transformations of locally standardized series. Probability integral transforms accommodate a wide range of null distributions and imply simple raw moment restrictions. We demonstrate our approach in detail for normality, while our main results are extended to general location-scale models without essential modifications. Short-run dynamics are accounted for by the fixed-bandwidth approach which leads to robustness of the proposed test statistics to the estimation error induced by the local standardization. We propose a simple rule for choosing the tuning parameters and an effective finite-sample adjustment. Monte Carlo experiments show that the new tests perform well in terms of size and power and outperform alternative tests even under stationarity. We find – in contrast to other studies building on stationarity – no evidence against normality of U.S. real output growth after accounting for time-variation.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"171 ","pages":"Article 105032"},"PeriodicalIF":1.9,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143130051","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

The credit card and small business lending channels of monetary policy 信用卡和小企业贷款渠道的货币政策

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2025-02-01 DOI: 10.1016/j.jedc.2025.105045

Maximillian Littlejohn

引用次数: 0

Networks, beliefs, and asset prices 网络、信念和资产价格

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2025-01-30 DOI: 10.1016/j.jedc.2025.105059

Michael Hatcher, Tim Hellmann

引用次数: 0

Liquidity allocation and endogenous aggregate risks 流动性配置与内生总量风险

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2025-01-28 DOI: 10.1016/j.jedc.2025.105048

Ge Zhou

引用次数: 0

Fiscal consolidation in heavily indebted economies 重负债经济体的财政整顿

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2025-01-27 DOI: 10.1016/j.jedc.2025.105046

Concepción González García

{"title":"Fiscal consolidation in heavily indebted economies","authors":"Concepción González García","doi":"10.1016/j.jedc.2025.105046","DOIUrl":"10.1016/j.jedc.2025.105046","url":null,"abstract":"<div><div>In this paper, I build a dynamic general equilibrium model calibrated to the U.S. economy to study the macroeconomic effects of alternative fiscal consolidation strategies in a context where the private sector is heavily indebted. Fiscal consolidation is defined as a permanent reduction of the public debt-to-GDP ratio through government spending cuts or tax hikes. I show that in the long run, fiscal consolidation entails output benefits that are dampened when private debt is high. This effect occurs independently of the fiscal instrument used to stabilize the debt. In the short run, I find that a fiscal policy that raises labor or capital tax rates induces deleveraging in the private sector, which amplifies temporary output losses due to fiscal consolidation policies. By contrast, a fiscal consolidation achieved by government spending cuts or consumption tax hikes facilitates the repayment of private debt, thereby mitigating the negative output effect associated with a public debt reduction. Finally, regarding social welfare, I find that a fiscal consolidation brings higher welfare gains when government spending or consumption tax rates adjust in an environment of high private debt. However, it increases the social welfare loss when capital or labor tax rates adjust to meet the public debt target.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"173 ","pages":"Article 105046"},"PeriodicalIF":1.9,"publicationDate":"2025-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143102309","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

Limited asset market participation and monetary policy in a small open economy 小型开放经济中有限的资产市场参与和货币政策

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2025-01-27 DOI: 10.1016/j.jedc.2025.105047

Paul Levine , Stephen McKnight , Alexander Mihailov , Jonathan Swarbrick

引用次数: 0

Green technology investment: Announced vs. unannounced subsidy retraction 绿色技术投资：宣布与未宣布的补贴撤销

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2025-01-01 DOI: 10.1016/j.jedc.2024.105030

Verena Hagspiel , Peter M. Kort , Xingang Wen

{"title":"Green technology investment: Announced vs. unannounced subsidy retraction","authors":"Verena Hagspiel , Peter M. Kort , Xingang Wen","doi":"10.1016/j.jedc.2024.105030","DOIUrl":"10.1016/j.jedc.2024.105030","url":null,"abstract":"<div><div>Policy uncertainty affects firms' investment decisions and the corresponding societal welfare (total surplus). One common perception is that policy uncertainty has negative welfare effects, and therefore, the regulator should be “transparent” by announcing future policy changes. We show that this is not always true. This paper investigates a firm's green technology investment decision in a dynamic setting, where it decides about the investment timing and size in the presence of technological uncertainty. Initially the regulator incentivizes the investment by subsidizing. As the cost of the green technology is expected to fall over time, at some point the subsidy is retracted. We consider two scenarios, one where the regulator announces the subsidy retraction in advance, and one where it does not do so. The subsidy retraction announcement can motivate the firm to invest too early from a welfare perspective because it wants to <em>catch</em> the subsidy. This rent-seeking behavior implies that for an intermediate range of subsidy levels, not announcing the retraction leads to more favorable welfare consequences. We further show that a larger uncertainty about technological development encourages not to announce the subsidy retraction.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"170 ","pages":"Article 105030"},"PeriodicalIF":1.9,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143100990","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

Fiscal consolidation and public debt 财政整顿和公共债务

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2025-01-01 DOI: 10.1016/j.jedc.2024.104998

Sakai Ando , Prachi Mishra , Nikhil Patel , Adrian Peralta-Alva , Andrea F. Presbitero

引用次数: 0

Portfolio choice analysis in a multi-country macro model 多国宏观模型下的投资组合选择分析

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2025-01-01 DOI: 10.1016/j.jedc.2024.105021

Chenyue Hu

引用次数: 0