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On the sources of the aggregate risk premium: Risk aversion, bubbles or regime-switching? 总风险溢价的来源：风险规避、泡沫还是制度转换？
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-07-18 DOI: 10.1016/j.jedc.2024.104919
Tomás E. Caravello , John Driffill , Turalay Kenc , Martin Sola
{"title":"On the sources of the aggregate risk premium: Risk aversion, bubbles or regime-switching?","authors":"Tomás E. Caravello ,&nbsp;John Driffill ,&nbsp;Turalay Kenc ,&nbsp;Martin Sola","doi":"10.1016/j.jedc.2024.104919","DOIUrl":"10.1016/j.jedc.2024.104919","url":null,"abstract":"<div><p>We develop and estimate a consumption-based asset pricing model that uses historical US financial data and assumes recursive utility, allowing for priced regime-switching risk and intrinsic bubbles. We also estimate several restricted versions, including only a subset of these features. Priced regime-switching risk is essential to the equity risk premium, explaining more than fifty per cent of it. Furthermore, a model that does not consider regime switching would overestimate the public's risk aversion, mistakenly assigning the observed risk premium to high-risk aversion instead of priced regime-switching. We also find that intrinsic bubbles are statistically significant, and even though they are not crucial in explaining the risk premium, they substantially improve the model's fit at the end of the sample.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141851024","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
A high-dimensional additive nonparametric model 高维加性非参数模型
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-07-14 DOI: 10.1016/j.jedc.2024.104916
Frank C.Z. Wu
{"title":"A high-dimensional additive nonparametric model","authors":"Frank C.Z. Wu","doi":"10.1016/j.jedc.2024.104916","DOIUrl":"10.1016/j.jedc.2024.104916","url":null,"abstract":"<div><p>Nonparametric additive models are garnering increasing attention in applied research across fields like statistics and economics, attributed to their distinct interpretability, versatility, and their adeptness at addressing the curse of dimensionality. This paper introduces a novel and efficient fully Bayesian method for estimating nonparametric additive models, employing a band matrix smoothness prior. Our methodology leverages unobserved binary indicator parameters, promoting linearity in each additive component while allowing for deviations from it. We validate the efficacy of our approach through experiments on synthetic data derived from ten-component additive models, encompassing diverse configurations of linear, nonlinear, and zero function components. Additionally, the robustness of our algorithm is tested on high-dimensional models featuring up to one hundred components, and models correlated components. The practical utility and computational efficiency of our technique are further underscored by its application to two real-world datasets, showcasing its broad applicability and effectiveness in various scenarios.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141639418","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
Financial crises with different collateral types 不同抵押品类型的金融危机
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-07-11 DOI: 10.1016/j.jedc.2024.104915
Rohan Shah
{"title":"Financial crises with different collateral types","authors":"Rohan Shah","doi":"10.1016/j.jedc.2024.104915","DOIUrl":"10.1016/j.jedc.2024.104915","url":null,"abstract":"<div><p>Firms borrow against earnings more than they do against their assets. How does this affect the aggregate response to financial crises? I take a dynamic stochastic general equilibrium model of heterogeneous firms that choose their capital and debt subject to a borrowing constraint and examine the recovery from a financial crisis when firms can use different types of collateral. I compare between two collateral types: assets, and earnings. I find that when firms borrow against earnings recessions are deeper, but recoveries are quicker compared to when firms borrow against assets. I also find that neither type of collateral can, by itself, completely explain the recovery from the Great Recession. Instead, the path of investment after the 2007-2008 Financial crisis is better captured by firms borrowing against earnings than by firms borrowing against assets, but this is reversed when looking at the path of output. This suggests that a combination of collateral types is required to fully capture the recovery from the Great Recession.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141714440","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
Multinational entry and exit, technology transfer, and international business cycles 跨国公司的进入和退出、技术转让和国际商业周期
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-07-11 DOI: 10.1016/j.jedc.2024.104914
Gautham Udupa
{"title":"Multinational entry and exit, technology transfer, and international business cycles","authors":"Gautham Udupa","doi":"10.1016/j.jedc.2024.104914","DOIUrl":"10.1016/j.jedc.2024.104914","url":null,"abstract":"<div><p>I develop a general equilibrium model of trade and horizontal multinational firms with firm heterogeneity and parent-to-affiliate technology transfer to evaluate how multinationals affect international business cycles. When calibrated to match micro and macro features of the United States, the impact of multinational firms crucially depends on the labor supply elasticity and the technology transfer parameter. Surprisingly, with standard (elastic) labor supply, multinationals lead to <em>lower</em> international correlations and <em>higher</em> macroeconomic volatility. A novel mechanism – procyclical exit of multinational firms – drives these results. The results are overturned only when inelastic labor supply and a high level of technology transfer are implemented together. Using novel bilateral data on the number and sales of multinational affiliates, I find evidence that the key model mechanism, i.e., entry and exit by multinationals, increases international output correlation.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141639434","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
A tale of two tightenings 两次收紧的故事
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-07-01 DOI: 10.1016/j.jedc.2024.104906
Yundi Lu, Victor J. Valcarcel
{"title":"A tale of two tightenings","authors":"Yundi Lu,&nbsp;Victor J. Valcarcel","doi":"10.1016/j.jedc.2024.104906","DOIUrl":"10.1016/j.jedc.2024.104906","url":null,"abstract":"<div><p>Balance sheet policy is now a prominent facet of monetary policy. Based on the U.S. experience between 2017 and 2019, <span>Smith and Valcarcel (2023)</span> show the first period of quantitative tightening (QT1) was markedly different from earlier balance sheet expansions. This paper provides evidence the Federal Reserve's second balance sheet unwind effort that began in January 2022 (QT2) is strikingly different from QT1. We find substantial announcement effects during QT2 for various treasury yields and interest rate spreads, which are largely absent from QT1. At the time of this writing—by February 2023—both episodes have experienced a similar percent reduction in reserve balances. Yet, QT2 shows a stronger market response upon implementation. Not only are the underlying financial conditions different across the two periods, but the conduct of monetary policy in 2022 seems to be different as well. A clearer signaling mechanism for the expectations channel of monetary transmission takes place during QT2 than was apparent during QT1. The liquidity effects that seemed to be so important during QT1 have been largely attenuated during the second episode of balance sheet tightening.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0165188924000988/pdfft?md5=dbfe7aee1a55182a7b7414f6a78cad2a&pid=1-s2.0-S0165188924000988-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141577080","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
Offshoring, firm-level adjustment and labor market outcomes 离岸外包、公司层面的调整和劳动力市场的结果
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-06-28 DOI: 10.1016/j.jedc.2024.104905
Zhe (Jasmine) Jiang
{"title":"Offshoring, firm-level adjustment and labor market outcomes","authors":"Zhe (Jasmine) Jiang","doi":"10.1016/j.jedc.2024.104905","DOIUrl":"https://doi.org/10.1016/j.jedc.2024.104905","url":null,"abstract":"<div><p>This paper studies how the China shock affects unemployment rates and wage inequality across high-skilled and low-skilled workers in the United States, with particular emphasis on the dynamic and general equilibrium channels of firms' production locations and entry decisions. To shed light on the subject, I build a two-country trade-in-task model with firm heterogeneity, search-and-matching labor market frictions, and firms' endogenous selections into entry and offshoring. The model, consistent with evidence from vector autoregression analyses, uncovers important dynamics with implications for the impact of the China shock on U.S. worker inequality. Namely, it shows association between a decrease in offshoring costs and a short-lived increase in low-skilled unemployment in the source country, a longer-term decline in high-skilled unemployment, a transient expansion of the wage gap between high- and low-skilled workers, and an increase in firm entry.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0165188924000976/pdfft?md5=9f03c9589270209bf5ce00b44bf6aa14&pid=1-s2.0-S0165188924000976-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141593483","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
Nominal exchange rates and heterogeneous beliefs 名义汇率和异质信念
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-06-27 DOI: 10.1016/j.jedc.2024.104904
Benjamin Croitoru , Feng Jiao , Lei Lu
{"title":"Nominal exchange rates and heterogeneous beliefs","authors":"Benjamin Croitoru ,&nbsp;Feng Jiao ,&nbsp;Lei Lu","doi":"10.1016/j.jedc.2024.104904","DOIUrl":"10.1016/j.jedc.2024.104904","url":null,"abstract":"<div><p>We propose a two-country model with heterogeneous beliefs to understand dynamics of nominal exchange rate. Facing a shock to monetary policy, disagreement between domestic and foreign investors shifts the relative wealth of investors – an essential part of the stochastic discount factor in our model – which then moves the foreign exchange rate. Calibrated to U.S. and U.K. data, our model reveals that dispersion in beliefs predicts the future spot exchange rate, associates with the cross-section of currency risk premia, and comoves with the time-varying volatility in currency returns. Furthermore, our model suggests that domestic investors would hold fewer foreign currency-denominated bonds in countries with greater disagreements on monetary policy.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141577081","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
Memory retrieval in the demand game with a few possible splits: Unfair conventions emerge in fair settings 有几种可能拆分的需求游戏中的记忆检索：公平环境中出现的不公平惯例
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-06-11 DOI: 10.1016/j.jedc.2024.104899
Ennio Bilancini , Leonardo Boncinelli , Eugenio Vicario
{"title":"Memory retrieval in the demand game with a few possible splits: Unfair conventions emerge in fair settings","authors":"Ennio Bilancini ,&nbsp;Leonardo Boncinelli ,&nbsp;Eugenio Vicario","doi":"10.1016/j.jedc.2024.104899","DOIUrl":"10.1016/j.jedc.2024.104899","url":null,"abstract":"<div><p>Our study examines the long-run evolutionary outcome emerging in scenarios where two populations engage in a demand game with three potential splits. These populations differ in the sample sizes used when best responding to retrieved information from the past. Our findings reveal the existence of a threshold in the setting's fairness (i.e., the fairness of unfair splits) such that, below the threshold (i.e., in an unfair setting), the emerging convention is the fair one, while above the threshold (i.e., in a fair setting), the emerging convention is unfair, favoring the agents with the longer sample size. The threshold gets lower as the difference in the sample sizes increases.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0165188924000915/pdfft?md5=6e84df8a7866d856a597a432acb88b94&pid=1-s2.0-S0165188924000915-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141394602","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
Believe me when I say green! Heterogeneous expectations and climate policy uncertainty 相信我说的绿色异质预期与气候政策的不确定性
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-06-11 DOI: 10.1016/j.jedc.2024.104900
Emanuele Campiglio , Francesco Lamperti , Roberta Terranova
{"title":"Believe me when I say green! Heterogeneous expectations and climate policy uncertainty","authors":"Emanuele Campiglio ,&nbsp;Francesco Lamperti ,&nbsp;Roberta Terranova","doi":"10.1016/j.jedc.2024.104900","DOIUrl":"https://doi.org/10.1016/j.jedc.2024.104900","url":null,"abstract":"<div><p>We develop a dynamic model where heterogeneous firms take investment decisions depending on their beliefs on future carbon prices. A policy-maker announces a forward-looking carbon price schedule but can decide to default on its plans if perceived transition risks are high. We show that weak policy commitment, especially when combined with ambitious mitigation announcements, can trap the economy into a vicious circle of credibility loss, carbon-intensive investments and increasing risk perceptions, ultimately leading to a failure of the transition. The presence of behavioural frictions and heterogeneity - both in capital investment choices and in the assessment of the policy-maker's credibility - has strong non-linear effects on the transition dynamics and the emergence of ‘high-carbon traps’. We identify analytical conditions leading to a successful transition and provide a numerical application for the EU economy.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0165188924000927/pdfft?md5=7b25d5049b0f1207a971b5f4da5b4d98&pid=1-s2.0-S0165188924000927-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141481394","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
Evolutionary dynamics in bilingual games 双语游戏中的进化动态
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-06-10 DOI: 10.1016/j.jedc.2024.104898
Srinivas Arigapudi
{"title":"Evolutionary dynamics in bilingual games","authors":"Srinivas Arigapudi","doi":"10.1016/j.jedc.2024.104898","DOIUrl":"10.1016/j.jedc.2024.104898","url":null,"abstract":"<div><p>In two-strategy coordination games with distinct payoff- and risk-dominant equilibria, existing results show that the inefficient risk-dominant equilibrium is uniquely selected under many evolutionary dynamics. In the above class of coordination games, we study the effect of introducing a <em>bilingual strategy</em> that is compatible with both of the existing strategies. An agent playing the bilingual strategy incurs an additional <em>adoption cost</em> but never miscoordinates with any other agent. We show that if the adoption cost of the bilingual strategy is low, then the efficient payoff-dominant equilibrium can be uniquely selected under many evolutionary dynamics.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141394310","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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