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Unions: Wage floors, seniority rules, and unemployment duration
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-12-01 DOI: 10.1016/j.jedc.2024.104965
Fernando Alvarez , Robert Shimer , Fabrice Tourre
{"title":"Unions: Wage floors, seniority rules, and unemployment duration","authors":"Fernando Alvarez ,&nbsp;Robert Shimer ,&nbsp;Fabrice Tourre","doi":"10.1016/j.jedc.2024.104965","DOIUrl":"10.1016/j.jedc.2024.104965","url":null,"abstract":"<div><div>This paper examines the impact of unions on unemployment and wages in a dynamic equilibrium search model. We model a union as imposing a minimum wage and rationing jobs to ensure that the union's most senior members are employed. This generates rest unemployment, where following a downturn in their labor market, unionized workers are willing to wait for jobs to reappear rather than search for a new labor market. We characterize the hazard rate of exiting unemployment, and show that it is low at long durations whenever the union-imposed minimum wage is high; we establish that a high union-imposed minimum wage generates a compressed wage distribution and a high turnover rate of jobs — properties consistent with the data. Finally, we show that seniority rules lead to lower unemployment levels, relative to an alternative rule allocating jobs to workers randomly.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"169 ","pages":"Article 104965"},"PeriodicalIF":1.9,"publicationDate":"2024-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143175437","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
Do unemployment benefit extensions explain the emergence of jobless recoveries? 失业救济金延期是否能解释失业复苏的出现？
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-12-01 DOI: 10.1016/j.jedc.2024.104964
Kurt Mitman , Stanislav Rabinovich
{"title":"Do unemployment benefit extensions explain the emergence of jobless recoveries?","authors":"Kurt Mitman ,&nbsp;Stanislav Rabinovich","doi":"10.1016/j.jedc.2024.104964","DOIUrl":"10.1016/j.jedc.2024.104964","url":null,"abstract":"<div><div>Countercyclical unemployment benefit extensions in the United States act as a propagation mechanism, contributing to the high persistence of unemployment following recent recessions, as well as the weak correlation between unemployment and productivity. We show this by modifying an otherwise standard frictional model of the labor market to incorporate a stochastic and state-dependent process for unemployment insurance estimated on US data. Accounting for movements in both productivity and unemployment insurance, our calibrated model is consistent with post-war labor-market dynamics. It explains the emergence of jobless recoveries in the 1990s, the low correlation between unemployment and productivity, and the apparent shifts in the Beveridge curve following recessions.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"169 ","pages":"Article 104964"},"PeriodicalIF":1.9,"publicationDate":"2024-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142269561","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
Judgment can spur long memory 判断力能激发持久的记忆力
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-28 DOI: 10.1016/j.jedc.2024.105005
Emilio Zanetti Chini
{"title":"Judgment can spur long memory","authors":"Emilio Zanetti Chini","doi":"10.1016/j.jedc.2024.105005","DOIUrl":"10.1016/j.jedc.2024.105005","url":null,"abstract":"<div><div>We arrive at this conclusion by using a new family of models—the Long Memory Dynamic Judgmental Protocol (LMDJP)—where robust filtering and fractionally integrated auto-regressions are combined in an environment characterized by several players—namely, Forecast Producer, Forecast User, and Reality. Namely, we show that if judgment is parametrized as a deformation Likelihood function according to Lq-Likelihood methods, such a deformation affects (sometimes dramatically) the Power Spectrum, consequently inducing over-rejection in formal tests for no LM-effects based on the last. Our simulated and empirical evidence reveals that knowledge of the fractional integration parameter matters for the p-values of tests for spurious LM and, secondly, that the role of LM in belief formation is ambiguous.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"170 ","pages":"Article 105005"},"PeriodicalIF":1.9,"publicationDate":"2024-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142744339","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
Pricing asset beyond financial fundamentals: The impact of prosocial preference and image concerns 超越金融基本面的资产定价：亲社会偏好和形象问题的影响
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-26 DOI: 10.1016/j.jedc.2024.105004
Dragana Draganac , Kelin Lu
{"title":"Pricing asset beyond financial fundamentals: The impact of prosocial preference and image concerns","authors":"Dragana Draganac ,&nbsp;Kelin Lu","doi":"10.1016/j.jedc.2024.105004","DOIUrl":"10.1016/j.jedc.2024.105004","url":null,"abstract":"<div><div>This paper examines the effects of two non-financial values—prosocial preferences and image concerns—on the pricing of socially beneficial stocks within experimental asset markets, isolating their effect from those of stocks' financial fundamentals. To this end, we designed a novel laboratory asset market where stocks shared the same fundamental value but varied in their associations with non-financial values. We found that prosocial preferences alone have a minimal impact on the market prices of socially beneficial stocks. However, the presence of image concerns significantly raises the market price of socially beneficial stocks. Additionally, under this condition, individuals trade these stocks at high prices regardless of their level of non-financial values. To benchmark the effect of non-financial values on stock valuation at the individual level, we conducted a parallel non-market experiment incorporating the same decision factors. In this non-market setting, prosocial preferences alone positively impacted stock reservation prices, and the addition of image concerns further increased these prices.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"170 ","pages":"Article 105004"},"PeriodicalIF":1.9,"publicationDate":"2024-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142720797","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 nexus of overnight trend and asset prices in China 隔夜趋势与中国资产价格的关系
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-23 DOI: 10.1016/j.jedc.2024.104997
Jiaqi Guo , Xing Han , Kai Li , Youwei Li
{"title":"The nexus of overnight trend and asset prices in China","authors":"Jiaqi Guo ,&nbsp;Xing Han ,&nbsp;Kai Li ,&nbsp;Youwei Li","doi":"10.1016/j.jedc.2024.104997","DOIUrl":"10.1016/j.jedc.2024.104997","url":null,"abstract":"<div><div>Leveraging the systematic variations in investor clientele within a day, we validate an adapted version of the Hong and Stein (1999) model that addresses the consequences of slow information diffusion in China. The model predicts that overnight returns, rather than total returns, strongly forecast future returns, as informed overnight clientele underreact to value-relevant signals. Empirically, we establish a consistent overnight trend phenomenon: Firms with a strong overnight trend reliably outperform those with a weak overnight trend in the subsequent month. The phenomenon is more pronounced among stocks with higher levels of information asymmetry, valuation uncertainty, and relative mispricing. Furthermore, the overnight trend predicts positively firm fundamentals in the cross section.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"170 ","pages":"Article 104997"},"PeriodicalIF":1.9,"publicationDate":"2024-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142744501","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
Optimal investment-withdrawal strategy for variable annuities under a performance fee structure 绩效费结构下变额年金的最优投资-提取策略
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-22 DOI: 10.1016/j.jedc.2024.105003
Runhuan Feng , Xiaochen Jing , Kenneth Tsz Hin Ng
{"title":"Optimal investment-withdrawal strategy for variable annuities under a performance fee structure","authors":"Runhuan Feng ,&nbsp;Xiaochen Jing ,&nbsp;Kenneth Tsz Hin Ng","doi":"10.1016/j.jedc.2024.105003","DOIUrl":"10.1016/j.jedc.2024.105003","url":null,"abstract":"<div><div>Variable Annuities (VAs) provide policyholders with market participation while offering additional protection from insurers. In this article, we develop a mathematical model to explore the impact of different fee structures on VAs with a ratchet feature and derive analytical solutions to the associated optimal investment-withdrawal problem. We focus on a performance fee structure, highlighting its advantages over the traditional constant fee structure from both the insurer's and policyholder's perspectives. Our findings show that policyholders adopt more conservative investment strategies under the performance fee, leading to increased expected profits and reduced tail risks for risk-neutral insurers. From a mathematical standpoint, we contribute by proving the well-posedness of the associated free-boundary value problems (FBPs) and establishing verification theorems for the underlying control problems. These results involve non-standard analysis and estimations due to the ratchet feature and the guaranteed protections embedded in the contract.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"170 ","pages":"Article 105003"},"PeriodicalIF":1.9,"publicationDate":"2024-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142702476","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 hockey stick Phillips curve and the effective lower bound 曲棍球菲利普斯曲线和有效下限
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-20 DOI: 10.1016/j.jedc.2024.105002
Gregor Boehl , Philipp Lieberknecht
{"title":"The hockey stick Phillips curve and the effective lower bound","authors":"Gregor Boehl ,&nbsp;Philipp Lieberknecht","doi":"10.1016/j.jedc.2024.105002","DOIUrl":"10.1016/j.jedc.2024.105002","url":null,"abstract":"<div><div>We show that the interplay between a binding effective lower bound (ELB) on nominal interest rates and the costs of external financing weakens the disinflationary effect of financial shocks. In normal times, the real costs of production factors dominate in firms' marginal costs and are therefore key for inflation dynamics. In contrast, financing costs normally play a subordinate role as higher credit spreads are balanced-out by lower nominal rates. At the ELB, however, higher spreads following financial shocks can offset the effect of lower production factor costs on firms' price setting. The relationship between inflation and output hence features a hockey stick shape: the Phillips curve is flat at the ELB, but conventionally upward-sloping during normal times. This mechanism also weakens the power of forward guidance at the ELB, since such policy reduces spreads and financing costs.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"170 ","pages":"Article 105002"},"PeriodicalIF":1.9,"publicationDate":"2024-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142702475","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
Optimal monetary policy mix at the zero lower bound 零下限时的最佳货币政策组合
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-20 DOI: 10.1016/j.jedc.2024.105001
Dario Bonciani , Joonseok Oh
{"title":"Optimal monetary policy mix at the zero lower bound","authors":"Dario Bonciani ,&nbsp;Joonseok Oh","doi":"10.1016/j.jedc.2024.105001","DOIUrl":"10.1016/j.jedc.2024.105001","url":null,"abstract":"<div><div>We study the optimal mix of forward guidance and quantitative easing at the ZLB. The welfare loss function depends on inflation, output, and consumption heterogeneity (which we label as <em>inequality</em>) between different households. When solely focusing on inflation and output, the central bank excessively expands its balance sheet, thereby increasing inequality. Forward guidance is more effective at stabilising inflation, and quantitative easing at stabilising output. The two tools are, therefore, complementary. Since neither instrument can fully neutralise adverse demand shocks, the optimal policy combines both, resulting in a shorter ZLB duration and milder balance-sheet expansion than if the central bank relied on one policy instrument alone.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"170 ","pages":"Article 105001"},"PeriodicalIF":1.9,"publicationDate":"2024-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142720798","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
Modeling inflation expectations in forward-looking interest rate and money growth rules 在前瞻性利率和货币增长规则中建模通胀预期
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-19 DOI: 10.1016/j.jedc.2024.104999
Zhengyang Chen , Victor J. Valcarcel
{"title":"Modeling inflation expectations in forward-looking interest rate and money growth rules","authors":"Zhengyang Chen ,&nbsp;Victor J. Valcarcel","doi":"10.1016/j.jedc.2024.104999","DOIUrl":"10.1016/j.jedc.2024.104999","url":null,"abstract":"<div><div>We propose a novel approach that directly embeds rational expectations (RE) into a low-dimensional structural vector autoregression (SVAR) without the need for any mapping to a dynamic stochastic general equilibrium (DSGE) model. Beginning from a fully specified “<em>consensus</em>” structural model, we establish an instrumental variable procedure internal to the SVAR to obtain RE-consistent structural responses to identified monetary policy shocks. Our <em>RE-SVAR</em> framework facilitates a comparison across two alternative monetary policy indicators that accommodate long horizons in the formation of inflation expectations in the policy rule. We construct clouds of responses of inflation and economic activity to monetary policy shocks. We find large regions of puzzling responses to innovations in the federal funds rate. This suggests that indicator often requires being augmented with more information in standard VAR settings. A money growth rule characterization—with Divisia M4 as a policy indicator—exhibits comparatively larger regions of sensible responses within a low-dimensional textbook model of the economy.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"170 ","pages":"Article 104999"},"PeriodicalIF":1.9,"publicationDate":"2024-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142744409","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
Social learning and expectational stability
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-14 DOI: 10.1016/j.jedc.2024.104990
George Evans , Bruce McGough
{"title":"Social learning and expectational stability","authors":"George Evans ,&nbsp;Bruce McGough","doi":"10.1016/j.jedc.2024.104990","DOIUrl":"10.1016/j.jedc.2024.104990","url":null,"abstract":"<div><div>Stability features of social learning (SL) dynamics are examined. We show SL can be formulated as a stochastic recursive algorithm, making it possible to analyze asymptotics using the familiar differential-equation approach. For a simple univariate model, this approach reduces to the E-stability principle, though in prominent instability cases divergence is <em>exceedingly</em> slow compared to adaptive learning (AL). We locate differing fitness criteria as the source of the slower evolution rates of SL compared to AL. Modified AL and SL learning dynamics models are developed and used to illustrate the different implications of policy change in a standard New Keynesian model. We anticipate that the central question going forward will be how best to combine the two approaches when modeling adaptation to structural change.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104990"},"PeriodicalIF":1.9,"publicationDate":"2024-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386653","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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