Journal of Economic Dynamics & Control最新文献_第5页

What drives German trend output growth? A sectoral view 是什么推动了德国趋势产出增长？行业观点

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2025-03-06 DOI: 10.1016/j.jedc.2025.105079

Robert Lehmann , Lara Zarges

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引用次数: 0

Robots, AI, and unemployment 机器人、人工智能和失业

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2025-03-04 DOI: 10.1016/j.jedc.2025.105069

Noritaka Kudoh , Hiroaki Miyamoto

引用次数: 0

Microdata-based output gap estimation using business tendency surveys 使用业务趋势调查的基于微数据的产出缺口估计

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2025-02-27 DOI: 10.1016/j.jedc.2025.105068

Mirosław Błażej , Mariusz Górajski , Magdalena Ulrichs

{"title":"Microdata-based output gap estimation using business tendency surveys","authors":"Mirosław Błażej , Mariusz Górajski , Magdalena Ulrichs","doi":"10.1016/j.jedc.2025.105068","DOIUrl":"10.1016/j.jedc.2025.105068","url":null,"abstract":"<div><div>This study employs a micro-econometric model to estimate output gaps by analysing microdata from business tendency surveys and annual enterprise activity reports. We apply the control function method to estimate sector-specific production functions that incorporate information about firms' capacity utilisation levels. To construct aggregate indices of potential output, we calculate potential input values by extracting statistical trends from firm-level data and then input them into production functions. We then compute microdata-based output gaps for regions, sectors, and the total economy. Subsequently, we decompose the total output gap into three primary components: capital-, labour-, and capacity utilisation-based output gaps, as well as weighted sectoral and regional output gaps. We validate our methodology by analysing the Polish manufacturing, construction, and service sectors, highlighting its strengths and limitations. Our findings reveal that capacity utilisation effectively captures the business cycle component within unadjusted total factor productivity indices. Finally, we demonstrate that microdata-based output gap measures are significant explanatory variables in the Phillips curve.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"174 ","pages":"Article 105068"},"PeriodicalIF":1.9,"publicationDate":"2025-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143529336","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

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

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 , James Morley , 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 , Davide Pettenuzzo , Aubrey Poon , 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

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

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

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

引用次数: 0