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Two main business cycle shocks are better than one 两个主要的商业周期冲击总比一个冲击好
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2026-01-01 Epub Date: 2025-11-30 DOI: 10.1016/j.jedc.2025.105231
Antonio Granese
{"title":"Two main business cycle shocks are better than one","authors":"Antonio Granese","doi":"10.1016/j.jedc.2025.105231","DOIUrl":"10.1016/j.jedc.2025.105231","url":null,"abstract":"<div><div>A recent influential study based on a Structural VAR with frequency-domain identification argues that most cyclical fluctuations in real activity are driven by a single shock. We revisit this view using a large-dimensional Dynamic Factor Model estimated on more than 100 U.S. macroeconomic series. Our data-rich approach uncovers two main shocks that jointly drive the business cycle: one transitory and demand-like, the other persistent and supply-like. This two-shock structure explains the bulk of both business-cycle and long-run fluctuations in key macroeconomic aggregates. The findings support a classical AD-AS interpretation and challenge the notion of a single dominant business-cycle shock.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"182 ","pages":"Article 105231"},"PeriodicalIF":2.3,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145694256","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
“Write your model almost as you would on paper and Michel will take care of the rest!” Michel Juillard’s contribution to macroeconomics in historical perspective “把你的模型几乎像你在纸上写的那样写出来，米歇尔会处理剩下的事情！”历史视角下米歇尔·茱莉亚对宏观经济学的贡献
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2026-01-01 Epub Date: 2025-11-24 DOI: 10.1016/j.jedc.2025.105224
Beatrice Cherrier , Aurélien Saïdi , Francesco Sergi
{"title":"“Write your model almost as you would on paper and Michel will take care of the rest!” Michel Juillard’s contribution to macroeconomics in historical perspective","authors":"Beatrice Cherrier ,&nbsp;Aurélien Saïdi ,&nbsp;Francesco Sergi","doi":"10.1016/j.jedc.2025.105224","DOIUrl":"10.1016/j.jedc.2025.105224","url":null,"abstract":"<div><div>In this article, we document Michel Juillard’s contribution to macroeconomics. Best known as the creator of the computer package Dynare, Juillard’s impact extends far beyond software development. We trace his training and career from his first encounter with computers in high school through his ongoing work on Dynare. His contribution to macroeconomics, we argue, is threefold: intellectual (devising algorithms and addressing specific computational problems for a class of models), technical (writing code and developing a computer package), and institutional (establishing and maintaining the governance structures that ensure Dynare’s sustainability as a digital commons). Juillard’s career highlights broader questions about adapting Ostrom’s framework to digital commons development, the principles that govern software development, and the place computational economics should occupy in the history of macroeconomics.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"182 ","pages":"Article 105224"},"PeriodicalIF":2.3,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145748439","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
Inflation expectations with finite horizon planning 有限视界规划下的通胀预期
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2026-01-01 Epub Date: 2025-11-25 DOI: 10.1016/j.jedc.2025.105222
Christopher Gust , Edward Herbst , David López-Salido
{"title":"Inflation expectations with finite horizon planning","authors":"Christopher Gust ,&nbsp;Edward Herbst ,&nbsp;David López-Salido","doi":"10.1016/j.jedc.2025.105222","DOIUrl":"10.1016/j.jedc.2025.105222","url":null,"abstract":"<div><div>Under finite horizon planning, households and firms evaluate a full set of state-contingent paths along which the economy might evolve out to a finite horizon but have limited ability to process events beyond that horizon. We show–analytically and empirically–that such a model accounts for an initial underreaction and subsequent overreaction of inflation forecasts. A planning horizon of four quarters can account for the evidence on the predictability of inflation forecast errors and macroeconomic data. Our identification and estimation strategies combine full-information methods based on aggregate data with regression-based estimates that directly use inflation expectations data.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"182 ","pages":"Article 105222"},"PeriodicalIF":2.3,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145748442","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
Computation of policy counterfactuals in sequence space 序列空间中策略反事实的计算
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.2025.105228
James Hebden, Fabian Winkler
{"title":"Computation of policy counterfactuals in sequence space","authors":"James Hebden,&nbsp;Fabian Winkler","doi":"10.1016/j.jedc.2025.105228","DOIUrl":"10.1016/j.jedc.2025.105228","url":null,"abstract":"<div><div>We propose an efficient procedure to solve for policy counterfactuals in sequence space. Forecasts of the variables relevant for the policy problem, and their impulse responses to anticipated policy shocks, constitute sufficient information to construct valid counterfactuals. Knowledge of the structural model equations or filtering of structural shocks is not required. The underlying model has to be linear but occasionally binding constraints are allowed under quasi-perfect foresight. We solve for deterministic and stochastic paths under instrument rules as well as under optimal policy with commitment or subgame-perfect discretion. As an application, we compute counterfactuals of the U.S. economy after the pandemic shock of 2020 under several monetary policy regimes.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"182 ","pages":"Article 105228"},"PeriodicalIF":2.3,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145840091","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 pass-through to inflation of gas price shocks 天然气价格冲击对通货膨胀的传导
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.2025.105218
Lucia López , Florens Odendahl , Susana Párraga Rodríguez , Edgar Silgado-Gómez
{"title":"The pass-through to inflation of gas price shocks","authors":"Lucia López ,&nbsp;Florens Odendahl ,&nbsp;Susana Párraga Rodríguez ,&nbsp;Edgar Silgado-Gómez","doi":"10.1016/j.jedc.2025.105218","DOIUrl":"10.1016/j.jedc.2025.105218","url":null,"abstract":"<div><div>This paper analyses the pass-through of gas shocks to inflation in the euro area. First, it uses a Bayesian Structural Vector Autoregressive (BSVAR) framework to estimate the effects of gas supply shocks on headline inflation in the euro area and its four largest economies. A gas supply shock that increases gas prices by 10 % raises euro area headline inflation by 0.6 percentage points after one year. The transmission of gas supply shocks is driven by direct and indirect effects, i.e. by households consuming gas products and by second-round effects through production costs. We document cross-country heterogeneity arising from differences in reliance on energy commodities across consumption and production, as well as from variation in the regulation of retail energy prices. Second, we build a New Keynesian Dynamic Stochastic General Equilibrium (NK-DSGE) model augmented with energy and show that indirect effects account for approximately 75 % of the cumulative response of headline inflation after three years.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"182 ","pages":"Article 105218"},"PeriodicalIF":2.3,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145694259","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
Reinforcement learning for household finance: Designing policy via responsiveness 家庭金融的强化学习：通过响应性设计政策
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.2025.105229
Arka Prava Bandyopadhyay , Lilia Maliar
{"title":"Reinforcement learning for household finance: Designing policy via responsiveness","authors":"Arka Prava Bandyopadhyay ,&nbsp;Lilia Maliar","doi":"10.1016/j.jedc.2025.105229","DOIUrl":"10.1016/j.jedc.2025.105229","url":null,"abstract":"<div><div>We use model-free reinforcement learning (RL) to explore how a mortgage servicer can optimize her actions toward a borrower. Unlike conventional heuristic approaches, our methodology eliminates reliance on subjective and qualitative judgments from industry and legal experts. We are the first to incorporate post-securitization soft information and the borrower’s responsiveness to the servicer to estimate an RL-based policy rule. When maximizing her reward, the servicer dynamically learns the type of borrower, allowing it to anticipate and mitigate adversarial behavior. This, in turn, fosters greater borrower cooperation and improves overall outcomes.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"182 ","pages":"Article 105229"},"PeriodicalIF":2.3,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145748441","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 and labor productivity comovement: the role of firm exit 失业与劳动生产率变动：企业退出的作用
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-12-01 Epub Date: 2025-11-03 DOI: 10.1016/j.jedc.2025.105205
Miroslav Gabrovski , Mario Rafael Silva
{"title":"Unemployment and labor productivity comovement: the role of firm exit","authors":"Miroslav Gabrovski ,&nbsp;Mario Rafael Silva","doi":"10.1016/j.jedc.2025.105205","DOIUrl":"10.1016/j.jedc.2025.105205","url":null,"abstract":"<div><div>The Diamond-Mortensen-Pissarides model has been the primary workhorse for analyzing the dynamics of unemployment, vacancies, and market tightness over the business cycle. However, it predicts a near-perfect comovement between these variables and labor productivity, whereas the empirical correlation is only mild. We resolve this discrepancy by extending the model to incorporate sunk entry costs and finitely elastic vacancy creation, and by carefully distinguishing between business opportunity destruction and match separation as distinct sources of job loss. These features render vacancies a partially predetermined, positively valued stock variable. If the destruction rate is low, then most vacancies are inherited from the past and reflect historical rather than current productivity, breaking the tight unemployment-productivity link, while preserving strong correlations among labor market variables. We show that, when calibrated to information on job turnover and recall rates, the model reproduces the empirical contemporaneous and dynamic correlations between labor market variables and productivity while preserving the strong correlation between unemployment, vacancies, and the market tightness observed in the data.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"181 ","pages":"Article 105205"},"PeriodicalIF":2.3,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145521080","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
Matching friction, coordination, and monetary nonneutrality 匹配摩擦、协调和货币非中立性
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-12-01 Epub Date: 2025-11-07 DOI: 10.1016/j.jedc.2025.105206
King King Li , Tao Zhu
{"title":"Matching friction, coordination, and monetary nonneutrality","authors":"King King Li ,&nbsp;Tao Zhu","doi":"10.1016/j.jedc.2025.105206","DOIUrl":"10.1016/j.jedc.2025.105206","url":null,"abstract":"<div><div>This paper theoretically and experimentally investigates matching friction as a cause of monetary nonneutrality. We design a price-posting game in which mismatching (i.e., a player not being matched with a trading partner) is costly and can only be eliminated if players coordinate on one equilibrium from a specific subset of multiple equilibria. In the lab, subjects coordinate by certain pricing and visiting rules, and their actions appear to be consistent with such an equilibrium. A nominal shock disturbs the established coordination patterns and, in particular, causes sellers to adjust their pricing rules. The adjustment is persistent and differs at a disaggregate level in a way that the resulting nonneutrality gets along with the quantity theory (i.e., the aggregate price level is proportional to the aggregate nominal stock).</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"181 ","pages":"Article 105206"},"PeriodicalIF":2.3,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145615741","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
Private versus social responses to a pandemic 个人与社会对流行病的反应
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-12-01 Epub Date: 2025-11-11 DOI: 10.1016/j.jedc.2025.105202
Miguel Casares , Paul Gomme , Hashmat Khan
{"title":"Private versus social responses to a pandemic","authors":"Miguel Casares ,&nbsp;Paul Gomme ,&nbsp;Hashmat Khan","doi":"10.1016/j.jedc.2025.105202","DOIUrl":"10.1016/j.jedc.2025.105202","url":null,"abstract":"<div><div>What are the socially optimal restrictions on private activity during a pandemic? How do these differ from private decisions? We address these questions by modeling the interactions between epidemiology and the macroeconomy. Unlike the private planner, the social planner accounts for two externalities: the increase in the cost of severe illness associated with more infected individuals, reflecting the capacity constraints of the health care system; and the socioeconomic transmission of the virus from asymptomatic to susceptible individuals. Owing to these externalities, the social planner imposes stricter constraints on socioeconomic activities. Applied to the COVID-19 pandemic, socially optimal restrictions reduce the welfare costs by roughly one percent of GDP.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"181 ","pages":"Article 105202"},"PeriodicalIF":2.3,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145615742","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 “digital” premium: Why does digitalization drive stock returns? “数字化”溢价：为什么数字化会推动股票回报？
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-12-01 Epub Date: 2025-11-12 DOI: 10.1016/j.jedc.2025.105217
Katharina Drechsler , Sebastian Müller , Heinz-Theo Wagner
{"title":"The “digital” premium: Why does digitalization drive stock returns?","authors":"Katharina Drechsler ,&nbsp;Sebastian Müller ,&nbsp;Heinz-Theo Wagner","doi":"10.1016/j.jedc.2025.105217","DOIUrl":"10.1016/j.jedc.2025.105217","url":null,"abstract":"<div><div>To explore whether the rise of digital innovation across firms might point to the existence of a new risk compensation in asset pricing, we construct a text-based measure of the socio-technical phenomenon of digitalization, called digital orientation, by using the MD&amp;A section of annual firm reports from 1996 to 2020. We find that firms with a high digital orientation (digital leaders) are systematically different along several key characteristics like valuation, sales growth, and profitability, forming a peer group of digitally leading firms across traditional industry boundaries. A digital orientation strategy, which is long (short) stocks with high (low) digital orientation, earns an equally weighted (value-weighted) monthly six-factor alpha of 0.41 % (0.28 %) per month, both statistically significant at 5 %. These results are robust to various sensitivity checks, including alternative constructions of the digital orientation measure, controls for industry membership, changes to the sample dataset, and the use of an alternative dictionary. Additionally, the results remain comparable if we construct an alternative investment strategy based on the portfolio holdings of funds with a digital innovation focus.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"181 ","pages":"Article 105217"},"PeriodicalIF":2.3,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145615740","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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