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Investment policies and risk sharing by corporate pensions 企业年金的投资政策和风险分担
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-06-07 DOI: 10.1016/j.jedc.2024.104891
C. Wei Li , Tong Yao , Jie Ying
{"title":"Investment policies and risk sharing by corporate pensions","authors":"C. Wei Li ,&nbsp;Tong Yao ,&nbsp;Jie Ying","doi":"10.1016/j.jedc.2024.104891","DOIUrl":"https://doi.org/10.1016/j.jedc.2024.104891","url":null,"abstract":"<div><p>Using a corporate risk management model, we show that the investment risk sharing features of defined benefit corporate pensions help explain their aggressive investment policies as well as their diminishing popularity over time. For reasonable parameter values, the model successfully captures key empirical patterns including pension asset allocation and the relations among pension investment risk, corporate bankruptcy probability, and pension funding. Consistent with the observed trend, we find that switching from defined-benefit plans to defined-contribution plans enhances risk transfer and reduces firms' pension funding costs.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"165 ","pages":"Article 104891"},"PeriodicalIF":1.9,"publicationDate":"2024-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141314246","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
Stability between cryptocurrency prices and the term structure 加密货币价格与期限结构之间的稳定性
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-05-29 DOI: 10.1016/j.jedc.2024.104890
Jennifer L. Castle , Takamitsu Kurita
{"title":"Stability between cryptocurrency prices and the term structure","authors":"Jennifer L. Castle ,&nbsp;Takamitsu Kurita","doi":"10.1016/j.jedc.2024.104890","DOIUrl":"https://doi.org/10.1016/j.jedc.2024.104890","url":null,"abstract":"<div><p>The rapid expansion of the global cryptocurrency market raises the question of whether there are stable relationships between the prices of representative cryptocurrencies and economic indicators capturing expectations of future monetary policy. Multivariate time-series analysis reveals a single but significant cointegrating relationship between cryptocurrencies and the US term spread. This evidence allows us to explore cointegration-based control analysis of the data, which results in direct policy implications for the implementation of monetary policy allowing for the growing influence of digital assets. Structural breaks due to Tesla terminating the use of Bitcoin for car sales and the US inflation shock in 2022 must be handled, maintaining the stability of the relationship between cryptocurrencies and the term spread.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"165 ","pages":"Article 104890"},"PeriodicalIF":1.9,"publicationDate":"2024-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141244865","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
Capital income taxation and reforming social security in an OLG economy 资本所得税和开放式政府经济中的社会保障改革
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-05-27 DOI: 10.1016/j.jedc.2024.104878
Krzysztof Makarski , Joanna Tyrowicz , Oliwia Komada
{"title":"Capital income taxation and reforming social security in an OLG economy","authors":"Krzysztof Makarski ,&nbsp;Joanna Tyrowicz ,&nbsp;Oliwia Komada","doi":"10.1016/j.jedc.2024.104878","DOIUrl":"https://doi.org/10.1016/j.jedc.2024.104878","url":null,"abstract":"<div><p>Reforming social security can improve efficiency and reduce future fiscal strain, emerging with the rising old-age longevity. However, it generates transitory fiscal cost and reduces insurance against income risk, which is embedded in current US social security. We show that if that transitory fiscal cost is financed through increased capital income taxation, the efficiency gains can be amplified sufficiently to outweigh the costs of the reform. Our result stems from the Ramsey rule: rising old-age longevity makes capital less responsive to tax hikes. We reconcile our results with the existing literature. Our results are of policy relevance for many advanced economies which currently feature redistributive and increasingly unbalanced social security due to rising old-age longevity.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"165 ","pages":"Article 104878"},"PeriodicalIF":1.9,"publicationDate":"2024-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0165188924000708/pdfft?md5=ed462746ae2e59007ab8a8962c3297d8&pid=1-s2.0-S0165188924000708-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141244502","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
Unconventional monetary policy and policy foresight 非常规货币政策与政策前瞻
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-05-22 DOI: 10.1016/j.jedc.2024.104882
Sebastian Laumer , Andreas-Entony Violaris
{"title":"Unconventional monetary policy and policy foresight","authors":"Sebastian Laumer ,&nbsp;Andreas-Entony Violaris","doi":"10.1016/j.jedc.2024.104882","DOIUrl":"10.1016/j.jedc.2024.104882","url":null,"abstract":"<div><p>What are the effects of unconventional monetary policy interventions on the economy? Empirical studies utilizing traditional SVAR models consistently report expansionary effects on output and prices while considering only a small number of variables. This paper is the first to present both narrative and empirical evidence indicating that these models are susceptible to policy foresight, as central banks frequently announce their unconventional policies months in advance. To address policy foresight, we estimate a Bayesian FAVAR model with an extended set of information for the Euro Area. Consistent with the existing literature, we find that an unconventional monetary policy shock boosts economic activity by increasing industrial production and reducing the unemployment rate. Notably, our estimated effects are both larger and more persistent compared to previous findings. Furthermore, the shock decreases interest rates, interest rate spreads, and government bond yields, leading to an improvement in financial conditions. In a noteworthy departure from previous research, we find significant uncertainty regarding the impacts on consumer and producer prices, highlighting the need for further research.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"164 ","pages":"Article 104882"},"PeriodicalIF":1.9,"publicationDate":"2024-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141138435","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
Heterogeneous experience and constant-gain learning 异质经验和恒定收益学习
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-05-22 DOI: 10.1016/j.jedc.2024.104881
John Duffy , Michael Shin
{"title":"Heterogeneous experience and constant-gain learning","authors":"John Duffy ,&nbsp;Michael Shin","doi":"10.1016/j.jedc.2024.104881","DOIUrl":"https://doi.org/10.1016/j.jedc.2024.104881","url":null,"abstract":"<div><p>Recent evidence suggests that agents may base their forecasts for macroeconomic variables mainly on their personal life experiences. We connect this behavior to the concept of constant-gain learning (CGL) in macroeconomics. Our approach incorporates both heterogeneity in the life cycle via the perpetual youth model and learning from experience (LfE) into a linear expectations model where agents are born and die with some probability every period. For LfE, agents employ a decreasing-gain learning (DGL) model using data only from their own lifetimes. While agents are using DGL individually, we show that in the aggregate, expectations follow an approach related to CGL, where the gain is now tied to the probabilities of birth and death. We provide a precise characterization of the relationship between CGL and our model of perpetual youth learning (PYL) and show that PYL can well approximate CGL while pinning down the gain parameter with demographic data. Calibrating the model to U.S. demographics leads to gain parameters similar to those found in the literature. Further, variation in birth and death rates across countries and time periods can help explain the empirical time-variation in gains. Finally, we show that our approach is robust to alternative ways of modeling individual agent learning.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"164 ","pages":"Article 104881"},"PeriodicalIF":1.9,"publicationDate":"2024-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0165188924000733/pdfft?md5=c9a7f95579abcba44585359e061a2de9&pid=1-s2.0-S0165188924000733-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141090039","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
Gamma positioning and market quality 伽马定位和市场质量
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-05-17 DOI: 10.1016/j.jedc.2024.104880
Boyd Buis , Mary Pieterse-Bloem , Willem F.C. Verschoor , Remco C.J. Zwinkels
{"title":"Gamma positioning and market quality","authors":"Boyd Buis ,&nbsp;Mary Pieterse-Bloem ,&nbsp;Willem F.C. Verschoor ,&nbsp;Remco C.J. Zwinkels","doi":"10.1016/j.jedc.2024.104880","DOIUrl":"10.1016/j.jedc.2024.104880","url":null,"abstract":"<div><p>In this paper, we study the effect of the gamma positioning of dynamic hedgers on market quality through simulations. In our zero-intelligence model, the presence of dynamic hedgers enhances market liquidity under normal conditions. However, positive gamma helps sustain liquidity in stressed scenarios, while negative gamma depletes it. We find that an increase in the net gamma positioning of dynamic hedgers reduces volatility and increases market stability, whereas a negative gamma positioning increases volatility and makes the market more prone to failure. Price discovery typically worsens when dynamic hedgers become more prevalent, regardless of the sign of their positioning. Our findings imply that steering the net gamma position of dynamic hedgers can be considered a policy instrument to improve market quality, especially for instruments with low liquidity or low traded volume.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"164 ","pages":"Article 104880"},"PeriodicalIF":1.9,"publicationDate":"2024-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0165188924000721/pdfft?md5=ae05024e1ab52b62090ee86195a78dab&pid=1-s2.0-S0165188924000721-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141056732","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
Strategic innovation and technology adoption under technological uncertainty 技术不确定性下的战略创新和技术采用
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-05-16 DOI: 10.1016/j.jedc.2024.104879
Fanglin Ye , Nicholas Paulson , Madhu Khanna
{"title":"Strategic innovation and technology adoption under technological uncertainty","authors":"Fanglin Ye ,&nbsp;Nicholas Paulson ,&nbsp;Madhu Khanna","doi":"10.1016/j.jedc.2024.104879","DOIUrl":"10.1016/j.jedc.2024.104879","url":null,"abstract":"<div><p>This article analyzes the effect of technological uncertainty in an innovation market where upstream innovators develop innovations and downstream technology adopters use them. Technological uncertainty takes the form that it is unclear when future innovations will arrive and how they will perform. We show that technological uncertainty not only reduces adopters’ incentives to use new innovations, but also decreases innovators’ incentives to develop them. This uncertainty effect leads to lower innovation and adoption rates at the market equilibrium, resulting in inefficiently slow innovation and diffusion processes compared to the social optimum. To solve this uncertainty problem, we show that a quantity-based regulation is more recommended than a market-based R&amp;D or price subsidy.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"165 ","pages":"Article 104879"},"PeriodicalIF":1.9,"publicationDate":"2024-05-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141047664","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
Market power, inequality, and financial instability 市场力量、不平等和金融不稳定性
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-05-11 DOI: 10.1016/j.jedc.2024.104875
Isabel Cairó , Jae Sim
{"title":"Market power, inequality, and financial instability","authors":"Isabel Cairó ,&nbsp;Jae Sim","doi":"10.1016/j.jedc.2024.104875","DOIUrl":"10.1016/j.jedc.2024.104875","url":null,"abstract":"<div><p>Over the last four decades, the U.S. economy has experienced a few secular trends: declining labor share, increasing profit share, widening income and wealth inequalities, rising household sector leverage and associated financial instability, manifested in an increase in the probability of financial crises. This paper provides a unifying framework for explaining these trends based on a rise in firm market power in both product and labor markets. We develop a general equilibrium model and show that the rise in firm market power over the last few decades can generate all of these secular trends.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"164 ","pages":"Article 104875"},"PeriodicalIF":1.9,"publicationDate":"2024-05-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141041191","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
Output-inflation trade-offs and the optimal inflation rate 产出-通胀权衡与最优通胀率
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-05-10 DOI: 10.1016/j.jedc.2024.104874
Takushi Kurozumi , Willem Van Zandweghe
{"title":"Output-inflation trade-offs and the optimal inflation rate","authors":"Takushi Kurozumi ,&nbsp;Willem Van Zandweghe","doi":"10.1016/j.jedc.2024.104874","DOIUrl":"https://doi.org/10.1016/j.jedc.2024.104874","url":null,"abstract":"<div><p>We show that a positive superelasticity of demand, often referred to as “Marshall's Second Law of Demand,” is a new push factor of optimal inflation in staggered price models. The positive superelasticity alters the trade-offs between output and inflation in the models. It allows higher trend inflation to steepen the slope of a model-based Phillips curve and lower the steady-state average markup, and thus reduces the inflation-related weight in a model-based welfare function for higher trend inflation and the steady-state welfare cost of higher trend inflation. Consequently, the positive superelasticity can make the optimal trend inflation rate positive and lessen the welfare difference between inflation targets of 2 percent and 4 percent.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"164 ","pages":"Article 104874"},"PeriodicalIF":1.9,"publicationDate":"2024-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140952298","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
Odyssean forward guidance in normal times 正常时期的奥德赛式前瞻性指导
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-05-10 DOI: 10.1016/j.jedc.2024.104877
Lilia Maliar , John B. Taylor
{"title":"Odyssean forward guidance in normal times","authors":"Lilia Maliar ,&nbsp;John B. Taylor","doi":"10.1016/j.jedc.2024.104877","DOIUrl":"10.1016/j.jedc.2024.104877","url":null,"abstract":"<div><p>We present a systematic treatment of dynamic effects of Odyssean forward guidance – explicit announcements about future policy rates. We focus on normal times unlike the mainstream of the literature that focuses on episodes of an effective (zero) lower bound on nominal interest rates. We present novel closed-form solutions to both deterministic and stochastic versions of a stylized new Keynesian model with fully anticipated future shocks. We establish a theorem that delineates the parameter space into real and complex-root regions characterized by different characteristic roots. We formulate a simple recipe for testing the effectiveness of forward guidance: the size of the smallest root is a single sufficient statistics that determines whether or not forward guidance generates significant contemporaneous effects.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"165 ","pages":"Article 104877"},"PeriodicalIF":1.9,"publicationDate":"2024-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141046759","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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