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Demand-side real rigidities revisited 需求侧实际刚性再度显现
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-12-01 Epub Date: 2025-10-30 DOI: 10.1016/j.jedc.2025.105204
Toyoichiro Shirota
{"title":"Demand-side real rigidities revisited","authors":"Toyoichiro Shirota","doi":"10.1016/j.jedc.2025.105204","DOIUrl":"10.1016/j.jedc.2025.105204","url":null,"abstract":"<div><div>This study explores the mechanism behind the persistent effects of monetary policy shocks, resolving a discrepancy between an assumption in typical macroeconomic models and micro evidence. While standard macro models often rely on a large demand kink (a micro real rigidity) to generate persistent real effects of monetary policy shocks, micro-empirical studies find this kink to be modest. I show that this discrepancy can be resolved by focusing on a previously underexplored interaction: the effects of this modest, empirically consistent micro real rigidity are amplified when combined with the macro real rigidities inherent in production linkages. A stylized production-chain model first clarifies the mechanism, showing how upstream micro rigidities are transformed into downstream macro rigidities. A large-scale production-network model, disciplined by empirical data, then demonstrates that this combined mechanism is quantitatively important for macroeconomic persistence.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"181 ","pages":"Article 105204"},"PeriodicalIF":2.3,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145448682","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 factor models capture both sentiment and limited attention? 因子模型能同时捕捉情绪和有限的注意力吗？
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-12-01 Epub Date: 2025-11-04 DOI: 10.1016/j.jedc.2025.105203
Xinrui Duan , Li Guo , Frank Weikai Li , Jun Tu
{"title":"Do factor models capture both sentiment and limited attention?","authors":"Xinrui Duan ,&nbsp;Li Guo ,&nbsp;Frank Weikai Li ,&nbsp;Jun Tu","doi":"10.1016/j.jedc.2025.105203","DOIUrl":"10.1016/j.jedc.2025.105203","url":null,"abstract":"<div><div>We demonstrate that valuation uncertainty and information arrival are critical stock characteristics determining whether individual factors in leading factor models are influenced by sentiment or limited attention. Therefore, the ability of a factor model to explain cross-sectional stock returns depends on including two distinct types of factors: those that capture sentiment and those that tackle limited attention. Yet, many leading factor models include factors for sentiment but fall short in incorporating factors for limited attention. Our findings are important, guiding future research towards developing new factor models that more effectively capture both sentiment and limited attention compared to existing models. This includes uncovering powerful factors capable of simultaneously capturing sentiment and limited attention.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"181 ","pages":"Article 105203"},"PeriodicalIF":2.3,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145569993","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
Better late than never: Macroeconomic impact of intermittent college enrollment and tuition subsidies 迟做总比不做好：断断续续的大学招生和学费补贴对宏观经济的影响
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-12-01 Epub Date: 2025-11-21 DOI: 10.1016/j.jedc.2025.105219
Guanyi Yang
{"title":"Better late than never: Macroeconomic impact of intermittent college enrollment and tuition subsidies","authors":"Guanyi Yang","doi":"10.1016/j.jedc.2025.105219","DOIUrl":"10.1016/j.jedc.2025.105219","url":null,"abstract":"<div><div>People often delay starting college or temporarily leave college to work. To examine the welfare implications of intermittent college attendance, I incorporate flexible age-by-age college enrollment choice in a life-cycle model in general equilibrium. College serves as an investment device for the young and reduces risk for the old. Removing flexible access reduces the total welfare value of college by one quarter. Moreover, higher wealth and better human capital preparedness at age 18 incentivize early-age degree completion. However, accessing college at a later age matters more for those who are initially less advantaged. Thus, policies that alleviate financial costs generate considerable long-term welfare improvements.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"181 ","pages":"Article 105219"},"PeriodicalIF":2.3,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145615743","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
Inside money, fraud and self-fulfilling liquidity dry-up 在货币内部，欺诈和自我实现的流动性枯竭
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-12-01 Epub Date: 2025-11-13 DOI: 10.1016/j.jedc.2025.105216
Jaevin Park
{"title":"Inside money, fraud and self-fulfilling liquidity dry-up","authors":"Jaevin Park","doi":"10.1016/j.jedc.2025.105216","DOIUrl":"10.1016/j.jedc.2025.105216","url":null,"abstract":"<div><div>I study the efficiency of issuing inside money under the risk of fraud in a competitive equilibrium. In the model, bankers can issue money with their franchise values and/or by holding real assets, but they can also fake the quality of the asset at a proportional cost. When the supply of assets is scarce and the counterfeiting cost is intermediate, multiple equilibria can arise with a self-fulfilling liquidity dry-up, where the haircut in the collateral transaction increases and aggregate liquidity shrinks simultaneously. This equilibrium allocation is suboptimal because the individual bankers cannot internalize the effect of issuing money on the prices and the pledgeability of the assets in general equilibrium. We find that imposing an entry cost is more effective in correcting pecuniary externality because the counterfeiting incentive can be discouraged by a positive franchise value. Maximum haircut requirements have an advantage of eliminating a self-fulfilling liquidity dry-up.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"181 ","pages":"Article 105216"},"PeriodicalIF":2.3,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145569958","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
Pricing path-dependent equity and credit derivatives within a general hybrid equity-credit framework: A unified CTMC approximation approach 在一般混合股权-信贷框架内定价路径依赖的股权和信用衍生品：统一的CTMC近似方法
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-11-01 Epub Date: 2025-09-15 DOI: 10.1016/j.jedc.2025.105178
Ning Cai , Siyi Wang , Wei Zhang , Haohong Lin
{"title":"Pricing path-dependent equity and credit derivatives within a general hybrid equity-credit framework: A unified CTMC approximation approach","authors":"Ning Cai ,&nbsp;Siyi Wang ,&nbsp;Wei Zhang ,&nbsp;Haohong Lin","doi":"10.1016/j.jedc.2025.105178","DOIUrl":"10.1016/j.jedc.2025.105178","url":null,"abstract":"<div><div>We propose a unified closed-form approximation approach to pricing path-dependent equity and credit derivatives such as defaultable single- and double-barrier options and equity default swaps (EDSs) under jump-to-default extended exponential Lévy models with local volatilities. This rich class of hybrid equity-credit models allows for state-dependent volatilities, state-dependent default intensities, and general Lévy types with either finite or infinite activities and with either finite or infinite variations, and includes many important hybrid equity-credit models as special cases. The convergences of the closed-form approximation pricing formulas are theoretically proved, and the corresponding convergence rates are also theoretically established. Numerical results indicate that our pricing method is accurate and efficient under a wide range of hybrid equity-credit models.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"180 ","pages":"Article 105178"},"PeriodicalIF":2.3,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145099132","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
Penetration or skimming pricing for credence products? 渗透或撇价信誉产品？
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-11-01 Epub Date: 2025-10-07 DOI: 10.1016/j.jedc.2025.105196
Philippe Mahenc
{"title":"Penetration or skimming pricing for credence products?","authors":"Philippe Mahenc","doi":"10.1016/j.jedc.2025.105196","DOIUrl":"10.1016/j.jedc.2025.105196","url":null,"abstract":"<div><div>This paper investigates a dynamic model of price signaling for a credence product with unknown social performance. A new entrant uses prices to reveal social responsibility and maintain reputation during a verification phase. In equilibrium, the signaling strategy involves penetration or skimming pricing depending on the competitive pressures the entrant faces. Faced with competition from conventional incumbents, the socially responsible entrant repeatedly charges low prices to penetrate the market. In contrast, in an untapped market, the socially responsible entrant repeatedly charges high prices to skim the cream off the top of the demand. In both cases, costly signaling is consistent with Veblen's law that conspicuous waste is an effective signal of reputation.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"180 ","pages":"Article 105196"},"PeriodicalIF":2.3,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145268733","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
Merton (1976) implied jump 默顿（1976）隐含跳跃
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-11-01 Epub Date: 2025-10-15 DOI: 10.1016/j.jedc.2025.105199
Junhong Yu , Xinfeng Ruan , Zheqi Fan
{"title":"Merton (1976) implied jump","authors":"Junhong Yu ,&nbsp;Xinfeng Ruan ,&nbsp;Zheqi Fan","doi":"10.1016/j.jedc.2025.105199","DOIUrl":"10.1016/j.jedc.2025.105199","url":null,"abstract":"<div><div>Motivated by the widespread use of implied volatility in the Black-Scholes-Merton (BSM) model, we shift the concept to implied jumps using the Merton jump-diffusion (MJD) model, aiming to extract jump-related information in an analogous manner. Such a novel attempt introduces challenges in the estimation process, and thus, we propose a hybrid estimation procedure that incorporates a pre-search step to identify reliable initial values for the model parameters, thereby enhancing estimation accuracy. Using the daily cross-section of option prices, we construct two new indices: the Implied Jump Expectation Index (JIX) and the Jump Volatility Index (JVIX) to represent implied jump. Our empirical results indicate the implied jump combined with the implied diffusive risk under the MJD model significantly provides incremental predictive power for shortly future realized volatility compared with VIX9D and the historical components of HAR models. Also, we document that JIX has significantly predictive power for the next-day market return even under the market extreme events or high economic uncertainty.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"180 ","pages":"Article 105199"},"PeriodicalIF":2.3,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145417536","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 effects of monetary policy on macroeconomic downside risk: state-dependence matters 货币政策对宏观经济下行风险的影响：国家依赖性问题
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-11-01 Epub Date: 2025-10-24 DOI: 10.1016/j.jedc.2025.105201
Giovanni Barci
{"title":"The effects of monetary policy on macroeconomic downside risk: state-dependence matters","authors":"Giovanni Barci","doi":"10.1016/j.jedc.2025.105201","DOIUrl":"10.1016/j.jedc.2025.105201","url":null,"abstract":"<div><div>I study the dynamic causal relationship between monetary policy and macroeconomic downside risk, focusing on structural asymmetries in recessions and expansions. I find that a monetary easing during economic slowdowns reduces downside risk by about twice as much as a monetary tightening during booms increases it. If this asymmetry is not properly accounted for, it could lead to an overly cautious behaviour by policymakers when tightening during booms; the conclusion also holds when considering monetary contractions occurring during highly-leveraged expansions. Results align with theoretical models that include a financial accelerator mechanism. I obtain evidence by building downside risk indicators as linear combinations of relevant quantiles of the conditional forecast density of output growth. Generalised state-dependent impulse response functions to structural shocks of quantiles linear combinations are recovered using a novel econometric framework that mixes structural VAR and quantile regressions, both adapted to accommodate smooth-transition parameters.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"180 ","pages":"Article 105201"},"PeriodicalIF":2.3,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145417534","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
Forward looking exporters 前瞻性出口商
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-11-01 Epub Date: 2025-09-15 DOI: 10.1016/j.jedc.2025.105183
François de Soyres , Erik Frohm , Emily Highkin , Carter Mix
{"title":"Forward looking exporters","authors":"François de Soyres ,&nbsp;Erik Frohm ,&nbsp;Emily Highkin ,&nbsp;Carter Mix","doi":"10.1016/j.jedc.2025.105183","DOIUrl":"10.1016/j.jedc.2025.105183","url":null,"abstract":"<div><div>We study the role of expectations in driving export adjustment. Using bilateral data on exchange rates, exchange rate forecasts, and HS2-product export data for a panel of countries, we show that expectations of exchange rate changes are an important channel for anticipatory export adjustment. In our preferred specification, an expected exchange rate depreciation induces substantial entry of new exporters (extensive margin adjustment), with no significant effect on total export volumes or the intensive margin. We develop a simple model with heterogeneous firms to provide intuition for these findings and discuss how anticipation behavior may affect trade elasticity measurement.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"180 ","pages":"Article 105183"},"PeriodicalIF":2.3,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145099130","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
Agree to disagree: Measuring hidden dissent in FOMC meetings 求同存异：衡量FOMC会议中隐藏的不同意见
IF 2.3 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-11-01 Epub Date: 2025-10-09 DOI: 10.1016/j.jedc.2025.105197
Kwok Ping Tsang , Zichao Yang
{"title":"Agree to disagree: Measuring hidden dissent in FOMC meetings","authors":"Kwok Ping Tsang ,&nbsp;Zichao Yang","doi":"10.1016/j.jedc.2025.105197","DOIUrl":"10.1016/j.jedc.2025.105197","url":null,"abstract":"<div><div>Using FOMC transcripts and customized deep learning models, we quantify “hidden dissent”, or disagreement in the FOMC that is unobserved in formal votes. We find hidden dissent to be prevalent and systematically driven by macroeconomic conditions like inflation and unemployment. It strongly correlates with divergent member projections (SEP) and measures of policy sub-optimality, reflecting heterogeneity among members in policy preferences. Furthermore, we show that the financial markets respond to the hidden dissent implied in FOMC minutes.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"180 ","pages":"Article 105197"},"PeriodicalIF":2.3,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145268731","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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