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Liquidity allocation and endogenous aggregate risks 流动性配置与内生总量风险
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-01-28 DOI: 10.1016/j.jedc.2025.105048
Ge Zhou
{"title":"Liquidity allocation and endogenous aggregate risks","authors":"Ge Zhou","doi":"10.1016/j.jedc.2025.105048","DOIUrl":"10.1016/j.jedc.2025.105048","url":null,"abstract":"<div><div>This paper presents a continuous-time DSGE model that examines an endogenous mechanism for liquidity allocation between the real economy and the financial system, as well as its interaction with systemic risk. The model provides rationales for the phenomena of weak investment and a savings glut observed among non-financial corporations in major advanced economies during the recovery from the Great Recession. It highlights that physical capital has lower liquidity compared to its corresponding equities. By incorporating financial frictions, the model reveals that risk-averse entrepreneurs, who must bear a portion of their investment risks, have their investment decisions significantly shaped by their capital structure. When entrepreneurs face low net worth, they tend to reduce investments and increase holdings in financial assets as a risk hedge. This behavior shifts more funds into the financial system, potentially sparking a financial boom accompanied by elevated systemic risks, while contributing to a sluggish economic recovery.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"173 ","pages":"Article 105048"},"PeriodicalIF":1.9,"publicationDate":"2025-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143102306","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
Fiscal consolidation in heavily indebted economies 重负债经济体的财政整顿
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-01-27 DOI: 10.1016/j.jedc.2025.105046
Concepción González García
{"title":"Fiscal consolidation in heavily indebted economies","authors":"Concepción González García","doi":"10.1016/j.jedc.2025.105046","DOIUrl":"10.1016/j.jedc.2025.105046","url":null,"abstract":"<div><div>In this paper, I build a dynamic general equilibrium model calibrated to the U.S. economy to study the macroeconomic effects of alternative fiscal consolidation strategies in a context where the private sector is heavily indebted. Fiscal consolidation is defined as a permanent reduction of the public debt-to-GDP ratio through government spending cuts or tax hikes. I show that in the long run, fiscal consolidation entails output benefits that are dampened when private debt is high. This effect occurs independently of the fiscal instrument used to stabilize the debt. In the short run, I find that a fiscal policy that raises labor or capital tax rates induces deleveraging in the private sector, which amplifies temporary output losses due to fiscal consolidation policies. By contrast, a fiscal consolidation achieved by government spending cuts or consumption tax hikes facilitates the repayment of private debt, thereby mitigating the negative output effect associated with a public debt reduction. Finally, regarding social welfare, I find that a fiscal consolidation brings higher welfare gains when government spending or consumption tax rates adjust in an environment of high private debt. However, it increases the social welfare loss when capital or labor tax rates adjust to meet the public debt target.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"173 ","pages":"Article 105046"},"PeriodicalIF":1.9,"publicationDate":"2025-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143102309","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
Limited asset market participation and monetary policy in a small open economy 小型开放经济中有限的资产市场参与和货币政策
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-01-27 DOI: 10.1016/j.jedc.2025.105047
Paul Levine , Stephen McKnight , Alexander Mihailov , Jonathan Swarbrick
{"title":"Limited asset market participation and monetary policy in a small open economy","authors":"Paul Levine ,&nbsp;Stephen McKnight ,&nbsp;Alexander Mihailov ,&nbsp;Jonathan Swarbrick","doi":"10.1016/j.jedc.2025.105047","DOIUrl":"10.1016/j.jedc.2025.105047","url":null,"abstract":"<div><div>Limited asset market participation (LAMP) and trade openness are crucial features that characterize all real-world economies. We study equilibrium determinacy and optimal monetary policy in a model of a small open economy with LAMP. With low enough participation in asset markets, conventional wisdom concerning the stabilizing benefits of policy inertia can be overturned, irrespective of the constraint of a zero lower bound on the nominal interest rate. In contrast to recent studies, trade openness can play an important stabilizing role in LAMP economies. Optimal monetary policy is derived as a robust timeless rule, where the optimal level of interest-rate inertia depends on the degree of trade openness. The optimal rule is shown to be super-inertial for standard economies, whereas the degree of inertia is significantly lower and not super-inertial for LAMP economies.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"173 ","pages":"Article 105047"},"PeriodicalIF":1.9,"publicationDate":"2025-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143102308","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
Green technology investment: Announced vs. unannounced subsidy retraction 绿色技术投资：宣布与未宣布的补贴撤销
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-01-01 DOI: 10.1016/j.jedc.2024.105030
Verena Hagspiel , Peter M. Kort , Xingang Wen
{"title":"Green technology investment: Announced vs. unannounced subsidy retraction","authors":"Verena Hagspiel ,&nbsp;Peter M. Kort ,&nbsp;Xingang Wen","doi":"10.1016/j.jedc.2024.105030","DOIUrl":"10.1016/j.jedc.2024.105030","url":null,"abstract":"<div><div>Policy uncertainty affects firms' investment decisions and the corresponding societal welfare (total surplus). One common perception is that policy uncertainty has negative welfare effects, and therefore, the regulator should be “transparent” by announcing future policy changes. We show that this is not always true. This paper investigates a firm's green technology investment decision in a dynamic setting, where it decides about the investment timing and size in the presence of technological uncertainty. Initially the regulator incentivizes the investment by subsidizing. As the cost of the green technology is expected to fall over time, at some point the subsidy is retracted. We consider two scenarios, one where the regulator announces the subsidy retraction in advance, and one where it does not do so. The subsidy retraction announcement can motivate the firm to invest too early from a welfare perspective because it wants to <em>catch</em> the subsidy. This rent-seeking behavior implies that for an intermediate range of subsidy levels, not announcing the retraction leads to more favorable welfare consequences. We further show that a larger uncertainty about technological development encourages not to announce the subsidy retraction.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"170 ","pages":"Article 105030"},"PeriodicalIF":1.9,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143100990","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
Fiscal consolidation and public debt 财政整顿和公共债务
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-01-01 DOI: 10.1016/j.jedc.2024.104998
Sakai Ando , Prachi Mishra , Nikhil Patel , Adrian Peralta-Alva , Andrea F. Presbitero
{"title":"Fiscal consolidation and public debt","authors":"Sakai Ando ,&nbsp;Prachi Mishra ,&nbsp;Nikhil Patel ,&nbsp;Adrian Peralta-Alva ,&nbsp;Andrea F. Presbitero","doi":"10.1016/j.jedc.2024.104998","DOIUrl":"10.1016/j.jedc.2024.104998","url":null,"abstract":"<div><div>High public debt is urging policy makers to consider strategies to rebuild buffers and preserve debt sustainability. We study whether—and under which conditions—fiscal consolidation is likely to be associated with a durable reduction in public debt to GDP ratios. Our findings based on a sample of advanced and emerging countries indicate that the average fiscal consolidation has a minimal effect. However, discretionary consolidations (or an increase in the primary balance to GDP beyond what is driven by business cycle considerations) implemented during economic upturns or in scenarios where they can “crowd in” private investment, are likely to be associated with sustained reductions in debt ratios.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"170 ","pages":"Article 104998"},"PeriodicalIF":1.9,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143100987","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
Portfolio choice analysis in a multi-country macro model 多国宏观模型下的投资组合选择分析
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-01-01 DOI: 10.1016/j.jedc.2024.105021
Chenyue Hu
{"title":"Portfolio choice analysis in a multi-country macro model","authors":"Chenyue Hu","doi":"10.1016/j.jedc.2024.105021","DOIUrl":"10.1016/j.jedc.2024.105021","url":null,"abstract":"<div><div>This paper examines portfolio choice in a dynamic stochastic general equilibrium model with trade and financial linkages across 43 countries. I conduct comparative statics analysis with this structural model to disentangle potential mechanisms of global financial allocation, including risk hedging, risk diversification, risk sharing, and financial friction. For asset home bias, the model predicts that risk hedging is less essential in a multi-country than in a two-country setting. For bilateral asset positions, the model implies that variations in financial friction and asset covariance are major determinants of observed cross-country portfolios. Meanwhile, bilateral financial linkages strongly covary with trade linkages across countries. Comparative statics suggests that this covariance is mainly driven by the high correlation of frictions across the two channels of globalization.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"170 ","pages":"Article 105021"},"PeriodicalIF":1.9,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143100988","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
Money, inflation tax, and trading behavior: Theory and laboratory experiments 货币、通货膨胀税与交易行为：理论与实验
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-01-01 DOI: 10.1016/j.jedc.2024.105031
Zakaria Babutsidze , Federico Bonetto , Nobuyuki Hanaki , Maurizio Iacopetta
{"title":"Money, inflation tax, and trading behavior: Theory and laboratory experiments","authors":"Zakaria Babutsidze ,&nbsp;Federico Bonetto ,&nbsp;Nobuyuki Hanaki ,&nbsp;Maurizio Iacopetta","doi":"10.1016/j.jedc.2024.105031","DOIUrl":"10.1016/j.jedc.2024.105031","url":null,"abstract":"<div><div>In a Kiyotaki-Wright model, we generate equilibria characterized by the partial or full acceptability of fiat money and by fundamental or speculative trading strategies. In a laboratory setting with real participants, we then test the model's predictions regarding the effects of an inflation tax and the quantity of money on production and welfare. The inflation tax is implemented through the confiscation of money holdings. Consistent with the model's prediction, the inflation tax reduces the frequency at which players trade a low-storage cost good for fiat money. However, contrary to the model's prediction, we did not observe any significant influence of the inflation tax on trading strategies, suggesting that the inflation tax causes only modest production distortion. We also find that the acceptance of money in the lab is not correlated with the proportion of people holding money. We discuss the welfare consequences of the inflation tax and relate them to the experimental findings based on New Monetarist models.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"170 ","pages":"Article 105031"},"PeriodicalIF":1.9,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143128524","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
A three-sector structural VAR model for Australia 澳大利亚三部门结构VAR模型
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-01-01 DOI: 10.1016/j.jedc.2024.105029
Renée Fry-Mckibbin , Matthew Greenwood-Nimmo , Richard Kima , Vladimir Volkov
{"title":"A three-sector structural VAR model for Australia","authors":"Renée Fry-Mckibbin ,&nbsp;Matthew Greenwood-Nimmo ,&nbsp;Richard Kima ,&nbsp;Vladimir Volkov","doi":"10.1016/j.jedc.2024.105029","DOIUrl":"10.1016/j.jedc.2024.105029","url":null,"abstract":"<div><div>We develop a three-sector structural VAR model of the Australian economy to analyze the macroeconomic effects of resource reallocation among the mining, manufacturing and non-tradable sectors in the context of the resource boom of the 2000s. Impulse response analysis reveals that both commodity demand and supply shocks drive the reallocation of capital and labor toward the mining sector, with the reallocation being larger and more enduring in the case of a demand shock. Using a novel measure of spillover intensity constructed from a multivariate historical decomposition, we identify four phases that characterize the Australian economy between 1988 and 2019: (i) capital deepening; (ii) the resource boom; (iii) the unwinding of the boom; and (iv) the post-boom phase. We show that the structural shocks generate patterns of sectoral reallocation that vary across these four phases. Overall, our results indicate evidence of structural change with little evidence of Dutch disease.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"170 ","pages":"Article 105029"},"PeriodicalIF":1.9,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143100989","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
Consumption dynamics and welfare under non-Gaussian earnings risk 非高斯收入风险下的消费动态和福利
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-12-01 DOI: 10.1016/j.jedc.2024.104945
Fatih Guvenen , Serdar Ozkan , Rocio Madera
{"title":"Consumption dynamics and welfare under non-Gaussian earnings risk","authors":"Fatih Guvenen ,&nbsp;Serdar Ozkan ,&nbsp;Rocio Madera","doi":"10.1016/j.jedc.2024.104945","DOIUrl":"10.1016/j.jedc.2024.104945","url":null,"abstract":"<div><div>Recent empirical studies document that the distribution of earnings changes displays substantial deviations from lognormality: in particular, earnings changes are negatively skewed with extremely high kurtosis (long and thick tails), and these non-Gaussian features vary substantially both over the life cycle and with the earnings level of individuals. Furthermore, earnings changes display nonlinear (asymmetric) mean reversion. In this paper, we embed a very rich “benchmark earnings process” that captures these non-Gaussian and nonlinear features into a lifecycle consumption-saving model and study its implications for consumption dynamics, consumption insurance, and welfare. We show four main results. First, the benchmark process essentially matches the empirical lifetime earnings inequality—a first-order proxy for consumption inequality—whereas the canonical Gaussian (persistent-plus-transitory) process understates it by a factor of five to ten. Second, the welfare cost of idiosyncratic risk implied by the benchmark process is between two-to-four times higher than the canonical Gaussian one. Third, the standard method in the literature for measuring the pass-through of income shocks to consumption—can significantly overstate the degree of consumption smoothing possible under non-Gaussian shocks. Fourth, the marginal propensity to consume out of transitory income (e.g., from a stimulus check) is higher under non-Gaussian earnings risk.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"169 ","pages":"Article 104945"},"PeriodicalIF":1.9,"publicationDate":"2024-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142263337","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 technological origins of the decline in labor market dynamism 劳动力市场活力下降的技术根源
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-12-01 DOI: 10.1016/j.jedc.2024.104962
Jan Eeckhout , Xi Weng
{"title":"The technological origins of the decline in labor market dynamism","authors":"Jan Eeckhout ,&nbsp;Xi Weng","doi":"10.1016/j.jedc.2024.104962","DOIUrl":"10.1016/j.jedc.2024.104962","url":null,"abstract":"<div><div>In the last decades, there has been a marked decline in the job flows to and from unemployment and between employment. We ask whether and how technological change can account for his secular decline in labor market dynamism. We propose a theory that focuses on the determinants of technology broadly defined: 1. the complementarity between worker skill and firm productivity; and 2. the volatility in productivity shocks; and 3. search frictions. We derive job flows in a sorting model with search frictions and endogenous search effort both on and off the job, as well as shocks that lead to mismatch. We quantify our model using the US data and find an increase in the complementarity between labor and technology, a decline in the frequency and volatility of productivity shocks, and a decline in the match efficiency as well as an increase in the search costs. The changing nature of these features of the technology contributes to the secular decline in labor market dynamism.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"169 ","pages":"Article 104962"},"PeriodicalIF":1.9,"publicationDate":"2024-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142269935","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
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