Journal of Economic Dynamics & Control最新文献

{"title":"Identification of vector autoregressive models with nonlinear contemporaneous structure","authors":"Francesco Cordoni ,&nbsp;Nicolas Dorémus ,&nbsp;Alessio Moneta","doi":"10.1016/j.jedc.2024.104852","DOIUrl":"10.1016/j.jedc.2024.104852","url":null,"abstract":"<div><p>We propose a statistical identification procedure for recursive structural vector autoregressive (VAR) models that present a nonlinear dependence (at least) at the contemporaneous level. By applying and adapting results from the literature on causal discovery with continuous additive noise models, we show that, under certain conditions, a large class of structural VAR models is identifiable. We spell out these specific conditions and propose a scheme for the estimation of structural impulse response functions in a nonlinear setting. We assess the performance of this scheme in a simulation experiment. Finally, we apply it in a study on the effects of the macroeconomic shocks that propagate through the economy, allowing for asymmetry between responses from positive and negative impulses.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0165188924000447/pdfft?md5=352360c91d702a30638afdafaa7183fd&pid=1-s2.0-S0165188924000447-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140202228","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}

{"title":"International transmission of quantitative easing policies: Evidence from Canada","authors":"Serdar Kabaca,&nbsp;Kerem Tuzcuoglu","doi":"10.1016/j.jedc.2024.104849","DOIUrl":"10.1016/j.jedc.2024.104849","url":null,"abstract":"<div><p>What are the cross-border spillovers from major economies' quantitative easing policies to their trading partners? We provide evidence by concentrating on spillovers from the US to Canada during the ZLB period when QE policies were actively used. We identify QE shocks in the US and estimate their impact on a large number of Canadian macroeconomic and financial variables. Then we analyze transmission channels of foreign QE shocks to the domestic economy. Our results suggest that US QE shocks are expansionary for Canada despite a currency appreciation. This is because they spill over to domestic borrowing costs, lowering long-term rates as well as financial premiums, and increasing asset prices. We find evidence for both portfolio balance and risk channels.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140155984","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}

{"title":"The simple macroeconometrics of the quantity theory and the welfare cost of inflation","authors":"Kenneth G. Stewart","doi":"10.1016/j.jedc.2024.104842","DOIUrl":"10.1016/j.jedc.2024.104842","url":null,"abstract":"<div><p>The quantity theory of money hypothesizes that the price level is determined through the equilibration of money supply and demand. Predicated on this causal structure, a single-equation error correction model decomposes from a larger vector autoregressive system so as to make available bounds tests for a levels relationship that are robust to the univariate integration properties of the variables. This model is estimated using three monetary aggregates and two money demand specifications, for U.S. and U.K. annual data over the past century and quarterly post-WWII data. The classic homogeneity propositions of the quantity theory are testable, and are found to be most compatible with U.S. annual M2 using log-log money demand with structural change permitted. Nevertheless, the resulting welfare costs are similar to those yielded by the U.K. annual data, being less than one percent of GDP at interest rates experienced during the past century.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0165188924000344/pdfft?md5=596ba81e8cafe6fd6a460fe69ea3ed0d&pid=1-s2.0-S0165188924000344-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140056834","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}

{"title":"Uncertainty over uncertainty in environmental policy adoption: Bayesian learning of unpredictable socioeconomic costs","authors":"Matteo Basei ,&nbsp;Giorgio Ferrari ,&nbsp;Neofytos Rodosthenous","doi":"10.1016/j.jedc.2024.104841","DOIUrl":"https://doi.org/10.1016/j.jedc.2024.104841","url":null,"abstract":"<div><p>The socioeconomic impact of pollution naturally comes with uncertainty due to, e.g., current new technological developments in emissions' abatement or demographic changes. On top of that, the trend of the future costs of the environmental damage is unknown: Will global warming dominate or technological advancements prevail? The truth is that we do not know which scenario will be realised and the scientific debate is still open. This paper captures those two layers of uncertainty by developing a real-options-like model in which a decision maker aims at adopting a once-and-for-all costly reduction in the current emissions rate, when the stochastic dynamics of the socioeconomic costs of pollution are subject to Brownian shocks and the drift is an unobservable random variable. By keeping track of the actual evolution of the costs, the decision maker is able to learn the unknown drift and to form a posterior dynamic belief of its true value. The resulting decision maker's timing problem boils down to a truly two-dimensional optimal stopping problem which we address via probabilistic free-boundary methods and a state-space transformation. We completely characterise the solution by showing that the optimal timing for implementing the emissions reduction policy is the first time that the learning process has become “decisive” enough; that is, when it exceeds a time-dependent percentage. This is given in terms of an endogenously determined threshold function, which solves uniquely a nonlinear integral equation. We numerically illustrate our results, discuss the implications of the optimal policy and also perform comparative statics to understand the role of the relevant model's parameters in the optimal policy.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0165188924000332/pdfft?md5=66ca4b77985b2e8179ee8c5fa291bb9a&pid=1-s2.0-S0165188924000332-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140030530","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}

{"title":"Growing through spinoffs. Corporate governance, entry dynamics, and innovation","authors":"Maurizio Iacopetta ,&nbsp;Raoul Minetti ,&nbsp;Pierluigi Murro","doi":"10.1016/j.jedc.2024.104838","DOIUrl":"10.1016/j.jedc.2024.104838","url":null,"abstract":"<div><p>New firms are often based on ideas developed within incumbent firms. We study spinoff activities in a growth model with entry and product quality innovation. Spinoffs increase aggregate productivity through product variety expansion and, if created voluntarily by incumbents, boost their return to equity. However, they erode incumbents' market share and, when stemming from conflicts between incumbents and employees, raise incumbents' internal cost of capital. The analysis reveals that a priori investment protection has an ambiguous impact on spinoff activities, depending on whether it focuses on incumbents' product quality investments or the creation of voluntary spinoffs. The calibrated model indicates that a broad investment protection reform reduces the spinoff rate but boosts incumbents' product improvement, raising income growth and welfare. The trade-offs are consistent with firm-level evidence from Italy.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-02-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139926917","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}

{"title":"Heteroskedastic proxy vector autoregressions: An identification-robust test for time-varying impulse responses in the presence of multiple proxies","authors":"Martin Bruns ,&nbsp;Helmut Lütkepohl","doi":"10.1016/j.jedc.2024.104837","DOIUrl":"10.1016/j.jedc.2024.104837","url":null,"abstract":"<div><p>We propose a test for time-varying impulse responses in heteroskedastic structural vector autoregressions that can be used when the shocks are identified by external proxy variables as a group but not necessarily individually. The test is robust to the identification scheme for identifying the shocks individually and can be used even if the shocks are not identified individually. The asymptotic analysis is supported by small sample simulations which show good properties of the test. An investigation of the impact of productivity shocks in a small macroeconomic model for the U.S. illustrates the importance of the issue for empirical work.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0165188924000290/pdfft?md5=e60174d461a98bf44ebe05c1f1c45d75&pid=1-s2.0-S0165188924000290-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139873670","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}

{"title":"Financial decisions involving credit default swaps over the business cycle","authors":"Liu Gan ,&nbsp;Zhaojun Yang","doi":"10.1016/j.jedc.2024.104830","DOIUrl":"https://doi.org/10.1016/j.jedc.2024.104830","url":null,"abstract":"<div><p>We propose a modeling approach to disentangle how idiosyncratic and aggregate shocks shape the impact of credit default swaps (CDSs) on CDS firms' financial decisions. Our relatively parsimonious model highlights a novel mechanism contributing to CDS procyclicality. We show that CDSs postpone debt renegotiation and risk-taking investment. CDS firms have higher leverage ratios than non-CDS firms. CDS firms' leverage and credit spreads are counter-cyclical. CDS firms' debt overhang is less significant than non-CDS firms. CDSs can increase or decrease CDS firms' value, depending on macroeconomic conditions, idiosyncratic risk, and borrowers' bargaining power. Empirical studies verify some model predictions.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139738430","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}

{"title":"Climate change and the US wheat commodity market","authors":"Vincenzo De Lipsis ,&nbsp;Paolo Agnolucci","doi":"10.1016/j.jedc.2024.104823","DOIUrl":"10.1016/j.jedc.2024.104823","url":null,"abstract":"<div><p>We study the impact on the workings of the wheat commodity market of increasing weather variability, one of the direct consequences of climate change. After finding strong evidence of an increase in the variance of weather and harvest for wheat in the US, we develop a structural time series model of the commodity market to investigate the sources and consequences of this increased variability. Exploiting this model, we devise a novel empirical procedure to analyze the impact on price and the potential adjustments of the speculative demand for inventories, as predicted by the rational storage theory. We find that speculation in the physical market for wheat at annual frequency adapted to the greater uncertainty about harvest stabilizing the market price.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0165188924000150/pdfft?md5=6c956f09a980bc4571fe2e28e32308d8&pid=1-s2.0-S0165188924000150-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139873336","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}

{"title":"Black-box Bayesian inference for agent-based models","authors":"Joel Dyer ,&nbsp;Patrick Cannon,&nbsp;J. Doyne Farmer ,&nbsp;Sebastian M. Schmon","doi":"10.1016/j.jedc.2024.104827","DOIUrl":"https://doi.org/10.1016/j.jedc.2024.104827","url":null,"abstract":"<div><p>Simulation models, in particular agent-based models, are gaining popularity in economics and the social sciences. The considerable flexibility they offer, as well as their capacity to reproduce a variety of empirically observed behaviours of complex systems, give them broad appeal, and the increasing availability of cheap computing power has made their use feasible. Yet a widespread adoption in real-world modelling and decision-making scenarios has been hindered by the difficulty of performing parameter estimation for such models. In general, simulation models lack a tractable likelihood function, which precludes a straightforward application of standard statistical inference techniques. A number of recent works have sought to address this problem through the application of <em>likelihood-free</em> inference techniques, in which parameter estimates are determined by performing some form of comparison between the observed data and simulation output. However, these approaches are (a) founded on restrictive assumptions, and/or (b) typically require many hundreds of thousands of simulations. These qualities make them unsuitable for large-scale simulations in economics and the social sciences, and can cast doubt on the validity of these inference methods in such scenarios. In this paper, we investigate the efficacy of two classes of simulation-efficient black-box approximate Bayesian inference methods that have recently drawn significant attention within the probabilistic machine learning community: neural posterior estimation and neural density ratio estimation. We present a number of benchmarking experiments in which we demonstrate that neural network-based black-box methods provide state of the art parameter inference for economic simulation models, and crucially are compatible with generic multivariate or even non-Euclidean time-series data. In addition, we suggest appropriate assessment criteria for use in future benchmarking of approximate Bayesian inference procedures for simulation models in economics and the social sciences.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0165188924000198/pdfft?md5=410a15d73a4d7fa8134a3a006775277a&pid=1-s2.0-S0165188924000198-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139732982","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}

{"title":"On the role of automation in an epidemic","authors":"Shaofeng Xu,&nbsp;Tao Liu,&nbsp;Fengliang Liu","doi":"10.1016/j.jedc.2024.104826","DOIUrl":"https://doi.org/10.1016/j.jedc.2024.104826","url":null,"abstract":"<div><p>This paper examines aggregate and distributional implications of automation in an epidemic. Using industry-level and firm-level data from the Chinese manufacturing sector, we document that the COVID-19 pandemic has led to a significant surge in the installation of industrial robots, and during the health crisis firms with more aggressive robot adoption experienced less severe revenue losses and a more pronounced increase in the wage gap between high-skilled and low-skilled workers. We then develop a tractable SIS-based macroeconomic model<span> to explain these observations. The model economy has two steady states, and an outbreak can trigger a regime-switching transition from a disease-free steady state to an epidemic steady state. Accelerated robot adoption in the transition, stemming from labor shortfall and wage inflation, alleviates the loss in output but affects low-skilled labor disproportionately. These results are robust in an extended setting, where workers have an option to work remotely.</span></p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139674628","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}