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The hockey stick Phillips curve and the effective lower bound 曲棍球菲利普斯曲线和有效下限
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-20 DOI: 10.1016/j.jedc.2024.105002
Gregor Boehl , Philipp Lieberknecht
{"title":"The hockey stick Phillips curve and the effective lower bound","authors":"Gregor Boehl ,&nbsp;Philipp Lieberknecht","doi":"10.1016/j.jedc.2024.105002","DOIUrl":"10.1016/j.jedc.2024.105002","url":null,"abstract":"<div><div>We show that the interplay between a binding effective lower bound (ELB) on nominal interest rates and the costs of external financing weakens the disinflationary effect of financial shocks. In normal times, the real costs of production factors dominate in firms' marginal costs and are therefore key for inflation dynamics. In contrast, financing costs normally play a subordinate role as higher credit spreads are balanced-out by lower nominal rates. At the ELB, however, higher spreads following financial shocks can offset the effect of lower production factor costs on firms' price setting. The relationship between inflation and output hence features a hockey stick shape: the Phillips curve is flat at the ELB, but conventionally upward-sloping during normal times. This mechanism also weakens the power of forward guidance at the ELB, since such policy reduces spreads and financing costs.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"170 ","pages":"Article 105002"},"PeriodicalIF":1.9,"publicationDate":"2024-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142702475","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
Optimal monetary policy mix at the zero lower bound 零下限时的最佳货币政策组合
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-20 DOI: 10.1016/j.jedc.2024.105001
Dario Bonciani , Joonseok Oh
{"title":"Optimal monetary policy mix at the zero lower bound","authors":"Dario Bonciani ,&nbsp;Joonseok Oh","doi":"10.1016/j.jedc.2024.105001","DOIUrl":"10.1016/j.jedc.2024.105001","url":null,"abstract":"<div><div>We study the optimal mix of forward guidance and quantitative easing at the ZLB. The welfare loss function depends on inflation, output, and consumption heterogeneity (which we label as <em>inequality</em>) between different households. When solely focusing on inflation and output, the central bank excessively expands its balance sheet, thereby increasing inequality. Forward guidance is more effective at stabilising inflation, and quantitative easing at stabilising output. The two tools are, therefore, complementary. Since neither instrument can fully neutralise adverse demand shocks, the optimal policy combines both, resulting in a shorter ZLB duration and milder balance-sheet expansion than if the central bank relied on one policy instrument alone.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"170 ","pages":"Article 105001"},"PeriodicalIF":1.9,"publicationDate":"2024-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142720798","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
Modeling inflation expectations in forward-looking interest rate and money growth rules 在前瞻性利率和货币增长规则中建模通胀预期
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-19 DOI: 10.1016/j.jedc.2024.104999
Zhengyang Chen , Victor J. Valcarcel
{"title":"Modeling inflation expectations in forward-looking interest rate and money growth rules","authors":"Zhengyang Chen ,&nbsp;Victor J. Valcarcel","doi":"10.1016/j.jedc.2024.104999","DOIUrl":"10.1016/j.jedc.2024.104999","url":null,"abstract":"<div><div>We propose a novel approach that directly embeds rational expectations (RE) into a low-dimensional structural vector autoregression (SVAR) without the need for any mapping to a dynamic stochastic general equilibrium (DSGE) model. Beginning from a fully specified “<em>consensus</em>” structural model, we establish an instrumental variable procedure internal to the SVAR to obtain RE-consistent structural responses to identified monetary policy shocks. Our <em>RE-SVAR</em> framework facilitates a comparison across two alternative monetary policy indicators that accommodate long horizons in the formation of inflation expectations in the policy rule. We construct clouds of responses of inflation and economic activity to monetary policy shocks. We find large regions of puzzling responses to innovations in the federal funds rate. This suggests that indicator often requires being augmented with more information in standard VAR settings. A money growth rule characterization—with Divisia M4 as a policy indicator—exhibits comparatively larger regions of sensible responses within a low-dimensional textbook model of the economy.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"170 ","pages":"Article 104999"},"PeriodicalIF":1.9,"publicationDate":"2024-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142744409","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
Social learning and expectational stability 社会学习与期望稳定性
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-14 DOI: 10.1016/j.jedc.2024.104990
George Evans , Bruce McGough
{"title":"Social learning and expectational stability","authors":"George Evans ,&nbsp;Bruce McGough","doi":"10.1016/j.jedc.2024.104990","DOIUrl":"10.1016/j.jedc.2024.104990","url":null,"abstract":"<div><div>Stability features of social learning (SL) dynamics are examined. We show SL can be formulated as a stochastic recursive algorithm, making it possible to analyze asymptotics using the familiar differential-equation approach. For a simple univariate model, this approach reduces to the E-stability principle, though in prominent instability cases divergence is <em>exceedingly</em> slow compared to adaptive learning (AL). We locate differing fitness criteria as the source of the slower evolution rates of SL compared to AL. Modified AL and SL learning dynamics models are developed and used to illustrate the different implications of policy change in a standard New Keynesian model. We anticipate that the central question going forward will be how best to combine the two approaches when modeling adaptation to structural change.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104990"},"PeriodicalIF":1.9,"publicationDate":"2024-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386653","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
Least squares learning? Evidence from the laboratory 最小二乘学习？来自实验室的证据
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-08 DOI: 10.1016/j.jedc.2024.104980
Te Bao , Yun Dai , John Duffy
{"title":"Least squares learning? Evidence from the laboratory","authors":"Te Bao ,&nbsp;Yun Dai ,&nbsp;John Duffy","doi":"10.1016/j.jedc.2024.104980","DOIUrl":"10.1016/j.jedc.2024.104980","url":null,"abstract":"<div><div>We report on an experiment testing the empirical relevance of least squares (LS) learning, a common way of modelling how individuals learn a rational expectations equilibrium (REE). Subjects are endowed with the correct perceived law of motion (PLM) for a price level variable they are seeking to forecast, but do not know the true parameterization of that PLM. Instead, they must choose and can adjust the parameters of this PLM over 50 periods. Consistent with the E-stability of the REE in the model studied, 97.8% of subjects achieve weak convergence to the REE in terms of their price level predictions. However, the number of participants that can be characterized as least squares learners via the adjustments they make to the parameterization of the PLM over time depends on properties of the data generating process of the dependent and independent variables. Participants learn the REE faster, and behave more like least squares learners when there is greater variance in the independent variable of the model. We consider several alternatives to least squares learning and find evidence that many subjects employ a simple satisficing approach.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104980"},"PeriodicalIF":1.9,"publicationDate":"2024-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386651","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 and rational expectations equilibrium in limit order markets 限价订单市场中的强化学习与理性预期均衡
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-08 DOI: 10.1016/j.jedc.2024.104991
Xuan Zhou , Shen Lin , Xue-Zhong He
{"title":"Reinforcement learning and rational expectations equilibrium in limit order markets","authors":"Xuan Zhou ,&nbsp;Shen Lin ,&nbsp;Xue-Zhong He","doi":"10.1016/j.jedc.2024.104991","DOIUrl":"10.1016/j.jedc.2024.104991","url":null,"abstract":"<div><div>This paper shows that simple payoff-based reinforcement learning can help to achieve rational expectations equilibrium in limit order markets. In equilibrium, speculators mainly supply liquidity, while liquidity consumption increases in the private values of no-speculators with intrinsic motives for trade. Driven by information acquisition of the non-speculators, liquidity consumption is hump-shaped in fundamental volatility for the speculators but U-shaped for the non-speculators. In contrast, liquidity supply decreases in fundamental volatility for the speculators but is hump-shaped for the non-speculators. Unlike the informed traders who trade on asset fundamentals, the uninformed traders trade more on order book and trading information.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104991"},"PeriodicalIF":1.9,"publicationDate":"2024-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386575","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
Social learning for the masses 面向群众的社会学习
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-07 DOI: 10.1016/j.jedc.2024.104983
James Bullard
{"title":"Social learning for the masses","authors":"James Bullard","doi":"10.1016/j.jedc.2024.104983","DOIUrl":"10.1016/j.jedc.2024.104983","url":null,"abstract":"<div><div>I consider a plausible role for social learning as implemented in the work of Jasmina Arifovic in a complex macroeconomic environment. The model is DSGE with considerable heterogeneity, enough to approach Gini coefficients for income, wealth, and consumption in the U.S. data. The economy has an ambient stochastic structure, and I consider transition dynamics following exceptionally large shocks like the global financial crisis or the global pandemic. These shocks are large enough to plausibly perturb the economy out of the rational expectations equilibrium associated with more ordinary shocks. How is equilibrium re-established? I argue that a social learning construct may be more appropriate in this environment, as opposed to the econometric learning constructs often used to analyze departures from rational expectations in the literature. I also argue that a “DNA” feature of social learning may have led to relatively fast convergence to rational expectations observed following these large shocks in the U.S. data.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104983"},"PeriodicalIF":1.9,"publicationDate":"2024-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386655","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
Leaning against the wind in the New Keynesian model with heterogeneous expectations 在异质预期的新凯恩斯主义模型中逆风而行
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-07 DOI: 10.1016/j.jedc.2024.104993
Mikhail Anufriev , Fabio Lamantia , Davide Radi , Tomas Tichy
{"title":"Leaning against the wind in the New Keynesian model with heterogeneous expectations","authors":"Mikhail Anufriev ,&nbsp;Fabio Lamantia ,&nbsp;Davide Radi ,&nbsp;Tomas Tichy","doi":"10.1016/j.jedc.2024.104993","DOIUrl":"10.1016/j.jedc.2024.104993","url":null,"abstract":"<div><div>In this paper, we explore the efficiency of the Leaning Against the Wind (LAW) policy within the New Keynesian framework with heterogeneous expectations. To do this, we add a financial sector to the model, linking it with the real sector via the financial accelerator channel. We find that the range of parameters in the Taylor rule that enable the stability of the targeted equilibrium is reduced with the financial accelerator. However, expanding the Taylor rule via the LAW policy fails to counteract this effect and may even exacerbate it if the policy reacts to any mispricing. If applied conditionally on high mispricing, the LAW policy leads to co-existing stable targeted and non-targeted equilibria. Our simulations suggest that while the LAW policy can reduce the amplitude of endogenous fluctuations, it is inefficient in dealing with exogenous shocks and results in larger average deviations from the target.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104993"},"PeriodicalIF":1.9,"publicationDate":"2024-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386652","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
Information-constrained coordination of economic behavior 经济行为的信息约束协调
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-07 DOI: 10.1016/j.jedc.2024.104985
Guy Aridor , Rava Azeredo da Silveira , Michael Woodford
{"title":"Information-constrained coordination of economic behavior","authors":"Guy Aridor ,&nbsp;Rava Azeredo da Silveira ,&nbsp;Michael Woodford","doi":"10.1016/j.jedc.2024.104985","DOIUrl":"10.1016/j.jedc.2024.104985","url":null,"abstract":"<div><div>We analyze a coordination game with information-constrained players. The players' actions are based on a noisy compressed representation of the game's payoffs in a particular case, where the compressed representation is a latent state learned by a variational autoencoder (VAE). Our generalized VAE is optimized to trade off the average payoff obtained over a distribution of possible games against a measure of the congruence between the agent's internal model and the statistics of its environment. We apply our model to the coordination game in the experiment of <span><span>Frydman and Nunnari (2023)</span></span>, and show that it offers an explanation for two salient features of the experimental evidence: both the relatively continuous variation in the players' action probabilities with changes in the game payoffs, and the dependence of the degree of stochasticity of players' choices on the range of game payoffs encountered on different trials. Our approach also provides an account of the way in which play should gradually adjust to a change in the distribution of game payoffs that are encountered, offering an explanation for the history-dependent play documented by <span><span>Arifovic et al. (2013)</span></span>.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104985"},"PeriodicalIF":1.9,"publicationDate":"2024-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386571","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
Cooperation in temporary partnerships 临时伙伴关系中的合作
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-07 DOI: 10.1016/j.jedc.2024.104987
Gabriele Camera , Alessandro Gioffré
{"title":"Cooperation in temporary partnerships","authors":"Gabriele Camera ,&nbsp;Alessandro Gioffré","doi":"10.1016/j.jedc.2024.104987","DOIUrl":"10.1016/j.jedc.2024.104987","url":null,"abstract":"<div><div>The literature on cooperation in infinitely repeated Prisoner's Dilemmas covers the extreme opposites of the matching spectrum: <em>partners</em>, a player's opponent never changes, and <em>strangers</em>, a player's opponent randomly changes in every period. Here, we extend the analysis to settings where the opponent changes, but not in every period. In these temporary partnerships, players can deter some deviations by directly sanctioning their partner. Hence, relaxing the extreme assumption of one-period matchings can support some cooperation also off equilibrium because a class of strategies emerges that are less extreme than the typical “grim” strategy. We establish conditions supporting full cooperation as a subgame perfect equilibrium under a social norm that complements direct sanctions with a cyclical community sanction. Though this strategy less effectively incentivizes cooperation, it more effectively incentivizes punishment after a deviation, hence, can be preferable to the grim strategy under certain conditions.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104987"},"PeriodicalIF":1.9,"publicationDate":"2024-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386572","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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