Journal of Economic Dynamics & Control最新文献_第8页

Heterogeneous asset valuation in OTC markets and optimal inflation 场外交易市场的异质资产估值与最优通胀率

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2024-02-01 DOI: 10.1016/j.jedc.2024.104824

Athanasios Geromichalos , Kuk Mo Jung

引用次数: 0

Optimal fiscal and monetary policy with collateral constraints 有抵押品约束的最优财政和货币政策

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2024-01-30 DOI: 10.1016/j.jedc.2024.104825

Qingqing Cao

引用次数: 0

Interbank Decisions and Margins of Stability: an Agent-Based Stock-Flow Consistent Approach 银行间决策与稳定边际：基于代理的存量流量一致性方法

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2024-01-29 DOI: 10.1016/j.jedc.2024.104822

Jessica Reale

{"title":"Interbank Decisions and Margins of Stability: an Agent-Based Stock-Flow Consistent Approach","authors":"Jessica Reale","doi":"10.1016/j.jedc.2024.104822","DOIUrl":"10.1016/j.jedc.2024.104822","url":null,"abstract":"<div><p>This study investigates the functioning of modern payment systems through the lens of banks' maturity mismatch practices, and it examines the effects of banks' refusal to roll over short-term interbank liabilities on financial stability. Within an agent-based stock-flow consistent framework, banks can engage in two segments of the interbank market that differ in maturity, overnight and term. We compare two interbank matching scenarios to assess how bank-specific maturity targets, dependent on the dictates of the Net Stable Funding Ratio, impact the dynamics of the interbank market and the effectiveness of conventional monetary policies. The findings reveal that maturity misalignment between deficit and surplus banks compromises the interbank market's efficiency and increases reliance on the central bank's standing facilities. Monetary policy interest-rate steering practices also become less effective. The study also uncovers a dual stability-based configuration in the banking sector, resembling the segmented European interbank structure. This paper suggests that heterogeneous maturity mismatches between surplus and deficit banks may result in asymmetric funding frictions that might precede credit- and sovereign-risk explanations of interbank tensions. Also, a combined examination of macroprudential tools and rollover-based interbank dynamics can enhance our understanding of how regulatory changes impact the stability of heterogeneous banking sectors.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0165188924000149/pdfft?md5=fae46df3759136ee92d05545a75d2451&pid=1-s2.0-S0165188924000149-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139588940","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

Dynamic CVaR portfolio construction with attention-powered generative factor learning 利用注意力驱动的生成因子学习构建动态 CVaR 投资组合

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2024-01-29 DOI: 10.1016/j.jedc.2024.104821

Chuting Sun , Qi Wu , Xing Yan

引用次数: 0

Fiscal policy with an informal sector 非正规部门的财政政策

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2024-01-22 DOI: 10.1016/j.jedc.2024.104820

Harris Dellas , Dimitris Malliaropulos , Dimitris Papageorgiou , Evangelia Vourvachaki

引用次数: 0

Counterparty choice, maturity shifts and market freezes: Lessons from the European interbank market 交易对手选择、期限转移和市场冻结：欧洲银行间市场的经验教训

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2024-01-20 DOI: 10.1016/j.jedc.2024.104819

Susanna Saroyan

{"title":"Counterparty choice, maturity shifts and market freezes: Lessons from the European interbank market","authors":"Susanna Saroyan","doi":"10.1016/j.jedc.2024.104819","DOIUrl":"10.1016/j.jedc.2024.104819","url":null,"abstract":"<div><p>We explore the impact of relationship lending on the interbank debt maturity structure of banks using data from the e-MID market covering both pre- and post-Lehman periods. We study the term structure and maturity shortening of interbank lending as an indicator of risk in times of stress. We identify bank-level and pair-level variables which are shown to contain information about the behaviour of lending relations during times of stress. Using a two-part fractional response model we show that durable liquidity relationships increase the probability of contracting term loans, but do not prevent maturity shortening during periods of acute stress. Finally, we find that lenders with concentrated short-term interbank liability structure tend to reduce their own long term lending, which confirms the rollover risk viewpoint of term interbank market freeze. Our findings are relevant for the modelling of interbank networks under stress and the design of forward looking stress tests for the banking system.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0165188924000113/pdfft?md5=11eeefc5283764e44eba2c1b554275a0&pid=1-s2.0-S0165188924000113-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139516417","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

The redistributive effects of size-dependent childcare policies 取决于规模的儿童保育政策的再分配效应

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2024-01-15 DOI: 10.1016/j.jedc.2024.104818

Diego Escobar , Jeanne Lafortune , Loris Rubini , José Tessada

{"title":"The redistributive effects of size-dependent childcare policies","authors":"Diego Escobar , Jeanne Lafortune , Loris Rubini , José Tessada","doi":"10.1016/j.jedc.2024.104818","DOIUrl":"10.1016/j.jedc.2024.104818","url":null,"abstract":"<div><p>Governments often adopt policies to reduce the cost of childcare for working families, but those can distort the allocation of resources. We develop and calibrate a general equilibrium model with firm and household heterogeneity and study the case of Chile, where firms with more than 19 female employees must provide childcare. We find that removing this policy would increase welfare on average by 2.3% of consumption equivalent units over their lifetime. However, the removal would not translate into increases in GDP, in part because of a reduced labor supply. Instead, the main effects of the policy are redistributive, shifting resources away from females towards males. The policy reduces welfare for most females, and these losses are decreasing in income. In particular, low-education single females, who do not rely on a second wage, would gain up to 20% in consumption equivalent units by removing the policy. We propose that alternative childcare financing options would be preferred. Specifically, financing childcare through labor taxes would increase aggregate welfare by over 13%, with the largest gains accruing to single, low-education mothers.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139476856","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

Asymmetric information in frictional markets for liquidity: Collateralized credit vs asset sale 流动性摩擦市场中的信息不对称：抵押信贷与资产出售

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2024-01-03 DOI: 10.1016/j.jedc.2023.104808

Florian Madison

引用次数: 0

The transitional impact of state pension reform 国家养老金改革的过渡影响

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2024-01-03 DOI: 10.1016/j.jedc.2023.104807

Jordan Pandolfo , Kurt Winkelmann

引用次数: 0

Why does the schooling gap close while the wage gap persists across country income comparisons? 为什么在各国收入比较中，就学差距缩小，而工资差距却持续存在？

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2023-12-29 DOI: 10.1016/j.jedc.2023.104805

Pantelis Karapanagiotis , Paul Reimers

{"title":"Why does the schooling gap close while the wage gap persists across country income comparisons?","authors":"Pantelis Karapanagiotis , Paul Reimers","doi":"10.1016/j.jedc.2023.104805","DOIUrl":"10.1016/j.jedc.2023.104805","url":null,"abstract":"<div><p>The schooling gap diminishes because the services sector becomes more pronounced for high-income countries, and the paid hours gap closes. Although gender wage inequality persists across country income groups, differences in schooling years between females and males diminish. We assemble a novel dataset, calibrate a general equilibrium, multi-sector, -gender, and -production technology model, and show that gender-specific sectoral comparative advantages explain the paid hours and schooling gap decline from low- to high-income economies even when the wage gap persists. Additionally, our counterfactual analyses indicate that consumption subsistence and production share heterogeneity across both income groups and genders are essential to explain the co-decline of the schooling and paid hours gaps. Our results highlight effective mechanisms for policies aiming to reduce gender inequality in schooling and suggest that the schooling gap decline and the de-invisibilization of female paid work observed in high-income countries are linked by structural sector movements instead of wage inequality reductions.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0165188923002117/pdfft?md5=766a593cdfd545b0c2b254c0e02d3908&pid=1-s2.0-S0165188923002117-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139063715","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