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The productivity puzzle and the decline of unions 生产力之谜与工会的衰落
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2023-12-29 DOI: 10.1016/j.jedc.2023.104806
Aruni Mitra
{"title":"The productivity puzzle and the decline of unions","authors":"Aruni Mitra","doi":"10.1016/j.jedc.2023.104806","DOIUrl":"10.1016/j.jedc.2023.104806","url":null,"abstract":"<div><p>This paper finds that rapid de-unionization can explain the sudden vanishing of the procyclicality of productivity in the U.S. during the 1980s, a phenomenon dubbed the ‘productivity puzzle’. Cross-sectional evidence from U.S. states and industries shows that a decline in union power led to a decrease in the cost of hiring and firing workers, which prompted firms to rely less on labor hoarding, making productivity less procyclical. In a model with endogenous worker effort, a decrease in employment adjustment cost by the amount implied by de-unionization explains a significant part of the observed decline in the procyclicality of productivity.</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/S0165188923002129/pdfft?md5=45e9ac647bc4fa0a469a31e72c61b79b&pid=1-s2.0-S0165188923002129-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139063642","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 Term Structure of Monetary Policy Uncertainty 货币政策不确定性的期限结构
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2023-12-23 DOI: 10.1016/j.jedc.2023.104803
Brent Bundick , Trenton Herriford , A. Lee Smith
{"title":"The Term Structure of Monetary Policy Uncertainty","authors":"Brent Bundick ,&nbsp;Trenton Herriford ,&nbsp;A. Lee Smith","doi":"10.1016/j.jedc.2023.104803","DOIUrl":"10.1016/j.jedc.2023.104803","url":null,"abstract":"<div><p><span>This paper studies the transmission of Federal Reserve communication to financial markets and the economy using new measures of the term structure of policy rate uncertainty. High-frequency movements in the term structure of interest rate uncertainty around FOMC announcements cannot be summarized by a single measure but, instead, are two dimensional. We characterize these two dimensions<span> as the Level and Slope factors of the term structure of interest rate uncertainty. These two monetary policy uncertainty factors help to explain changes in Treasury yields and forward real interest rates following FOMC announcements, even after accounting for changes in the expected path of policy rates. Finally, compared to high-frequency instruments derived from </span></span>interest rate futures<span>, our policy uncertainty factors provide stronger first-stage instruments and imply FOMC forward guidance has been more effective in stimulating economic activity in a standard proxy SVAR.</span></p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-12-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139029146","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 contagion test with unspecified heteroscedastic errors 具有未指定异方差误差的传染检验
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2023-12-21 DOI: 10.1016/j.jedc.2023.104804
Ernest Aboagye , Stanley Iat-Meng Ko , Chia Chun Lo , Cody Yu-Ling Hsiao , Liang Peng
{"title":"A contagion test with unspecified heteroscedastic errors","authors":"Ernest Aboagye ,&nbsp;Stanley Iat-Meng Ko ,&nbsp;Chia Chun Lo ,&nbsp;Cody Yu-Ling Hsiao ,&nbsp;Liang Peng","doi":"10.1016/j.jedc.2023.104804","DOIUrl":"10.1016/j.jedc.2023.104804","url":null,"abstract":"<div><p>The tests of contagion in <span>Fry-McKibbin et al. (2010)</span><span><span> filter returns by a vector autoregressive model, assume residuals are independent, fit a </span>parametric<span> distribution family to residuals, and test for the change of contagion measures, which ignore the effect of filtering the time series model<span> and the stylized fact of heteroscedasticity<span> in daily returns. This paper studies a contagion test based on correlation by allowing heteroscedastic errors with a deterministic jump from the pre-crisis to the crisis periods. Because the developed test does not infer heteroscedasticity, it is robust against heteroscedasticity but its asymptotic variance under the null hypothesis of no contagion becomes complicated, which relies on a block method for estimating the asymptotic variance. A simulation study confirms the good finite sample performance of the new contagion test. Finally, we apply the test to three datasets to test for contagion.</span></span></span></span></p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139028959","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
Can passive monetary policy decrease the debt burden? 被动的货币政策能否减轻债务负担？
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2023-12-18 DOI: 10.1016/j.jedc.2023.104802
Ruoyun Mao , Wenyi Shen , Shu-Chun S. Yang
{"title":"Can passive monetary policy decrease the debt burden?","authors":"Ruoyun Mao ,&nbsp;Wenyi Shen ,&nbsp;Shu-Chun S. Yang","doi":"10.1016/j.jedc.2023.104802","DOIUrl":"10.1016/j.jedc.2023.104802","url":null,"abstract":"<div><p>Large expansionary fiscal measures are often implemented with monetary accommodation during an economic crisis. When a government is highly indebted, and the timing of switching to the conventional regime <span><math><mi>M</mi></math></span> (passive fiscal/active monetary policies) is uncertain, a government spending increase in regime <span><math><mi>F</mi></math></span><span> (active fiscal/passive monetary policies) increases government debt. Such regime uncertainty dampens inflation and debt revaluation effects. Also, as regime uncertainty generates a smaller real interest rate decline, debt servicing costs fall less, and tax revenues increase less, than in the fixed regime </span><span><math><mi>F</mi></math></span>. These factors contribute to reversing the debt decline for a spending increase in the fixed regime <span><math><mi>F</mi></math></span><span>. The result holds under adverse supply shocks and potentially higher capital taxes, relevant factors in the post-COVID U.S. economy.</span></p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138818859","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 external financial spillovers of CBDCs CBDC 的外部金融溢出效应
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2023-12-14 DOI: 10.1016/j.jedc.2023.104801
Alessandro Moro, Valerio Nispi Landi
{"title":"The external financial spillovers of CBDCs","authors":"Alessandro Moro,&nbsp;Valerio Nispi Landi","doi":"10.1016/j.jedc.2023.104801","DOIUrl":"10.1016/j.jedc.2023.104801","url":null,"abstract":"<div><p>We set up a DSGE model<span><span><span> to study the macroeconomic consequences of a foreign central bank digital currency (CBDC) available to residents in a </span>small open economy. We find that a gradual and permanent increase in the domestic households' preferences toward the foreign CBDC leads to a structural reduction in economic activity, especially if the CBDC is designed to be similar to domestic deposits. Imposing capital flow management measures on outflows, relaxing macroprudential policy, or selling foreign reserves can smooth the transition. A </span>Taylor rule<span><span> that targets PPI </span>inflation<span> is more effective in limiting the disruptive effects than a CPI targeting or an exchange rate peg. A central bank's liquidity<span> facility available to commercial banks is able to avoid the long-run GDP loss, at the cost of a larger short-run consumption fall. We also show that an economy with a large stock of foreign CBDC is better shielded from exogenous increases in the interest rate on foreign debt, if the CBDC remuneration remains constant.</span></span></span></span></p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138692492","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
Non-linear dimension reduction in factor-augmented vector autoregressions 因子增强向量自回归中的非线性维度降低
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2023-12-10 DOI: 10.1016/j.jedc.2023.104800
Karin Klieber
{"title":"Non-linear dimension reduction in factor-augmented vector autoregressions","authors":"Karin Klieber","doi":"10.1016/j.jedc.2023.104800","DOIUrl":"10.1016/j.jedc.2023.104800","url":null,"abstract":"<div><p><span>This paper introduces non-linear dimension reduction in factor-augmented vector autoregressions<span> to analyze the effects of different economic shocks. I argue that controlling for non-linearities between a large-dimensional dataset and the latent factors is particularly useful during turbulent times of the business cycle. In simulations, I show that non-linear dimension reduction techniques yield good forecasting performance, especially when data is highly volatile. In an empirical application, I identify a </span></span>monetary policy as well as an uncertainty shock excluding and including observations of the COVID-19 pandemic. Those two applications suggest that the non-linear FAVAR approaches are capable of dealing with the large outliers caused by the COVID-19 pandemic and yield reliable results in both scenarios.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138569911","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
Dynamic industry uncertainty networks and the business cycle 动态行业不确定性网络与商业周期
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2023-11-24 DOI: 10.1016/j.jedc.2023.104793
Jozef Baruník , Mattia Bevilacqua , Robert Faff
{"title":"Dynamic industry uncertainty networks and the business cycle","authors":"Jozef Baruník ,&nbsp;Mattia Bevilacqua ,&nbsp;Robert Faff","doi":"10.1016/j.jedc.2023.104793","DOIUrl":"https://doi.org/10.1016/j.jedc.2023.104793","url":null,"abstract":"<div><p><span>This paper identifies smoothly varying industry uncertainty networks from option prices that contain valuable information about business cycles, especially in terms of forecasting. Such information is stronger when the network is formed on uncertainty hubs, firms identified as the main contributors to uncertainty shocks. The stronger </span>predictive ability of the hubs-based network is robust to a wide range of checks, the inclusion of a large set of controls, and is also confirmed out-of-sample.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-11-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138448701","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
Bonds, currencies and expectational errors 债券、货币和预期错误
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2023-11-20 DOI: 10.1016/j.jedc.2023.104790
Eleonora Granziera , Markus Sihvonen
{"title":"Bonds, currencies and expectational errors","authors":"Eleonora Granziera ,&nbsp;Markus Sihvonen","doi":"10.1016/j.jedc.2023.104790","DOIUrl":"https://doi.org/10.1016/j.jedc.2023.104790","url":null,"abstract":"<div><p><span>We propose a model in which sticky expectations concerning short-term interest rates generate </span><em>joint</em><span> predictability patterns in bond and currency markets. Our parsimonious specification can explain the downward sloping term structure of carry trade returns, difficult to replicate in a rational expectations framework. We offer empirical support for our approach and show that including a sticky short rate expectations channel into a standard affine term structure allows the model to better capture the drift patterns in the data.</span></p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138413403","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
Preventing runs under sequential revelation of liquidity needs 防止在流动性需求连续暴露的情况下出现挤兑
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2023-11-13 DOI: 10.1016/j.jedc.2023.104789
Lukas Voellmy
{"title":"Preventing runs under sequential revelation of liquidity needs","authors":"Lukas Voellmy","doi":"10.1016/j.jedc.2023.104789","DOIUrl":"https://doi.org/10.1016/j.jedc.2023.104789","url":null,"abstract":"<div><p>I examine whether a financial intermediary issuing demandable debt can eliminate run equilibria by properly adjusting or restricting payouts in case of heavy redemptions. I study a model where investors learn their own liquidity needs over time and may withdraw preemptively before knowing their future liquidity needs. The difficulty in preventing runs is that, on the one hand, imposing temporary restrictions on withdrawals in case of excess redemptions may be necessary to avoid costly asset liquidations, while on the other hand, it is precisely the prospect of such restrictions on withdrawals that may induce investors to withdraw preemptively. Implementation of the first-best allocation without a run equilibrium is possible if and only if either liquidation costs are not too high or investors are not too risk averse.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134657558","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 for continuous-time mean-variance portfolio selection in a regime-switching market 制度切换市场中连续时间均值方差投资组合选择的强化学习
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2023-11-10 DOI: 10.1016/j.jedc.2023.104787
Bo Wu, Lingfei Li
{"title":"Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market","authors":"Bo Wu,&nbsp;Lingfei Li","doi":"10.1016/j.jedc.2023.104787","DOIUrl":"10.1016/j.jedc.2023.104787","url":null,"abstract":"<div><p><span>We propose a reinforcement learning (RL) approach to solve the continuous-time mean-variance portfolio selection problem in a regime-switching market, where the market regime is unobservable. To encourage exploration for learning, we formulate an exploratory stochastic control problem with an entropy-regularized mean-variance objective. We obtain semi-analytical representations of the optimal value function and optimal policy, which involve unknown solutions to two linear parabolic </span>partial differential equations<span> (PDEs). We utilize these representations to parametrize the value function and policy for learning with the unknown solutions to the PDEs approximated based on polynomials. We develop an actor-critic RL algorithm to learn the optimal policy through interactions with the market environment. The algorithm carries out filtering to obtain the belief probability of the market regime and performs policy evaluation and policy gradient updates alternately. Empirical results demonstrate the advantages of our RL algorithm in relatively long-term investment problems over the classical control approach and an RL algorithm developed for the continuous-time mean-variance problem without considering regime switches.</span></p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135614079","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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