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Economic Modelling最新文献

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Stock prices and monetary policy: Analysis of a Bayesian DSGE model
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-03-28 DOI: 10.1016/j.econmod.2025.107075
Satoshi Hoshino , Daisuke Ida
{"title":"Stock prices and monetary policy: Analysis of a Bayesian DSGE model","authors":"Satoshi Hoshino ,&nbsp;Daisuke Ida","doi":"10.1016/j.econmod.2025.107075","DOIUrl":"10.1016/j.econmod.2025.107075","url":null,"abstract":"<div><div>This study evaluates the reaction of stock prices to monetary policy in Japan during the 1980s. We employ Bayesian estimation of the dynamic stochastic general equilibrium model, revealing the presence of the wealth channel from increased stock prices in Japan. We argue that the Bank of Japan (BOJ) may have implemented its monetary policy by targeting stock price stability, inflation and the output gap. Our results indicate that, while the BOJ may have reacted to stock prices, a monetary contraction could not prevent deviations from their fundamental values.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"148 ","pages":"Article 107075"},"PeriodicalIF":4.2,"publicationDate":"2025-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143737319","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Adaptive local VAR for dynamic economic policy uncertainty spillover
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-03-28 DOI: 10.1016/j.econmod.2025.107079
Niels Gillmann , Ostap Okhrin
{"title":"Adaptive local VAR for dynamic economic policy uncertainty spillover","authors":"Niels Gillmann ,&nbsp;Ostap Okhrin","doi":"10.1016/j.econmod.2025.107079","DOIUrl":"10.1016/j.econmod.2025.107079","url":null,"abstract":"<div><div>Economic uncertainty has far-reaching global effects, especially during major crises. This paper introduces an adaptive local vector autoregressive (VAR) model to better understand how uncertainty spreads across countries. The proposed model identifies periods when economic spillovers remain stable, allowing for more precise estimation of their dynamics. Unlike traditional approaches that rely on fixed rolling windows or use all past data, our method adjusts to current conditions, reducing bias and improving accuracy. Using monthly data on Economic Policy Uncertainty (EPU), we show that this approach captures dynamic spillovers more effectively, particularly during unprecedented events like the COVID-19 pandemic and the Global Financial Crisis (GFC). These findings highlight the need for flexible tools in policy-making to address rapidly changing global risks. These findings underscore the importance of flexible tools for analyzing spillovers and allow for further exploration of adaptive methods in economic uncertainty analysis.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"148 ","pages":"Article 107079"},"PeriodicalIF":4.2,"publicationDate":"2025-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143738398","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Risk-incentive trade-off in moral hazard with risk management: Theoretical analysis and empirical verification
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-03-27 DOI: 10.1016/j.econmod.2025.107083
Zheng Dou , Chong Lai
{"title":"Risk-incentive trade-off in moral hazard with risk management: Theoretical analysis and empirical verification","authors":"Zheng Dou ,&nbsp;Chong Lai","doi":"10.1016/j.econmod.2025.107083","DOIUrl":"10.1016/j.econmod.2025.107083","url":null,"abstract":"<div><div>This study incorporates risk management into a continuous-time principal–agent model based on moral hazard, analyzing how risk and incentives interact when preferences are risk-sensitive. We focus on how principal adjust compensation, comprising performance pay, risk penalties, and basic salaries, to incentivize agents under hidden information. Our findings confirm the classic negative trade-off between risk and incentives, alongside a novel positive relationship between risk and risk–penalty sensitivity. In high-risk environments, the principal frequently seeks out more skilled agents and offer them greater incentives, thus disrupting the relationship between risk and compensation sensitivities. Our empirical analysis underscores the significance of adaptive compensation strategies in improving agent behavior in the face of escalating risks, supporting these theoretical predictions. These insights underline the potential for refining incentive structures to better align with varying levels of firm risk.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"148 ","pages":"Article 107083"},"PeriodicalIF":4.2,"publicationDate":"2025-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143760999","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Global financial risk and uncovered interest parity premia in Central and Eastern Europe
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-03-26 DOI: 10.1016/j.econmod.2025.107078
Jakub Janus
{"title":"Global financial risk and uncovered interest parity premia in Central and Eastern Europe","authors":"Jakub Janus","doi":"10.1016/j.econmod.2025.107078","DOIUrl":"10.1016/j.econmod.2025.107078","url":null,"abstract":"<div><div>This paper investigates the impact of global financial risk on uncovered interest parity (UIP) premia in four Central and Eastern European (CEE) economies. Building on recent advances in measuring global financial risk, the study employs local projections that incorporate external factors and local macroeconomic conditions. The results show that global risk-on/risk-off shocks have positive, economically significant, but temporary effects on UIP premia, typically following peak-and-trough patterns. The transmission of global risk to UIP premia is primarily driven by adjustments in exchange rates rather than shifts in interest rate differentials, with stronger responses observed for excess currency returns against the US dollar than the euro. Both the quantity of global risk (economic uncertainty) and its price (risk aversion) influence UIP premia, with the latter inducing more volatile responses. These findings underscore the role of financial market imperfections in shaping currency dynamics and their relevance for policies enhancing resilience to external shocks.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"148 ","pages":"Article 107078"},"PeriodicalIF":4.2,"publicationDate":"2025-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143725548","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Covered interest parity: A forecasting approach to estimate the neutral band
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-03-26 DOI: 10.1016/j.econmod.2025.107076
Juan R. Hernández
{"title":"Covered interest parity: A forecasting approach to estimate the neutral band","authors":"Juan R. Hernández","doi":"10.1016/j.econmod.2025.107076","DOIUrl":"10.1016/j.econmod.2025.107076","url":null,"abstract":"<div><div>This paper introduces a new approach to estimate the neutral band, where deviations from covered interest parity (CIP) are not considered profitable arbitrage opportunities. The approach fills a gap in the literature on international finance and is theoretically grounded. Using daily Pound Sterling-US Dollar data from 2000 to 2021, I illustrate that estimates based on the forecast distribution of CIP deviations with a time-varying variance component are superior to the mean-based estimates currently available. The results reveal that the estimated neutral band adapts to market dynamics, widening from 3 to 191 basis points as financial stress and volatility increase. The forecasting approach is further validated on G10 and emerging market currency pairs. Market participants can use these findings to set minimum profit targets in CIP trading, while policymakers can assess the liquidity of the foreign exchange market more effectively.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"148 ","pages":"Article 107076"},"PeriodicalIF":4.2,"publicationDate":"2025-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143725549","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Climate shocks, economic activity and cross-country spillovers: Evidence from a new global model
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-03-25 DOI: 10.1016/j.econmod.2025.107082
Maryam Ahmadi , Chiara Casoli , Matteo Manera , Daniele Valenti
{"title":"Climate shocks, economic activity and cross-country spillovers: Evidence from a new global model","authors":"Maryam Ahmadi ,&nbsp;Chiara Casoli ,&nbsp;Matteo Manera ,&nbsp;Daniele Valenti","doi":"10.1016/j.econmod.2025.107082","DOIUrl":"10.1016/j.econmod.2025.107082","url":null,"abstract":"<div><div>This study investigates the impact of climate shocks on economic activity, addressing the gap in the literature of climate change economics. Using data covering a time span of 59 years, from 1960 to 2019, we employ a new global model to examine the effects of temperature and precipitation shocks on real output across 33 countries, accounting for more than 90% of the world’s gross domestic product. Our analysis reveals that hotter and less-developed countries are more exposed to temperature shocks. Moreover, only some colder and more developed countries show a contraction of output in the medium-long run. Our results highlight trade interconnections as the main channel of propagation of climate shocks into the economic system. This study offers new insights into the transmission mechanism of climate shocks and suggests the adoption of climate policies at both global and local levels.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"148 ","pages":"Article 107082"},"PeriodicalIF":4.2,"publicationDate":"2025-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143705885","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Sustainable and equitable pension reform for emerging economies: An application to Indonesia
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-03-24 DOI: 10.1016/j.econmod.2025.107080
George Kudrna , John Piggott , Phitawat Poonpolkul
{"title":"Sustainable and equitable pension reform for emerging economies: An application to Indonesia","authors":"George Kudrna ,&nbsp;John Piggott ,&nbsp;Phitawat Poonpolkul","doi":"10.1016/j.econmod.2025.107080","DOIUrl":"10.1016/j.econmod.2025.107080","url":null,"abstract":"<div><div>This study develops a general equilibrium overlapping generations model with heterogeneous households to examine pension reforms in an emerging economy with large informal employment, using Indonesia as our exemplar economy. We calibrate the model with detailed household-level data from the Indonesian Family Life Survey, along with macroeconomic and fiscal datasets, to capture the nation’s labour market structure, characterised by high informality. The study assesses the impacts of three key reforms, namely, raising formal workers’ pension access age, introducing a flat-rate social pension for informal labour and an overall reform combining the two. Although a social pension alone (set at 6.5% of per capita GDP) improves informal households’ welfare, it imposes a fiscal burden that reduces formal sector welfare. However, extending formal workforce participation alleviates fiscal pressure. This combined pension reform improves welfare and equity across both worker groups while remaining fiscally feasible.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"148 ","pages":"Article 107080"},"PeriodicalIF":4.2,"publicationDate":"2025-03-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143715695","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Exploiting mixed-frequency characteristics in parametric Mean-Expected Shortfall portfolio selection
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-03-24 DOI: 10.1016/j.econmod.2025.107072
Shuting Liu , Sicheng Zhang , Yun Chen
{"title":"Exploiting mixed-frequency characteristics in parametric Mean-Expected Shortfall portfolio selection","authors":"Shuting Liu ,&nbsp;Sicheng Zhang ,&nbsp;Yun Chen","doi":"10.1016/j.econmod.2025.107072","DOIUrl":"10.1016/j.econmod.2025.107072","url":null,"abstract":"<div><div>In this paper, we investigate the role of mixed-frequency characteristics in portfolio selection. We introduce a novel parametric Mean-Expected Shortfall model which establishes direct linkages between portfolio weights and mixed-frequency characteristics. The model solution is converted into a penalized MIDAS expectile regression problem, which not only reduces computational costs, but also identifies the crucial characteristics. An empirical analysis of the CSI 300 index reveals that incorporating mixed-frequency characteristics significantly enhances portfolio performance. The proposed method consistently outperforms other competing models by delivering substantially lower risk and markedly higher risk-adjusted returns. Further coefficient analysis highlights crucial characteristics exerting significant impacts on portfolio weights. Specifically, accumulation distribution and market value demonstrate positive influences, while moving averages, relative strength index, liquidity, and book-to-market ratio exhibit negative impacts. These findings provide investors with valuable tool for asset allocation, enhancing interpretability and reliability in complex data environments.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"148 ","pages":"Article 107072"},"PeriodicalIF":4.2,"publicationDate":"2025-03-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143725547","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Revisiting the welfare costs of consumption fluctuations and reduced growth: What matters most to consumers?
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-03-20 DOI: 10.1016/j.econmod.2025.107074
Fernando Barros Jr , Gabriel T. Couto , Fábio A.R. Gomes
{"title":"Revisiting the welfare costs of consumption fluctuations and reduced growth: What matters most to consumers?","authors":"Fernando Barros Jr ,&nbsp;Gabriel T. Couto ,&nbsp;Fábio A.R. Gomes","doi":"10.1016/j.econmod.2025.107074","DOIUrl":"10.1016/j.econmod.2025.107074","url":null,"abstract":"<div><div>In an influential work, Lucas (1987) concluded that the welfare benefits of long-term consumption growth far outweigh those of eliminating consumption fluctuation, interpreting this as evidence of the success of the short-term macroeconomics field. We revisit these conclusions to examine their robustness to more plausible variations in long-term consumption growth and the inclusion of habit formation. We also introduce a novel measure to quantify the <em>welfare cost of business cycles</em>, where consumer compensation occurs through a higher consumption growth rate rather than in the level. In the United States economy, the <em>welfare cost of reducing growth</em> is sensitive to alternative consumption growth rates; however, the evidence still supports the argument that growth matters more for consumers than deeper stability. Regarding the <em>welfare cost of business cycles</em>, our results reveal that compensation through higher consumption levels costs less.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"148 ","pages":"Article 107074"},"PeriodicalIF":4.2,"publicationDate":"2025-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143705886","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Explaining the causality between trading volume and stock returns: What drives its cross-quantile patterns?
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-03-19 DOI: 10.1016/j.econmod.2025.107077
Bartosz Gebka
{"title":"Explaining the causality between trading volume and stock returns: What drives its cross-quantile patterns?","authors":"Bartosz Gebka","doi":"10.1016/j.econmod.2025.107077","DOIUrl":"10.1016/j.econmod.2025.107077","url":null,"abstract":"<div><div>This study investigates the impact of trading volume on future stock returns, addressing the gap in the literature as to why such causality has previously been found to be of varying signs and magnitudes. Using data from the US covering the period 10/1973-12/2018, we employ quantile regressions to empirically examine if the volume-return causality is driven by informed trading, investors’ liquidity needs, sentiment, or uncertainty. Our analysis reveals that sentiment and the prevalence of informed trading, especially on good news, significantly explain the observed cross-quantile volume-return causality pattern. These findings offer new insights into how stock trading, driven by irrational sentiment and following informed investors, causes temporary imbalances and future price reversals, highlighting the importance of investor irrationality, insider trading, but also illiquidity and imperfect arbitrage, for asset price behaviour. Our results provide implications for risk management, return and volatility forecasting, and regulation of insider trading and information provision.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"148 ","pages":"Article 107077"},"PeriodicalIF":4.2,"publicationDate":"2025-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143679497","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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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