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Migrant remittances and real exchange rate dynamics in developing countries: Evidence of a U-shaped relationship 发展中国家的移民汇款和实际汇率动态：u型关系的证据
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-04-01 DOI: 10.1016/j.econmod.2025.107085
Oussama Ben Atta , Mazhar Yasin Mughal , Serge Rey
{"title":"Migrant remittances and real exchange rate dynamics in developing countries: Evidence of a U-shaped relationship","authors":"Oussama Ben Atta ,&nbsp;Mazhar Yasin Mughal ,&nbsp;Serge Rey","doi":"10.1016/j.econmod.2025.107085","DOIUrl":"10.1016/j.econmod.2025.107085","url":null,"abstract":"<div><div>In this paper, we revisit the relationship between workers’ remittances and the real effective exchange rate. Using the NATREX equilibrium exchange rate framework for a small open economy, we establish the conditions for a non-linear relationship between remittances and the real exchange rate. Econometric estimates based on panel models with a threshold effect on a sample of 40 countries over the period 1980–2019 confirm a non-linear U-shaped relationship. For countries where remittances account for less than five percent of GDP, an increase in remittances results in a real depreciation of the exchange rate. This is reflected in improvement in external competitiveness, which can be attributed to the dominant supply effect stemming from capital accumulation. Conversely, for countries above this threshold, an increase in remittances leads to a real appreciation of the exchange rate, driven by rising domestic prices linked to a dominant demand effect.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"148 ","pages":"Article 107085"},"PeriodicalIF":4.2,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143777306","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
Minimum wage and unemployment in Russia: A new look on an old construct 俄罗斯的最低工资和失业率：旧结构的新面貌
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-04-01 DOI: 10.1016/j.econmod.2025.107086
Gi Khan Ten, Shun Wang
{"title":"Minimum wage and unemployment in Russia: A new look on an old construct","authors":"Gi Khan Ten,&nbsp;Shun Wang","doi":"10.1016/j.econmod.2025.107086","DOIUrl":"10.1016/j.econmod.2025.107086","url":null,"abstract":"<div><div>We investigate the unemployment effects of the minimum wage policy in Russia, focusing on possible reasons for the heterogeneity of the effects documented in previous literature. Using region-level data, we show that the policy increases both the unemployment rate among young workers and the rate of informality. We corroborate these findings by leveraging a sudden increase in the minimum wage in Kamchatka as a natural experiment. Next, we show that the magnitude of employment responses to minimum wage changes depends on the elasticity of capital-labor substitution, with stronger effects observed in industries where capital and labor are more substitutable. When substitution is not feasible, employers respond to the policy by hiring workers informally. Consistent with revealed separations and informal recruitment, we find limited income effects of the policy. These findings highlight the importance of accounting for existing production technologies and the extent of non-compliance when raising the wage floor.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"148 ","pages":"Article 107086"},"PeriodicalIF":4.2,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143808671","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
Stock prices and monetary policy: Analysis of a Bayesian DSGE model 股票价格与货币政策：贝叶斯DSGE模型的分析
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 动态经济政策不确定性溢出的自适应局部VAR
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 风险管理下道德风险的风险激励权衡：理论分析与实证验证
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 全球金融风险和中欧和东欧未发现的利率平价溢价
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 利差平价：一种估计中性区间的预测方法
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
Time or money? Induced altruism and provision of old-age care 时间还是金钱？诱导利他主义和提供老年护理
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-03-25 DOI: 10.1016/j.econmod.2025.107081
Subhra K. Bhattacharya , Mausumi Das , Priya Tomar
{"title":"Time or money? Induced altruism and provision of old-age care","authors":"Subhra K. Bhattacharya ,&nbsp;Mausumi Das ,&nbsp;Priya Tomar","doi":"10.1016/j.econmod.2025.107081","DOIUrl":"10.1016/j.econmod.2025.107081","url":null,"abstract":"<div><div>We study the interrelationship between parental decisions to educate a child and leave a bequest and adult child’s provision of old-age care through time and/or money in an environment where altruism may be induced in children and temporal care is critical for the well-being of the older population. When altruism is inherent between generations, we show that parents have the incentive to under-educate their children to elicit greater temporal care from them during adulthood. When altruism is not innate but can be induced, even financially wealthy individuals, who do not need monetary support from their children, invest in altruism-inducing activities. In a steady state, a threshold return from education ensures that parents educate their children, which, in turn, determines the provision of temporal care by educated children. Steady-state savings, bequests and the provision of monetary support are completely determined by the rate of interest. However, steady-state altruism-inducing investment depends on the type of old-age care a parent expects, contingent on her financial well-being. In an interesting extension, we show that when an education loan market exists, individuals who take a loan to educate their children sufficiently induce altruism to ensure that the educated children repay the education loan, as well as provide for a generous old-age consumption.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"149 ","pages":"Article 107081"},"PeriodicalIF":4.2,"publicationDate":"2025-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143823923","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 气候冲击、经济活动和跨国溢出效应：来自一个新的全球模型的证据
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 新兴经济体可持续和公平的养老金改革：在印尼的应用
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
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