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U.S. monetary policy spillovers to emerging market countries: Responses to cost-push and natural rate shocks
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-02-01 DOI: 10.1016/j.econmod.2024.106971
Penghao Cheng, Yu You
{"title":"U.S. monetary policy spillovers to emerging market countries: Responses to cost-push and natural rate shocks","authors":"Penghao Cheng,&nbsp;Yu You","doi":"10.1016/j.econmod.2024.106971","DOIUrl":"10.1016/j.econmod.2024.106971","url":null,"abstract":"<div><div>The spillover effects of U.S. monetary policy on emerging markets can vary depending on the specific shock. The natural interest rate serves as a crucial benchmark for assessing the stance of monetary policy, for which rate changes can be very impactful. Given the rising frequency and magnitude of structural shocks in the U.S. in recent years, further analysis of how U.S. interest rate changes, particularly under natural rate shocks, affect emerging market economies is essential. Using a new Keynesian small open economy model, we find that under cost-push shocks, the exchange rate depreciates (USD weakens), whereas, under natural rate shocks, it appreciates (USD strengthens). These differences are amplified through domestic bonds (finance channel) and terms of trade (trade channel). Empirical Bayesian local projection results confirm the importance of the exchange-rate channel, with strong evidence supporting finance and weaker evidence for trade channels, likely due to emerging economies’ financial vulnerabilities. We also find that different structural drivers behind natural rate shocks affect the spillover. While addressing external shocks is important, placing excessive focus on this alone is not an effective strategy. Instead, central banks in emerging market economies should carefully balance their responses to external pressures without compromising the autonomy of domestic monetary policy.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"143 ","pages":"Article 106971"},"PeriodicalIF":4.2,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143138855","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
Market-oriented reforms and wealth inequality in China
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-02-01 DOI: 10.1016/j.econmod.2024.106959
Chuan Wang , Mingjin Zhang
{"title":"Market-oriented reforms and wealth inequality in China","authors":"Chuan Wang ,&nbsp;Mingjin Zhang","doi":"10.1016/j.econmod.2024.106959","DOIUrl":"10.1016/j.econmod.2024.106959","url":null,"abstract":"<div><div>Over the last few decades, China's growing wealth inequality has mirrored the contemporary global trend. We investigate the effects of China's market-oriented reforms on wealth inequality using a dynamic general equilibrium model with an incomplete market and idiosyncratic risks. Focusing on the relaxation of private entry and the easing of financial constraints as two pivotal reforms, we show that our model-generated results closely match the actual wealth distribution from 1995 to 2018, with the reform of private enterprise entry accounting for most of the widening wealth disparity. We elucidate the underlying mechanisms of these two reforms using counterfactual simulations and discover that through the savings rate mechanism, the two reforms will collectively form an inverted U-shaped Kuznets curve in wealth inequality as reforms deepen in the future. By calculating the transition dynamics from 1995 to 2035, we confirm that the Kuznets turning point in China lies between 2020 and 2025.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"143 ","pages":"Article 106959"},"PeriodicalIF":4.2,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143138795","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
Immigration from a terror-prone nation: Destination nation's optimal immigration and counterterrorism policies
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-02-01 DOI: 10.1016/j.econmod.2024.106972
Subhayu Bandyopadhyay , Khusrav Gaibulloev , Todd Sandler
{"title":"Immigration from a terror-prone nation: Destination nation's optimal immigration and counterterrorism policies","authors":"Subhayu Bandyopadhyay ,&nbsp;Khusrav Gaibulloev ,&nbsp;Todd Sandler","doi":"10.1016/j.econmod.2024.106972","DOIUrl":"10.1016/j.econmod.2024.106972","url":null,"abstract":"<div><div>The article presents a two-country model in which a destination country chooses its immigration quota and proactive counterterrorism measures in response to immigration from a terror-plagued country. A novel feature is to tie the optimizing quota and proactive choice to the consequences on the labor market. After the destination country fixes its two policies, immigrants decide between supplying labor or conducting terrorist attacks, which helps to determine equilibrium labor supply and wages. The analysis accounts for the marginal disutility of lost rights/freedoms stemming from stricter counterterror measures as well as the inherent radicalization of migrants. Comparative statics involve changes to those two parameters. For example, an enhanced importance attached to lost rights is shown to limit immigration quotas and counterterrorism actions. In contrast, increased source-country radicalization reduces immigration quotas but has an ambiguous effect on optimal proactive measures. Extensions involve defensive policies and destination-country citizens’ radicalization.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"143 ","pages":"Article 106972"},"PeriodicalIF":4.2,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143138797","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
Estimation and forecast of carbon emission market volatility based on model averaging method
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-02-01 DOI: 10.1016/j.econmod.2024.106976
Nianling Wang , Qianchao Wang , Yong Li
{"title":"Estimation and forecast of carbon emission market volatility based on model averaging method","authors":"Nianling Wang ,&nbsp;Qianchao Wang ,&nbsp;Yong Li","doi":"10.1016/j.econmod.2024.106976","DOIUrl":"10.1016/j.econmod.2024.106976","url":null,"abstract":"<div><div>Understanding volatility is essential for risk management and green investment decision-making in the carbon market. However, existing studies lack a unified framework for modeling and estimating carbon market volatility, and predictions are often affected by model uncertainty. Using data from EU emission allowances, we estimate parameters for multiple GARCH models via the Sequential Monte Carlo method and improve forecasting accuracy with model averaging techniques. Our results reveal that carbon market volatility is characterized by spikes, thick tails, asymmetry, and jumps. Based on Model Confidence Set test, model comparison demonstrates that averaged models consistently outperform individual models across various loss criteria. By integrating information from multiple models, the model averaging approach simplifies model selection and plays a pivotal role in supporting volatility timing strategies.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"143 ","pages":"Article 106976"},"PeriodicalIF":4.2,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143138804","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
Modeling and evaluating the heterogeneous impacts of the COVID-19 on US unemployment
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-02-01 DOI: 10.1016/j.econmod.2024.106978
Malak Kandoussi , François Langot
{"title":"Modeling and evaluating the heterogeneous impacts of the COVID-19 on US unemployment","authors":"Malak Kandoussi ,&nbsp;François Langot","doi":"10.1016/j.econmod.2024.106978","DOIUrl":"10.1016/j.econmod.2024.106978","url":null,"abstract":"<div><div>During the COVID-19 lockdown, the labor market faced unprecedented disruptions, particularly in unemployment, job separation, and the job finding rate. These unprecedented economic disruptions challenge existing models for understanding and assessing government interventions. This paper shows that a general equilibrium model with matching frictions may explain the impact of this crisis on US unemployment, while accounting for the contrasted impacts across various job types. This model is calibrated on the subprime-crisis experience and then used to identify the job-specific lockdown shocks, allowing it to predict the observed worker flows by diploma. The unemployment persistence is lowered by the CARES Act, which acted as a damping mechanism against its sharp increase by slowing down the separation dynamics and increasing the rate of hirings.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"143 ","pages":"Article 106978"},"PeriodicalIF":4.2,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143138802","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
Research bubbles
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-02-01 DOI: 10.1016/j.econmod.2024.106888
Hans Gersbach , Evgenij Komarov
{"title":"Research bubbles","authors":"Hans Gersbach ,&nbsp;Evgenij Komarov","doi":"10.1016/j.econmod.2024.106888","DOIUrl":"10.1016/j.econmod.2024.106888","url":null,"abstract":"<div><div>We develop a model to rationalize and examine so-called “research bubbles”, i.e. research activities based on overoptimistic beliefs about the impact of this research on the economy. Research bubbles occur when researchers self-select into research activities and the government aggregates the assessment of active researchers on how advances in research may spur innovation and growth. In an overlapping generations framework, we study the occurrence of research bubbles and show that they tend to be welfare-improving. Particular forms can even implement the socially optimal solution. However, research bubbles can collapse, and we discuss institutional devices and the role of debt financing that can ensure the sustainability of such bubbles. Finally, we demonstrate that research bubbles emerge in various extensions of our baseline model.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"143 ","pages":"Article 106888"},"PeriodicalIF":4.2,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143138794","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
Deviation signs-based bunching methods
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-02-01 DOI: 10.1016/j.econmod.2024.106969
Xiaofeng Lv , Yifan Yang , Yue Lu , Liming Hong
{"title":"Deviation signs-based bunching methods","authors":"Xiaofeng Lv ,&nbsp;Yifan Yang ,&nbsp;Yue Lu ,&nbsp;Liming Hong","doi":"10.1016/j.econmod.2024.106969","DOIUrl":"10.1016/j.econmod.2024.106969","url":null,"abstract":"<div><div>Bunching caused by discontinuous policy has received increased research attention over the last decade. In practice, buncher adjustment costs frequently result in bunching in an unknown region rather than at a specific point (e.g., a kink or notch). To investigate this phenomenon, researchers often rely on visual determination or regional knowledge, the selection of estimated regions, the choice of k in k-fold cross-validation, and the assumption of a conditional lognormal distribution. This study introduces deviation sign-based bunching methods for kink and notch settings with frictions, eliminating the need for these prerequisites. Using conservative non-bunching regions and deviation sign-based indicators, we can calculate the data-driven bunching region and counterfactual distribution. Subsequently, the elasticity of taxable income, a key parameter in bunching research, can be estimated. Simulations validate the efficacy of our methods. The elasticity of Chinese small and micro enterprises is calculated to be 1.267.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"143 ","pages":"Article 106969"},"PeriodicalIF":4.2,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143138798","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
Heterogeneity in the effect of green financing constraints on labor investment efficiency: A causal forest approach
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-02-01 DOI: 10.1016/j.econmod.2024.106977
Tingwen Liu , Jie Liu , Tzu-Chang Forrest Cheng
{"title":"Heterogeneity in the effect of green financing constraints on labor investment efficiency: A causal forest approach","authors":"Tingwen Liu ,&nbsp;Jie Liu ,&nbsp;Tzu-Chang Forrest Cheng","doi":"10.1016/j.econmod.2024.106977","DOIUrl":"10.1016/j.econmod.2024.106977","url":null,"abstract":"<div><div>This study evaluates the heterogeneous effects of green credit policy on labor investment efficiency. We analyze Chinese listed firms from 2005 to 2020 using the difference-in-differences method and causal forest approach based on the introduction of the 2012 Green Credit Guidelines. Our results show that this policy improves labor investment efficiency in high-polluting firms by reducing over-investment. Causal forest analyses reveal nonlinear and heterogeneous treatment effects, indicating that firms with lower market capitalization, lower liquidity, and higher leverage experience efficiency declines due to financial constraints. Faced with severe agency problems, state-owned enterprises and firms with high employment variability and abnormal investment achieve significant efficiency gains. Finally, despite lower innovation among high-polluting firms following policy implementation, the increased labor investment efficiency mitigates this impact. Overall, the heterogeneity analysis using causal forests highlights the groups most significantly affected by the policy.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"143 ","pages":"Article 106977"},"PeriodicalIF":4.2,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143138807","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
LAMP, informality and monetary growth rules in an emerging economy
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-02-01 DOI: 10.1016/j.econmod.2024.106946
Maryam Mirfatah , Vasco J. Gabriel , Paul Levine
{"title":"LAMP, informality and monetary growth rules in an emerging economy","authors":"Maryam Mirfatah ,&nbsp;Vasco J. Gabriel ,&nbsp;Paul Levine","doi":"10.1016/j.econmod.2024.106946","DOIUrl":"10.1016/j.econmod.2024.106946","url":null,"abstract":"<div><div>We develop a small open economy model interacting with a rest-of-the-world bloc, containing relevant emerging economies’ features: heterogeneous agents with one household type displaying limited asset markets participation (LAMP), and an informal sector. We show that monetary growth rules are stable regardless of the level of asset market participation, i.e., unlike standard interest rate rules, they avoid the inversion of the Taylor principle. Estimation results using data from Mexico reveal that specifications with money growth rules are empirically superior and shocks are amplified by the presence of LAMP. In contrast, the informal sector acts as a buffer, lowering the variability of aggregate and formal fluctuations through an expenditure switching effect, and by providing a flexible labour market adjustment mechanism.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"143 ","pages":"Article 106946"},"PeriodicalIF":4.2,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143138853","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
Manager sentiment and its effect on corporate innovation
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-02-01 DOI: 10.1016/j.econmod.2024.106968
Xun Xiong , Long Zhao
{"title":"Manager sentiment and its effect on corporate innovation","authors":"Xun Xiong ,&nbsp;Long Zhao","doi":"10.1016/j.econmod.2024.106968","DOIUrl":"10.1016/j.econmod.2024.106968","url":null,"abstract":"<div><div>Identifying the factors that predict managers’ commitment to innovation is crucial for understanding firm growth and competitiveness. However, the impact of the textual tone in financial reports on corporate innovation is relatively understudied. This study investigates whether manager sentiment, captured through the textual tone in the Management Discussion and Analysis (MD&amp;A) section of annual financial statements, helps predict firm innovation. Using data from China’s listed firms during 2003–2017, we provide robust evidence that manager sentiment is positively associated with corporate innovation, particularly for firms with low growth, low liquidity, low profitability, high distress, and state-owned enterprises. Our analysis shows that this relationship operates through increased institutional ownership, reduced capital costs, and improved access to external financing. These findings highlight the value of MD&amp;A textual tone as a tool for stakeholders to assess a firm’s future innovation potential and competitiveness.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"143 ","pages":"Article 106968"},"PeriodicalIF":4.2,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143138856","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
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