TY - JOUR AU - Park, Hyeon TI - Bounded rationality and optimal retirement age JF - JOURNAL OF ECONOMIC DYNAMICS & CONTROL J2 - J ECON DYN CONTROL VL - 154 PY - 2023 PG - 32 SN - 0165-1889 DO - 10.1016/j.jedc.2023.104703 UR - https://m2.mtmt.hu/api/publication/34599877 ID - 34599877 AB - This paper explores a lifecycle model of labor supply and endogenous retirement behavior for households whose planning window is truncated and who will reoptimize as extra information on productivity is revealed over time. This short horizon model internalizes the restriction on temporal resource allocation, and the labor supply is closely dependent on the degree of productivity changes in view. With the model, the retirement timing-the moment at which the marginal value from the expected resources drops below a threshold-evolves according to the planning window. Using a discrete time overlapping generations framework with leisure substitutability, in which the constraint on time is explicitly added, I demonstrate that the calibrated model economy reasonably replicates the salient facts regarding lifecycle labor supply and retirement behaviors without a borrowing constraint commonly found in models of leisure-consumption substitut-ability. Furthermore, this result is robust to sensitivity check. With the extended environment of mortality risks and bequests, this paper explicitly quantifies the relationship among retirement age, planning horizon, equilibrium bequests and other lifecycle characteristics from the calibrated general equilibrium. LA - English DB - MTMT ER - TY - JOUR AU - Feinstein, Zachary AU - Halaj, Grzegorz TI - Interbank asset-liability networks with fire sale management JF - JOURNAL OF ECONOMIC DYNAMICS & CONTROL J2 - J ECON DYN CONTROL VL - 155 PY - 2023 PG - 17 SN - 0165-1889 DO - 10.1016/j.jedc.2023.104734 UR - https://m2.mtmt.hu/api/publication/34459449 ID - 34459449 AB - Interconnectedness is an inherent feature of the modern financial system. While it contributes to efficiency of financial services, it also creates structural vulnerabilities: pernicious shock transmission and amplification impacting banks' capitalization. This has recently been seen during the Global Financial Crisis. Post-crisis reforms addressed many of the causes of this event, but contagion effects have not been fully eliminated. One reason for this may be related to financial institutions' incentives and strategic behaviours. We propose a model to study contagion in a banking system that captures network effects of direct exposures and indirect effects of market behaviour that may impact asset valuations. By doing so, we can embed a well-established fire sale channel into our model. Unlike in related literature, we relax the assumption that there is an exogenous pecking order of how banks would sell their assets. Instead, banks act rationally in our model; they optimally construct a portfolio subject to budget constraints to raise cash to satisfy creditors (interbank and external). We assume that the guiding principle for banks is to maximize risk adjusted returns generated by their balance sheets. We parameterize the theoretical model with granular and confidential supervisory data for a representative sample of European banks; this allows us to run simulations of bank valuations and asset prices under a set of stress scenarios. LA - English DB - MTMT ER - TY - JOUR AU - Accominotti, Olivier AU - Lucena-Piquero, Delio AU - Ugolini, Stefano TI - Intermediaries' substitutability and financial network resilience: A hyperstructure approach JF - JOURNAL OF ECONOMIC DYNAMICS & CONTROL J2 - J ECON DYN CONTROL VL - 153 PY - 2023 PG - 23 SN - 0165-1889 DO - 10.1016/j.jedc.2023.104700 UR - https://m2.mtmt.hu/api/publication/34291665 ID - 34291665 AB - This article studies the impact of intermediaries' disappearance on firms' access to the sterling money market during the first globalization era of 1880-1914. We propose a new methodology to assess intermediaries' substitutability in financial networks featuring higher-order structures (credit intermediation chains). We represent the financial network as a hyperstructure and each credit intermediation chain as a hyperedge. This approach allows us to assess how the failure of intermediaries affects network connectivity. We apply this methodology to a unique dataset documenting the network structure of the sterling money market in the year 1906. Our results reveal that the failure of individual money market actors could only cause limited damage to the network as intermediaries were highly substitutable. These findings suggest that an international financial network without highly systemic nodes can emerge even at a time of global economic integration.(c) 2023 Elsevier B.V. All rights reserved. LA - English DB - MTMT ER - TY - JOUR AU - Fontanelli, Luca AU - Guerini, Mattia AU - Napoletano, Mauro TI - International trade and technological competition in markets with dynamic increasing returns JF - JOURNAL OF ECONOMIC DYNAMICS & CONTROL J2 - J ECON DYN CONTROL VL - 149 PY - 2023 PG - 23 SN - 0165-1889 DO - 10.1016/j.jedc.2023.104619 UR - https://m2.mtmt.hu/api/publication/34280236 ID - 34280236 AB - We build a simple international trade model to study how the interaction between imperfect market selection and technological learning jointly shapes trade patterns as well as firm and industry dynamics. The model features two countries populated by firms heterogeneous in their productivity and size. Market selection is driven by a finite pairwise Polya urn process, while a geometric random walk characterizes the idiosyncratic cumulative firm learning process. We show that the model is able to jointly reproduce a wide ensemble of stylized facts concerning intra-industry trade, industry and firm dynamics as well as realistic dynamics of export and productivity leadership at the country level. A series of sensitivity exercises on the degree of trade openness and the tightness of the market selection process allow us to draw interesting policy insights on concentration, volatility and the dynamics of international leadership in both export shares and aggregate productivity. (c) 2023 Elsevier B.V. All rights reserved. LA - English DB - MTMT ER - TY - JOUR AU - Herwartz, Helmut AU - Wang, Shu TI - Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles JF - JOURNAL OF ECONOMIC DYNAMICS & CONTROL J2 - J ECON DYN CONTROL VL - 151 PY - 2023 PG - 19 SN - 0165-1889 DO - 10.1016/j.jedc.2023.104630 UR - https://m2.mtmt.hu/api/publication/34236245 ID - 34236245 AB - The median and median target estimates in sign-restricted SVARs are driven by a highly informative prior for the set-identified structural parameters. This paper proposes an approach for point elicitation by minimizing the evidence against the null hypothesis of independence with respect to the orthogonalized residuals implied by the identified set. Finite sample properties of the estimator are studied in a Monte Carlo experiment. As an empirical illustration, we analyze monetary policy effects within the rational bubble model of equity valuation (Gali, 2014). The detected monetary policy shocks lead to distinct response profiles of the fundamental and bubble components of asset prices. (c) 2023 Elsevier B.V. All rights reserved. LA - English DB - MTMT ER - TY - JOUR AU - Mérő, Bence AU - Borsos, András AU - Hosszú, Zsuzsanna AU - Oláh, Zsolt AU - Vágó, Nikolett TI - A High-Resolution, Data-Driven Agent-Based Model of the Housing Market JF - JOURNAL OF ECONOMIC DYNAMICS & CONTROL J2 - J ECON DYN CONTROL PY - 2023 SP - 104738 SN - 0165-1889 DO - 10.1016/j.jedc.2023.104738 UR - https://m2.mtmt.hu/api/publication/34133711 ID - 34133711 LA - English DB - MTMT ER - TY - JOUR AU - Duong, Huu Nhan AU - Kalev, Petko S. AU - Tian, Xiao TI - Short selling, divergence of opinion and volatility in the corporate bond market JF - JOURNAL OF ECONOMIC DYNAMICS & CONTROL J2 - J ECON DYN CONTROL VL - 147 PY - 2023 PG - 16 SN - 0165-1889 DO - 10.1016/j.jedc.2022.104592 UR - https://m2.mtmt.hu/api/publication/33984761 ID - 33984761 AB - We investigate the impact of short selling activity on price volatility in the corporate bond market. We find that bond short selling activity is positively related to volatility, trading activity, and the volume-volatility relation. During the Global Financial Crisis, when investors' expectations tend to be more homogenous, the positive relation between short selling activity and price volatility breaks down. We further show that bond short selling is not a substitute for equity short selling and put option trading. Overall, our study highlights the importance of bond short selling as a platform to express investors' differences of opinion. (c) 2023 Elsevier B.V. All rights reserved. LA - English DB - MTMT ER - TY - JOUR AU - Kobayashi, Teruyoshi AU - Ogisu, Yoshitaka AU - Onaga, Tomokatsu TI - Unstable diffusion in social networks JF - JOURNAL OF ECONOMIC DYNAMICS & CONTROL J2 - J ECON DYN CONTROL VL - 146 PY - 2023 PG - 17 SN - 0165-1889 DO - 10.1016/j.jedc.2022.104561 UR - https://m2.mtmt.hu/api/publication/33967645 ID - 33967645 AB - How and to what extent will new activities spread through social ties? To answer this question, we present an analytical framework that allows us to describe the diffusion dynamics on complex networks more accurately than the conventional mean-field approach. Based on two classes of network games, we find that the spread of multiple activities is expressed as a saddle path, and thus, inherently unstable. In particular, when the two activities are sufficiently substitutable, either of them will dominate the other by chance even if they are equally attractive ex ante. We argue that, in environments where such symmetry-breaking occurs, any average-based approximation method may not correctly capture the Nash equilibrium - the steady state of an actual diffusion process. (C) 2022 The Author(s). Published by Elsevier B.V. LA - English DB - MTMT ER - TY - JOUR AU - Mungo, Luca AU - Lafond, Francois AU - Astudillo-Estevez, Pablo AU - Farmer, J. Doyne TI - Reconstructing production networks using machine learning JF - JOURNAL OF ECONOMIC DYNAMICS & CONTROL J2 - J ECON DYN CONTROL VL - 148 PY - 2023 PG - 18 SN - 0165-1889 DO - 10.1016/j.jedc.2023.104607 UR - https://m2.mtmt.hu/api/publication/33901278 ID - 33901278 AB - The vulnerability of supply chains and their role in the propagation of shocks has been highlighted multiple times in recent years, including by the recent pandemic. However, while the importance of micro data is increasingly recognised, data at the firm-to-firm level remains scarcely available. In this study, we formulate supply chain networks' re-construction as a link prediction problem and tackle it using machine learning, specifically Gradient Boosting. We test our approach on three different supply chain datasets and show that it works very well and outperforms three benchmarks. An analysis of features' impor-tance suggests that the key data underlying our predictions are firms' industry, location, and size. To evaluate the feasibility of reconstructing a network when no production net -work data is available, we attempt to predict a dataset using a model trained on another dataset, showing that the model's performance, while still better than a random predictor, deteriorates substantially.(c) 2023 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY license ( http://creativecommons.org/licenses/by/4.0/ ) LA - English DB - MTMT ER - TY - JOUR AU - Anton, R. AU - Chenavaz, R.Y. AU - Paraschiv, C. TI - Dynamic pricing, reference price, and price-quality relationship JF - JOURNAL OF ECONOMIC DYNAMICS & CONTROL J2 - J ECON DYN CONTROL VL - 146 PY - 2023 PG - 24 SN - 0165-1889 DO - 10.1016/j.jedc.2022.104586 UR - https://m2.mtmt.hu/api/publication/33572622 ID - 33572622 N1 - Export Date: 18 January 2023; Cited By: 0; Correspondence Address: R.Y. Chenavaz; Kedge Business School, Domaine de Luminy, Marseille, 13009, France; email: regis.chenavaz@kedgebs.com; CODEN: JEDCD LA - English DB - MTMT ER -