Earticle

초록

영어

This paper studies how the elasticity of intertemporal substitution (EIS) influences labor market fluctuations in the labor search and matching model with both extensive and intensive margins of labor supply. With the curvature of utility, the countercyclical marginal utility of consumption induces the flow value of unemployment to be procyclical, and the stock returns to be countercyclical. The former effect reduces unemployment volatility by weakening wage rigidity. In contrast, the latter effect magnifies unemployment volatility by discounting higher future payoffs at a lower discount rates, if wages do not absorb all of productivity shocks. The higher EIS reduces the procyclicality of the flow value of unemployment, and reinforces the countercyclicality of the stock returns. We quantitatively show that high values of the EIS are required to resolve the unemployment volatility puzzle.

목차

Abstract
 1 Introduction
 2 Model
  2.1 Search and Matching Frictions in the Labor Market
  2.2 Household’s Decisions
  2.3 Production and Firm’s Decisions
  2.4 Bargaining on Hours Worked and Wage
  2.5 Asset prices
  2.6 Competitive Equilibrium
 3 Numerical Solution and Parameterization
  3.1 Computation
  3.2 Calibration
 4 Quantitative Results
  4.1 Labor Market Moments
  4.2 Wage Channel: Procyclical Flow Value of Unemployment
  4.3 Discount Rate Channel: Countercyclical Stock Returns
  4.4 Implications for Elasticity of Intertemporal Substitution
 5 Robustness and Extensions
  5.1 Nash Wage Bargaining
  5.2 Utility of Chodorow-Reich and Karabarbounis (2014)
  5.3 Recursive Preference
  5.4 Wage Bargaining Parameters
  5.5 Fixed Component in Vacancy Posting Costs
 6 Conclusion
 References

키워드

저자

• Dongweon Lee [ Seoul National University ] Corresponding author

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  한국재무학회 학술대회

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  2006~2024

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  KDC 325 DDC 330