Labor market dynamics under long-term wage contracting

Recent research seeking to explain the strong cyclicality of US unemployment emphasizes the role of wage rigidity. This paper proposes a micro-founded model of wage rigidity—an equilibrium business cycle model of job search, where risk neutral firms post optimal long-term contracts to attract risk averse workers. Equilibrium contracts feature wage smoothing, limited by the inability of parties to commit to contracts. The model is consistent with aggregate wage data if neither worker nor firm can commit, producing too rigid wages otherwise. Wage rigidity does not lead to a substantial increase in the cyclical volatility of unemployment.     

The (ir)relevance of real wage rigidity in the New Keynesian model with search frictions

We develop a New Keynesian model with search and matching frictions in the labor market. We show that the model generates counterfactual labor market dynamics. In particular, it fails to generate the negative correlation between vacancies and unemployment in the data, i.e., the Beveridge curve. Introducing real wage rigidity leads to a negative correlation, and increases the magnitude of labor market flows to more realistic values. However, inflation dynamics are only weakly affected by real wage rigidity. The reason is that labor market frictions give rise to long-run employment relationships. The measure of real marginal costs that is relevant for inflation in the Phillips curve contains a present value component that varies independently of the real wage.     

Resuscitating the wage channel in models with unemployment fluctuations

Higher wages all else equal translate into higher inflation. More rigid wages imply a weaker response of inflation to shocks. This view of the wage channel is deeply entrenched in central banks’ views and models of their economies. In this paper, we present a model with equilibrium unemployment which has three distinctive properties. First, using a search and matching model with right-to-manage wage bargaining a proper wage channel obtains. Second, accounting for fixed costs associated with maintaining an existing job greatly magnifies profit fluctuations for any given degree of wage fluctuations, which allows the model to reproduce the fluctuations of unemployment over the business cycle. And third, the model implies a reasonable elasticity of steady state unemployment with respect to changes in benefits. The calibration of the model implies low profits, but does not require a small gap between the value of working and the value of unemployment for the worker.     

Emerging Market Business Cycles: The Role of Labor Market Frictions

Emerging economies are characterized by higher variability of consumption and real wages relative to output and a strongly countercyclical current account. A small open economy model with search‐matching frictions and countercyclical interest rate shocks can account for these regularities. Search‐matching frictions affect permanent income, and increase future employment uncertainty, heightening workers' incentives to save and generating a greater response of consumption and the current account. The greater consumption response feeds into larger fluctuations in workers' willingness to work, while interest rate shocks lead to variations in firms' willingness to hire; both of these outcomes contribute to highly variable wages.     

Asymmetric Labor Market Institutions in the EMU and the Volatility of Inflation and Unemployment Differentials

How does the asymmetry of labor market institutions affect the adjustment of a currency union to shocks? To answer this question, this paper sets up a dynamic currency union model with monopolistic competition and sticky prices, hiring frictions, and real wage rigidities. In our analysis, we focus on the differentials in inflation and unemployment between countries, as they directly reflect how the currency union responds to shocks. We highlight the following three results. First, we show that it is important to distinguish between different labor market rigidities as they have opposite effects on inflation and unemployment differentials. Second, we find that asymmetries in labor market structures tend to increase the volatility of both inflation and unemployment differentials. Finally, we show that it is important to take into account the interaction between different types of labor market rigidities. Overall, our results suggest that asymmetries in labor market structures worsen the adjustment of a currency union to shocks.     

金融机构多层委托——代理关系的道德风险模型分析

道德风险问题是我国金融业普遍存在的问题,许多金融案件的发生无不与金融从业人员的职业道德水平有关.而目前金融系统实行的多层级委托代理经营管理模式存在制度缺陷和道德风险隐患.     

农险市场中的保险公司道德风险研究

在过往十余年我国农业保险的跨越式发展中,保险公司的道德风险问题日益凸显。本文通过微观案例界定保险公司道德风险的内涵与类别,基于博弈视角分析其产生机理,结果发现:在政府和保险公司的委托代理关系中,由于二者的目标诉求不同,若政府对保险公司的农业保险业务不能给予有效监管,则保险公司不遵守经营规范所得收益要大于其遵守经营规范所得收益,从而导致保险公司出现违规经营业务的道德风险问题;相关部门可以通过完善监管政策、整合监管资源、优化协办机制、加大监管力度、设置差异化保险合约等措施来减少农业保险市场中保险公司的道德风险。     

基于道德风险视角的资本类逆周期监管工具的比较分析

2007—2009年的全球金融风暴使监管者最终认识到宏观审慎管理的重要性,其主要目的是缓解顺周期问题。然而,我们认为宏观审慎管理可以兼顾"大而不能倒"的金融机构引发的道德风险问题。本文对这一问题做了初步性的探索,结论为:时间可变的资本充足率不能很好地解决"大而不能倒"的金融机构所面临的道德风险问题;或有资本可以部分解决金融机构的道德风险问题;救助保险基金能够很好地解决道德风险问题。     

Crude substitution: The cyclical dynamics of oil prices and the skill premium

At the business cycle frequency, energy prices and the skill premium display a strong, negative correlation. This fact is robust to different de-trending procedures. Identifying exogenous shocks to oil prices using the Hoover-Perez [1994. Post hoc ergo propter once more: an evaluation of ‘Does monetary policy matter?’ in the spirit of James Tobin. Journal of Monetary Econonmics 34, 47-73] dates, shows that the skill premium falls in response to such a shock. The estimation of the parameters of an aggregate technology that uses, among other inputs, energy and heterogeneous skills, demonstrates that capital-skill and capital-energy complementarity are responsible for this correlation. As energy prices rise, the use of capital decreases and the demand for unskilled labor—relative to skilled labor—increases, lowering the skill premium.     

Financial Frictions,Financial Shocks,and Aggregate Volatility

The Great Moderation was accompanied by an increase in financial volatility. We explore the sources of these divergent patterns in volatilities by estimating a model with time‐varying financial rigidities subject to structural breaks in the size of shocks, the monetary policy rule coefficients, and the average size of the financial rigidity. Institutional changes are key in accounting for the Great Moderation and in shaping the transmission mechanism of financial shocks. The increase in financial volatilities is accounted for by larger financial shocks, but the vulnerability of the economy to these shocks is significantly alleviated by the estimated changes in institutions.     

On the cyclical behavior of employment, unemployment and labor force participation

In this paper I evaluate to what extent a real business cycle (RBC) model that incorporates search and home production decisions can simultaneously account for the observed behavior of employment, unemployment and out-of-the-labor-force. This contrasts with the previous RBC literature, which analyzed employment or hours fluctuations either by lumping together unemployment and out-of-the-labor-force into a single non-employment state or by assuming a fixed labor force. Once the three employment states are explicitly introduced I find that the RBC model generates highly counterfactual labor market dynamics.     

Anticipated growth and business cycles in matching models

In a business cycle model that incorporates a standard matching framework, employment increases in response to news shocks, even though the wealth effect associated with the increase in expected productivity reduces labor force participation. The reason is that the matching friction induces entrepreneurs to increase investment in new projects and vacancies early. If there is underinvestment in new projects in the competitive equilibrium, then the efficiency gains associated with an increase in employment make it possible that consumption, employment, output, as well as the investment in new and existing projects jointly increase long before the actual increase in productivity materializes. If there is no underinvestment, then investment in existing projects decreases, but total investment, consumption, employment, and output still jointly increase.     

责任保险:市场失灵、立法强制与道德风险管理

责任保险看起来能够解决安全事故受害者的补偿问题,但单靠市场力量很难形成有规模的责任保险交易.为保证对受害人的赔偿,政府可以在一些关乎百姓生存权的领域实行强制责任保险.不幸的是,强制责任保险会带来被保险人(致害人)的道德风险问题,从而可能降低整个社会的安全水平.鉴于保险人控制被保险人(致害人)道德风险的目标与社会安全目标的一致性,政府和社会应该允许保险人使用社会已有的风险监控系统、支持建立有效的信息共享系统、给予保险人拒绝承保的权利以及由保险人对特殊行业进行强制风险监控.     

Leases with Purchase Options and Double Moral Hazard

Abstract:  The purpose of this paper is to explain why leases have a purchase option and how the exercise price of this option is determined. We follow Demski and Sappington's (1991) approach by using a double moral hazard setting. One limitation of their model is that the agent has unlimited liability. The agent has to have enough wealth and the obligation to buy the firm when the principal decides to exercise the put option. In our paper, this problem is resolved by using a call option, which is a feature of many lease contracts. We show that leases with a purchase option can completely resolve the double moral hazard problem even if all the variables in the model are unverifiable. It is the threat of being the residual claimant that induces the lessor to provide an efficient level of effort. On the other hand, it is the opportunity of being the residual claimant that induces the lessee to maintain the asset efficiently. Finally, the model predicts that certain leased assets are not properly accounted for under the current accounting standards for leasing.     

Credit Crunches from Occasionally Binding Bank Borrowing Constraints

We present a model in which banks and other financial intermediaries face both occasionally binding borrowing constraints, and costs of equity issuance. Near the steady state, these intermediaries can raise equity finance at no cost through retained earnings. However, even moderately large shocks cause their borrowing constraints to bind, leading to contractions in credit offered to firms, and requiring the intermediaries to raise further funds by paying the cost to issue equity. This leads to the occasional sharp increases in interest spreads and the countercyclical, positively skewed equity issuance that are characteristics of the credit crunches observed in the data.     

The brevity and violence of contractions and expansions

Early studies of business cycles argued that contractions in economic activity were briefer (shorter) and more violent (rapid) than expansions. This paper systematically investigates this claim and in the process discovers a robust new business cycle fact: contractions in employment are briefer and more violent than expansions but we cannot reject the null of equal brevity and violence for expansions and contractions in output. The difference arises because employment typically lags output around peaks but they coincide in their troughs. We discuss the performance of existing business cycle models in accounting for this fact, and conclude that none can fully account for it. We then show that a business cycle model with asymmetric adjustment costs on employment and a choice of when to scrap old technologies can account for the business cycle fact both qualitatively and quantitatively.