| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10648 |
| DP10648 Financial Frictions, Financial Shocks and Unemployment Volatility | |
| Tito Boeri; Pietro Garibaldi; Espen R. Moen | |
| 发表日期 | 2015-06-07 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | Financial market shocks and imperfections, alongside productivity shocks, represent both an impulse and a propagation mechanism of aggregate fluctuations. When labor and financial markets are imperfect, firms' funding and leverage respond to productivity changes. Models of business cycle with equilibrium unemployment largely ignore financial imperfections. The paper proposes and solves a tractable equilibrium unemployment model with imperfections in two markets. Labor market frictions are modeled via a traditional Diamond Mortensen Pissarides (DMP) model with wage positing. Financial market imperfections are modeled in terms of limited pledgeability, in line with the work of Holmstrom and Tirole. We show analytically that borrowing constraints increase unemployment volatility in the aftermath of productivity shocks. We calibrate the model to match key labor and financial moments of the US labor markets, and we perform two quantitative exercises. In the first exercise we ask whether the interaction between productivity shocks and borrowing constraints increase the volatility of unemployment with respect to models that focus only on the labor market imperfections. In the general specification of the model, both leverage and non pledgeable income move with the cycle. Our calibration exercise shows that the volatility of unemployment in response to productivity shock increases by as much as 50 percent with respect to a pure DMP model with wage posting. The second quantitative exercise explores the role of pure financial shocks on aggregate equilibrium. We calibrate pledgeability shocks to match the frequency of financial crisis and define financial distress as a situation in which internal liquidity completely dries up. The second exercise shows that full dry up of internal liquidity implies an increase in unemployment as large as 60 percent. These results throw new light on the aggregate impact of financial recessions. |
| 主题 | Labour Economics |
| 关键词 | Financial frictions Search Unemployment volatility |
| URL | https://cepr.org/publications/dp10648 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539480 |
| 推荐引用方式 GB/T 7714 | Tito Boeri,Pietro Garibaldi,Espen R. Moen. DP10648 Financial Frictions, Financial Shocks and Unemployment Volatility. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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