Asset Prices and Unemployment Fluctuations: A Resolution of the Unemployment Volatility Puzzle
Review of Economic Studies · 2022 · Patrick J. Kehoe、Pierlauro Lopez、Virgiliu Midrigan、Elena Pastorino
中文摘要
近期研究表明，失业波动率之谜的既有解答与就业机会成本的顺周期性、工资的周期性以及无风险利率的波动性相矛盾。我们通过纳入两个关键特征，提出一个对这些批评免疫的经济周期模型。首先，我们允许偏好设定在经济周期中产生时变风险，以解释观测到的资产价格波动。其次，我们引入人力资本获取，这与工资随劳动力市场经验增长而提高的证据相一致。我们的模型能够再现观测到的失业波动，原因在于雇佣一名工人是一项具有长久期回报的风险投资。与数据一致，我们模型中的风险价格在衰退期急剧上升。因此，雇佣新工人的收益大幅下降，导致职位空缺大幅减少以及与数据量级相同的失业增加。我们表明，我们的结果可扩展至包含物质资本、工人生命周期以及资产定价文献中常见的替代偏好结构的模型版本。
Abstract
Abstract Recent work has demonstrated that existing solutions of the unemployment volatility puzzle are at odds with the procylicality of the opportunity cost of employment, the cyclicality of wages, and the volatility of risk-free rates. We propose a model of business cycles that is immune to these critiques by incorporating two key features. First, we allow for preferences that generate time-varying risk over the business cycle to account for observed fluctuations in asset prices. Second, we introduce human capital acquisition, as is consistent with the evidence on how wages grow with experience in the labor market. Our model reproduces the observed fluctuations in unemployment because hiring a worker is a risky investment with long-duration returns. As in the data, the price of risk in our model sharply increases in recessions. The benefit from hiring new workers therefore greatly declines, leading to a large decrease in job vacancies and an increase in unemployment of the same magnitude as in the data. We show that our results extend to versions of the model that include physical capital, a life cycle for workers, and alternative preference structures common in the asset-pricing literature.