STATE DEPENDENCE IN LABOR MARKET FLUCTUATIONS

• 成果类型: Article
• 署名作者: Pizzinelli, Carlo; Theodoridis, Konstantinos; Zanetti, Francesco
• 署名单位: International Monetary Fund; Cardiff University
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12448
• 发表日期: 2020
• 页码: 1027-1072
• 关键词: cyclical behavior; technology shocks; equilibrium unemployment; uncertainty shocks; regime switches; search; DYNAMICS; MODEL; univariate

摘要

This article documents state dependence in labor market fluctuations. Using a Threshold Vector Autoregression (TVAR) model, we establish that the unemployment rate, the job separation rate, and the job-finding rate (JFR) exhibit a larger response to productivity shocks during periods with low aggregate productivity. A Diamond-Mortensen-Pissarides model with endogenous job separation and on-the-job search replicates these empirical regularities well. We calibrate the model to match the standard deviation of the job-transition rates explained by productivity shocks in the TVAR, and show that the model explains 88% of the state dependence in the unemployment rate, 76% for the separation rate and 36% for the JFR. The key channel underpinning state dependence in both job separation and JFRs is the interaction of the firm's reservation productivity level and the distribution of match-specific idiosyncratic productivity. Results are robust across several variations to the baseline model.