Does Unemployment Risk Affect Business Cycle Dynamics?

• 成果类型: Article
• 署名作者: Graves, Sebastian
• 署名单位: University of Cambridge
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20220071
• 发表日期: 2025
• 页码: 65-100
• 关键词: cyclicality; consumption; INVESTMENT; benefits; shocks

摘要

In this paper, I show that the decline in consumption during unemployment depends on both liquid and illiquid wealth; that unemployment predicts illiquid asset withdrawal, primarily when households have few liquid assets; and that increased idiosyncratic unemployment risk leads to a rise in saving overall, but also to a decline in investment in illiquid assets. Motivated by these new findings, I embed endogenous unemployment risk in a two-asset, heterogeneous-agent New Keynesian model. The model is consistent with the new evidence and suggests that aggregate shocks are amplified by a flight-to-liquidity when unemployment risk rises, particularly when monetary policy is constrained. (JEL E12, E21, E24, E52, G51)