Financial Shocks and the Cyclical Behavior of Skilled and Unskilled Unemployment

Abstract

Nous étudions l'effet de chocs financiers sur la dynamique du marché du travail. Nous développons un modèle avec deux types de travailleurs et deux types de capital, ainsi que des frictions financières et sur le marché du travail. Nous constatons que les chocs financiers, modélisés comme des perturbations exogènes de la contrainte d'endettement des entreprises, peuvent générer des mouvements réalistes de l'emploi agrégé et reproduire la volatilité et contracyclicité du rapport entre l'emploi qualifié et non qualifié, observés dans les données. Le resserrement des conditions financières affecte l'emploi par trois canaux : i) la baisse de la productivité marginale du travail, en raison d'une réduction du capital total ii) l'augmentation du coût implicite de la main d'oeuvre en termes de financement externe et iii) une rigidité endogène des salaires, provoquée par une augmentation à court terme de la consommation des ménages et de leur valeur marginale du temps. La volatilité de l'emploi relatif s'explique par cette rigidité endogène des salaires ainsi que le calibrage du modèle, qui impliquent une plus forte probabilité de ré-embauche et des coûts de recrutement plus faibles pour les travailleurs non qualifiés.

Collateral Constraints and the Interest Rate

“…The results show that there is a negative impact on output and asset prices in the short‐term from a financial disruption. Jermann and Quadrini () and Lopez and Moppett () also finds a significant negative impact on real variables from this type of shock. Adjusting the model further away from the infinite horizon case through the probability of survival leads to slightly greater output decreases in the short run in response to a borrowing shock.…”

“…The specification of these additional features is the same as that in Iacoviello (2005). The addition of a shock variable to the borrowing constraint in a collateral constraints type model follows Jermann and Quadrini (2012) and Lopez and Moppett (2014). In these papers, a stochastic disturbance is added to firms' borrowing constraint, innovations of which affect firms' ability to borrow and are termed financial shocks.…”

Financial disruptions and the cyclical upgrading of labor

“…Closest to our focus on financial shocks and employment are Monacelli, Quadrini, and Trigari (2012), Lopez and Olivella (2014), and Garín (2015), who focus on the importance of financial imperfections, their associated disturbances, and the labor market in a general equilibrium environment. Monacelli, Quadrini, and Trigari (2012) and Garín (2015) use variants of a one-sector, one-employmenttype search model and show that financial shocks contribute to larger employment fluctuations relative to models without such shocks.…”

“…Finally, Lopez and Olivella (2014) use a model with skilled and unskilled employment and, following Jermann and Quadrini (2012), construct time series for TFP and financial conditions to assess these shocks' role in matching the dynamics of U.S. skilled-vs.-unskilled employment. They show that a model with employment heterogeneity and financial shocks can reproduce a significant portion of unemployment fluctuations in the data.…”

“…Our general approach to analyzing financial shocks, which also applies Jermann and Quadrini's (2012) methodology to construct TFP and financial shocks, is in line with Lopez and Olivella (2014).…”