Intersectoral Labor Immobility, Sectoral Comovement, and News Shocks

Munechika Katayama, Kwang Hwan Kim

    Research output: Contribution to journalArticle

    1 Citation (Scopus)

    Abstract

    Sectoral comovement of output and hours worked is a prominent feature of business cycle data. However, most two-sector neoclassical models fail to generate this sectoral comovement. We construct and estimate a two-sector neoclassical Dynamic Stochastic General Equilibrium (DGSE) model generating sectoral comovement in response to both anticipated and unanticipated shocks. The key to our model's success is a significant degree of intersectoral labor immobility, which we estimate using data on sectoral hours worked. Furthermore, we demonstrate that imperfect intersectoral labor mobility provides a better explanation for the sectoral comovement than an alternative model emphasizing the role of labor-supply wealth effects.

    Original languageEnglish
    Pages (from-to)77-114
    Number of pages38
    JournalJournal of Money, Credit and Banking
    Volume50
    Issue number1
    DOIs
    Publication statusPublished - 2018 Feb 1

    Fingerprint

    Labor
    Comovement
    News shocks
    Hours worked
    Labour mobility
    Labor supply
    Business cycles
    Wealth effect
    Dynamic stochastic general equilibrium model
    Neoclassical model
    Alternative models

    Keywords

    • labor immobility
    • news shocks
    • nonseparable preferences
    • sectoral comovement
    • unanticipated shocks

    ASJC Scopus subject areas

    • Accounting
    • Finance
    • Economics and Econometrics

    Cite this

    Intersectoral Labor Immobility, Sectoral Comovement, and News Shocks. / Katayama, Munechika; Kim, Kwang Hwan.

    In: Journal of Money, Credit and Banking, Vol. 50, No. 1, 01.02.2018, p. 77-114.

    Research output: Contribution to journalArticle

    @article{3a8623eadec3401681245349710e834e,
    title = "Intersectoral Labor Immobility, Sectoral Comovement, and News Shocks",
    abstract = "Sectoral comovement of output and hours worked is a prominent feature of business cycle data. However, most two-sector neoclassical models fail to generate this sectoral comovement. We construct and estimate a two-sector neoclassical Dynamic Stochastic General Equilibrium (DGSE) model generating sectoral comovement in response to both anticipated and unanticipated shocks. The key to our model's success is a significant degree of intersectoral labor immobility, which we estimate using data on sectoral hours worked. Furthermore, we demonstrate that imperfect intersectoral labor mobility provides a better explanation for the sectoral comovement than an alternative model emphasizing the role of labor-supply wealth effects.",
    keywords = "labor immobility, news shocks, nonseparable preferences, sectoral comovement, unanticipated shocks",
    author = "Munechika Katayama and Kim, {Kwang Hwan}",
    year = "2018",
    month = "2",
    day = "1",
    doi = "10.1111/jmcb.12454",
    language = "English",
    volume = "50",
    pages = "77--114",
    journal = "Journal of Money, Credit and Banking",
    issn = "0022-2879",
    publisher = "Wiley-Blackwell",
    number = "1",

    }

    TY - JOUR

    T1 - Intersectoral Labor Immobility, Sectoral Comovement, and News Shocks

    AU - Katayama, Munechika

    AU - Kim, Kwang Hwan

    PY - 2018/2/1

    Y1 - 2018/2/1

    N2 - Sectoral comovement of output and hours worked is a prominent feature of business cycle data. However, most two-sector neoclassical models fail to generate this sectoral comovement. We construct and estimate a two-sector neoclassical Dynamic Stochastic General Equilibrium (DGSE) model generating sectoral comovement in response to both anticipated and unanticipated shocks. The key to our model's success is a significant degree of intersectoral labor immobility, which we estimate using data on sectoral hours worked. Furthermore, we demonstrate that imperfect intersectoral labor mobility provides a better explanation for the sectoral comovement than an alternative model emphasizing the role of labor-supply wealth effects.

    AB - Sectoral comovement of output and hours worked is a prominent feature of business cycle data. However, most two-sector neoclassical models fail to generate this sectoral comovement. We construct and estimate a two-sector neoclassical Dynamic Stochastic General Equilibrium (DGSE) model generating sectoral comovement in response to both anticipated and unanticipated shocks. The key to our model's success is a significant degree of intersectoral labor immobility, which we estimate using data on sectoral hours worked. Furthermore, we demonstrate that imperfect intersectoral labor mobility provides a better explanation for the sectoral comovement than an alternative model emphasizing the role of labor-supply wealth effects.

    KW - labor immobility

    KW - news shocks

    KW - nonseparable preferences

    KW - sectoral comovement

    KW - unanticipated shocks

    UR - http://www.scopus.com/inward/record.url?scp=85040828154&partnerID=8YFLogxK

    UR - http://www.scopus.com/inward/citedby.url?scp=85040828154&partnerID=8YFLogxK

    U2 - 10.1111/jmcb.12454

    DO - 10.1111/jmcb.12454

    M3 - Article

    VL - 50

    SP - 77

    EP - 114

    JO - Journal of Money, Credit and Banking

    JF - Journal of Money, Credit and Banking

    SN - 0022-2879

    IS - 1

    ER -