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

    Keywords

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

    ASJC Scopus subject areas

    • Accounting
    • Finance
    • Economics and Econometrics

    Fingerprint Dive into the research topics of 'Intersectoral Labor Immobility, Sectoral Comovement, and News Shocks'. Together they form a unique fingerprint.

  • Cite this