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Pré-Publication, Document De Travail Année : 2015

Credit imperfections, labor market frictions and unemployment: a DSGE approach

Résumé

We construct a new-Keynesian DSGE model, integrating sticky prices in goods market and frictions in labor and credit markets. A search and matching process in the labor market and a costly state verification framework in the credit market are introduced. Capital spending, vacancy posting costs and wage bill need to be paid in advance of production and thus require external financing in a frictional credit market. According to our theoretical model, we find that the procyclicality of the risk premium impacts the vacancy posting decision, the wage and unemployment levels in the economy. Credit market frictions may be the source of lower posting vacancies and higher unemployment level. Indeed, asymmetric information pushes up wholesale firms' marginal costs, as well as hiring costs by a financial mark-up charged by financial intermediaries. This financial mark-up is then transmitted by these firms on prices. Thus, it affects their hiring behavior, as well as wage and employment levels in the economy. An empirical evidence is then presented by estimating dynamic responses of labor and credit markets variables to identified monetary and credit shocks, using a structural Bayesian VAR method. Notably, after a shock on the risk premium, we observe a hump-shaped increase of unemployment and an increase of real wages. According to our theoretical model, it represents the higher marginal costs incurred by wholesale firms due to the increase of the financial mark-up.
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Dates et versions

hal-01082491 , version 1 (13-11-2014)
hal-01082491 , version 2 (07-04-2015)
hal-01082491 , version 3 (13-10-2015)

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  • HAL Id : hal-01082491 , version 2

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Imen Ben Mohamed, Marine Salès. Credit imperfections, labor market frictions and unemployment: a DSGE approach. 2015. ⟨hal-01082491v2⟩
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