پویایی تورم با اصطکاک جستجو:تجزیه و تحلیل ساختاری اقتصاد سنجی

The New Keynesian Phillips curve explains inflation dynamics as being driven by current and expected future real marginal costs. In competitive labor markets, the labor share can serve as a proxy for the latter. In this paper, we study the role of real marginal cost components implied by search frictions in the labor market. We construct a measure of real marginal costs by using newly available labor market data on worker finding rates. Over the business cycle, the measure is highly correlated with the labor share. Estimates of the Phillips curve using generalized method of moments reveal that the marginal cost measure remains significant, and that inflation dynamics are mainly driven by the forward-looking component. Bayesian estimation of the full New Keynesian model with search frictions helps us disentangle which shocks are driving the economy to generate the observed unit labor cost dynamics. We find that mark-up shocks are the dominant force in labor market fluctuations.

This paper studies the determinants of real marginal cost fluctuations when there are search frictions in the labor market. Without such frictions, or any other type of labor adjustment costs, real marginal costs are identical to unit labor costs. Search frictions are a particular form of labor adjustment costs that are determined by aggregate labor market conditions, rather than being internal to the firm. They therefore give rise to long-term employment relationships since both firm and worker save future search costs by continuing their match. This dual role of search frictions motivates our interest in how they alter the nature of real marginal costs, which in turn are the key determinants of inflation dynamics in business cycle models with monopolistic price setting and price rigidities.

In this paper, we develop and estimate a baseline New Keynesian model with labor market frictions. We find a relatively low impact of search frictions on the cyclical variation of real marginal costs beyond that of real unit labor costs. From the structural estimation of the full model we identify the sources of macroeconomic fluctuations that are needed to explain labor market dynamics and inflation. Exogenous movements in the marginal revenue product of labor associated with changes in desired mark-ups help explain vacancy and unemployment fluctuations without any effect on inflation. We arrive at these results using both limited- and full-information estimation techniques. The limited-information estimation based on GMM, shows that the labor share (or unit labor costs) and real marginal costs exhibit very similar dynamics, which appear unaffected by the inclusion of labor market variables. The full-information Bayesian estimation of the model confirms the dichotomy between labor market frictions and inflation, and furthermore identifies the importance of mark-up shocks as a driving force of business cycles.