the value of hiring through employee referrals using personnel data from nine large firms in three industries call centers trucking and high tech we empirically assess the benefit to firms of hiring through employee referrals compared to nonreferred applicants referred applicants are more likely to be hired and more likely to accept offers even though referrals and nonreferrals have similar skill characteristics referred workers tend to have similar productivity compared to nonreferred workers on most measures but referred workers have lower accident rates in trucking and produce more patents in high tech referred workers are substantially less likely to quit and earn slightly higher wages than nonreferred workers in call centers and trucking the two industries for which we can calculate worker level profits referred workers yield substantially higher profits per worker than nonreferred workers these profit differences are driven by lower turnover and lower recruiting costs for referrals jel codes j24 m51 j30 j63

moral hazard in lending and labor market volatility when the economy experiences a sharp economic downturn credit spreads widen and project financing costs for firms rise as funding sources begin to dry up the economy experiences a lengthy recovery with unemployment rates slow to return to full employment levels we develop a model that displays these features it relies on an interaction between labor search frictions and firm level moral hazard that is accentuated during recessions the model is capable of addressing the shimer puzzle with labor market variables exhibiting significantly more volatility on average as a result of the heightened moral hazard concerns during these episodes that significantly deepen and prolong periods of high unemployment as vacancy postings fall dramatically and the job finding rate declines our mechanism is also found to induce internal shock propagation causing the peak response of output unemployment and wages to occur with a several quarter delay relative to a model without such frictions many other labor market variables also show slower recovery their return to preshock level occurs at a slower pace for a number of periods after the peak response

equilibrium in the labor market with search frictions christopher a pissarides delivered his prize lecture on 8 december 2010 at aula magna stockholm university this abstract was borrowed from another version of this item

unemployment and the coverage extension of collective wage agreements abstract this paper examines how the extension of collective wage bargaining agreements to non unionized firms affects unemployment testing a large number of econometric specifications on data from 15 oecd countries observed between 1965 and 2007 we find a positive significant and robust interaction between the tax wedge and the degree of coverage extension of collective wage bargaining agreements more specifically our results suggest that the tax wedge has a larger positive effect on unemployment than any other labour market policy in countries with wide extension of collective wage agreements coverage such as france or spain conversely in countries where coverage extension is close to zero as in nordic countries unemployment is essentially insensitive to changes in the tax wedge

the forecasting approach to efficiency in the wool market this paper develops and presents estimates of a simultaneous equations model of the australian wool market the world s largest producer and exporter of fine wool the model contains functional relationships for unhedged inventories consumption of raw wool and the activities of both hedgers and speculators in wool futures expectations are represented by the adaptive hypothesis this model extends the work of leuthold and hartmann 1979 and leuthold and garcia 1988 by including expectations in the spot futures model and that of goss and giles 1986 by including composite equations for hedger speculators extending the expectations hypothesis to the consumption equation and by using the model to test the efficient markets hypothesis wald tests and likelihood ratio tests for unit roots in wool cash prices are conducted and in no case can the hypothesis of a single unit root be rejected estimation is by three stage least squares with correction for first order serial correlation the model provide

simulation and optimization approaches to scenario tree generation in this paper three approaches are presented for generating scenario trees for 3nancial portfolio problems these are based on simulation optimization and hybrid simulation optimization in the simulation approach the price scenarios at each time period are generated as the centroids of random scenario simulations generated sequentially or in parallel the optimization method generates a number of discrete outcomes which satisfy speci3ed statistical properties by solving either a sequence of non linear optimization models one at each node of the scenario tree or onelargeoptimization proble m in thehybrid approach theoptimization proble m is re duce d in size by 3xing price variables to values obtained by simulation these procedures are backtested using historical data and computational results are presented 2003 elsevier b v all rights reserved

the ins and outs of european unemployment in this paper we study the contribution of inflows and outflows to the dynamics of unemployment in three european countries the united kingdom france and spain all countries are interesting in their own right and in the comparison with each other britain s labour markets were strictly regulated up to the mid 1980s but they have been liberalized since then france is still a regulated economy compared with britain with unemployment averaging about 8 spain has had the biggest rise in unemployment in europe reaching 24 in the mid 1990s but policy reforms and fast growth since then brought it down to a level below france s we compare performance in these three countries making use of both administrative and labor force survey data we find that the impact of the 1980s reforms in britain is evident in the contributions of the inflow and outflow rates the inflow rate became a bigger contributor after the mid 1980s although its significance subsided again in the late 1990s and 2000s in france the dynamics of unemployment are driven by the outflow rate virtually entirely which is consistent with a regime with strict employment protection legislation in spain however both rates contribute significantly to the dynamics perhaps as a consequence of the prominence of fixed term contracts since the late 1980s

does online search crowd out traditional search and improve matching efficiency evidence from craigslist ever since the seminal work of stigler 1962 economists have recognized that information in markets is costly to acquire and can lead to search frictions the remarkable growth in online search has substantially lowered the cost of information acquisition despite this there is little evidence concerning the extent to which this has altered the search process and raised overall matching efficiency to address this issue we analyze the expansion of the website craigslist which allows users to post job ads and apartment and housing rental ads at virtually no cost exploiting the sharp geographic and temporal variation in the availability of online search induced by craigslist we produce three key findings craigslist significantly lowered classified job advertisements in newspapers caused a significant reduction in the apartment and housing rental vacancy rate and had no effect on the unemployment rate

the ins and outs of uk unemployment this study shows that in the uk increases in unemployment in a recession are driven by rises in the separation rate a new decomposition of unemployment dynamics is devised that does not require unemployment to be in steady state at all times this is important because low uk transition rates one quarter the size of the us imply substantial deviation of unemployment from steady state near cyclical turning points in periods of moderation the job finding rate is shown to have most influence on uk unemployment dynamics evidence comes from the first study of monthly data derived from individuals labour market spells recorded in the british household panel survey from 1988 to 2008

wage and technology dispersion this paper explains why firms with identical opportunities may use different technologies and offer different wages our key assumption is that workers must engage in costly search in order to gather information about jobs stigler 1961 in equilibrium some firms adopt high fixed cost high productivity technologies offer high wages and fill job openings quickly other firms adopt less capital intensive technologies and offer low wages hiring mostly uninformed workers in equilibrium the amount of wage dispersion leaves workers indifferent about whether to gather information and the fraction of informed workers leaves firms indifferent about their wage and technology choice we show that worker search which would appear to be a rent seeking activity in partial equilibrium may be efficiency enhancing in general equilibrium

the ins and outs of unemployment in canada 1976 2008 this paper studies the flows into and out of unemployment in canada at an aggregate and a number of disaggregated levels i find that inflows into unemployment are countercyclical and outflows are procyclical at an aggregate level changes in the rate at which individuals leave unemployment account for most of the changes in unemployment rates in canada between 1976 and 2008 however flows into unemployment matter more at some disaggregated levels there are also some differences in the contributions of flows into and out of unemployment to changes in unemployment rates across the 1981 82 and 1990 92 recessions ce texte etudie les entrees et sorties du chomage au canada au niveau agrege et a un certain nombre de niveaux de desagregation on decouvre que les entrees en chomage sont contre cycliques et les sorties pro cycliques au niveau agrege les changements dans le taux de sorties du chomage expliquent le gros des changements dans les taux de chomage au canada entre 1976 et 2008 cependant les flux a l entree sont plus importants a certains niveaux de desagregation on note aussi des differences dans la contribution des flux a l entree et a la sortie du chomage aux changements dans les taux de chomage au cours des recessions de 1981 82 et de 1990 92

help wanted job needed estimates of a matching function from employment service data i estimate a function that matches vacant jobs and unemployed workers to produce new hires israeli law requiring vacancy registration yields unique data quality the literature underestimates matching function coefficients because of a simultaneity bias as the outflow of hires depletes stocks of unemployed and vacancies instruments and a new simulation method address this bias a new test reveals strong evidence of heterogeneity in unemployed and vacancies estimates imply labor market dynamics that absorb shocks completely within only 2 months reductions in the hire rate of referrals can explain a 2 1 percentage point increase in unemployment between 1978 and 1990

competitive search equilibrium in this paper i construct an equilibrium for markets with frictions which is competitive in the sense that all agents are price takers and maximize utility subject to a set of market parameters i show that the equilibrium allocation is socially optimal i also show how the competitive search equilibrium can be achieved if employers with vacancies can advertise publicly the wages they pay

search theoretic models of the labor market a survey we survey the literature on search theoretic models of the labor market we show how this approach addresses many issues including the following why do workers sometimes choose to remain unemployed what determines the lengths of employment and unemployment spells how can there simultaneously exist unemployed workers and unfilled vacancies what determines aggregate unemployment and vacancies how can homogeneous workers earn different wages what are the tradeoffs firms face from different wages how do wages and turnover interact what determines efficient turnover we discuss various modeling choices concerning wage determination and the meeting process including recent models of directed search

secular labor reallocation and business cycles we study the eect of mean preserving idiosyncratic industry shocks on business cycle outcomes we develop an empirical methodology using a local area s exposure to industry reallocation based on the area s initial industry composition and employment trends in the rest of the country over a full employment cycle using confidential employment data by local area and industry over the period 1980 2014 we find sharp evidence of reallocation contributing to worse employment outcomes during national recessions but not during national expansions we repeat our empirical exercise in a multi area multi sector search and matching model of the labor market the model reproduces the empirical results subject to inclusion of two key empirically plausible frictions imperfect mobility across industries and downward nominal wage rigidity combining the empirical and model results we conclude that reallocation can generate substantial amplification and persistence of business cycles at both the local and the aggregate level

on the importance of the participation margin for labor market fluctuations abstract conventional analyses of labor market fluctuations ascribe a minor role to labor force participation we show by contrast that flows based analyses imply that the participation margin accounts for around one third of unemployment fluctuations a novel stock flow apparatus establishes these facts delivering three further contributions first the role of the participation margin appears robust to adjustments for spurious transitions induced by reporting error second conventional stocks based analyses are subject to a stock flow fallacy neglecting offsetting forces of worker flows on the participation rate third increases in labor force attachment among the unemployed during recessions are a leading explanation for the role of the participation margin

the cyclicality of labor market flows a multiple shock approach abstract in this paper we aim to establish some stylized facts about the relative contributions of the job finding and separation rates to unemployment dynamics depending on the nature of structural shocks the shocks in our bayesian structural var model are identified using a sign restriction approach and capture shifts in the three conditions determining labor market equilibrium in matching models the beveridge curve and the job creation and job destruction conditions using both us and french data we identify an aggregate shock to match profitability the aggregate profitability shock a shock specific to existing jobs the reallocation shock and a shock to the efficiency of the matching process the matching efficiency shock we find that the relative contributions of the job finding and separation rates are notably different across shocks in both countries but are similar across countries for each type of shock labor market dynamics appear to be transatlantic despite well known institutional differences however it must be emphasized that the reaction of the labor market variables to the matching efficiency shock seems more muted in the us than in france

dynamic models for fixed income portfolio management under uncertainty abstract we develop multi period dynamic models for fixed income portfolio management under uncertainty using multi stage stochastic programming with recourse the models integrate the prescriptive stochastic programs with descriptive monte carlo simulation models of the term structure of interest rates extensive validation experiments are carried out to establish the effectiveness of the models in hedging against uncertainty and to assess their performance vis a vis single period models an application to tracking the salomon brothers mortgage index is reported with very encouraging results results that establish the efficacy of the models in hedging against out of sample scenarios are also reported for an application from money management the multi period models outperform classical models based on portfolio immunization and single period models

the cyclicality of separation and job finding rates this paper uses cps gross flow data to analyze the business cycle dynamics of separation and job finding rates and to quantify their contributions to overall unemployment variability cyclical changes in the separation rate are negatively correlated with changes in productivity and move contemporaneously with them while the job finding rate is positively correlated with and tends to lag productivity contemporaneous fluctuations in the separation rate explain between 40 and 50 percent of fluctuations in unemployment depending on how the data are detrended this figure becomes larger when dynamic interactions between the separation and job finding rates are considered

is skill mismatch impeding u s economic recovery as the labor market continues its slow return to health following the great recession economic policymakers have been concerned that unemployed workers do not have the skills required for the jobs

did the job ladder fail after the great recession we study employment reallocation across employers through the lens ofa dynamic job ladder model workers always agree on a ranking ofemployers at all points in time and search for better jobs both offand on the job a parsimonious version of the model fits well the timeseries of gross worker flows by employer size from newly available usdata from the job openings and labor turnover survey focusing on the us experience in and around the great recession our evidence indicates that the job ladder stopped working then and has not fully resumed yet

modelling the dynamics of regional employment population ratios and their commonality this paper looks at movements over time in regional employment population ratios an important and much neglected determinant of regional performance we utilise data on gross flows into and out of employment and focus on information contained in the transition rates the paper applies an unobserved components econometric model to a panel of australian data to identify and explain the evolution of regional employment population ratios over time the approach identifies a common i e nationwide factor while allowing for region specific effects including region specific impacts of the common factor the contribution of the common factor to changes in regional employment population ratios ranges between 38 and 80 conversely regional elements explain between 20 and 62 of changes the findings highlight the importance of adopting explicit regional employment policies as a complement to national policy

successful employer search an empirical analysis of vacancy duration using micro data this paper provides the first estimates of the determinants of the duration of employer search in the uk we model duration until a vacancy is either successfully filled or withdrawn from the market the econometric techniques deal with multiple vacancies and unobserved heterogeneity dependent risks using flexible and parametric baseline hazards the hazards to filling and withdrawing exhibit negative and positive duration dependence respectively implying that the conditional probability of successful employer search decreases with duration we also find that nonmanual vacancies are less likely to fill consistent with there being skill shortages in the sample period

forecasting unemployment across countries the ins and outs abstract this paper evaluates the flow approach to unemployment forecasting proposed by barnichon and nekarda 2012 for a set of oecd countries characterized by very different labor markets we find that the flow approach yields substantial improvements in forecast accuracy over professional forecasts for all countries with especially large improvements at longer horizons one year ahead forecasts for european countries moreover the flow approach has the highest predictive ability during recessions and turning points when unemployment forecasts are most valuable

identifying asymmetric effects of labor market reforms abstract this paper proposes a novel approach to identify structural long term driving forces of the labor market and their short run state dependent effects based on search and matching theory our empirical model extracts these driving forces within an unobserved components approach we relate changes in the labor market structures to reforms that enhance the flexibility of the labor market in expansion and recession results for germany and spain show that labor market reforms have substantially weaker beneficial effects in the short run when implemented in recessions from a policy perspective these results highlight the costs of introducing reforms in recessions

time variation in the dynamics of worker flows evidence from north america and europe vector autoregressive methods have been used to model the interrelationships between job vacancy rates job separation rates and job finding rates using tools such as impulse response analysis we investigate whether such impulse responses change across the business cycle or over time by estimating time varying parameter vector autoregressions for data from north america the usa and canada and europe france spain and the uk while the adjustment process of the labour market to shocks in canada and the usa is similar we find the adjustment process differs much more across the european countries with greater persistence in shocks relative to the usa and canada

employer search training and vacancy duration we develop a model of optimal employer search strategy when information about match quality is endogenous the model is tested using four data sets two of which have not previously been used as theory predicts we find that when filling positions requiring more training employers search more intensively and extensively employers also search more extensively when hiring workers with more education and with prior experience these findings provide strong evidence of systematic variation in search strategies based on the characteristics of the positions and job applicants factors that influence employer search also affect the duration of a vacancy

marketplaces and matching this paper models equilibrium trading patterns when marketplaces exist and goods are differentiated when first visiting the market a buyer samples a stock of goods if fortunate the buyer matches with and purchases one of these goods and then exits the market if an initial match does not exist the buyer can now only match with the flow of new goods for sale the previous stock has been sampled and rejected in a steady state the current stock of unmatched traders on one side of the market is trying to match with the flow of new traders on the other side it is shown that this market behaviour describes matching patterns between unemployed job seekers and vacancies in uk job centres

post tax optimization with stochastic programming abstract in this paper we consider a stochastic programming approach to multistage post tax portfolio optimization asset performance information is specified as a scenario tree generated by two alternative methods based on simulation and optimization we assume three tax wrappers involving the same instruments for an efficient investment strategy and determine optimal allocations to different instruments and wrappers the tax rules are integrated with the linear and mixed integer stochastic models to yield an overall tax and return efficient multistage portfolio the computational performance of these models is tested using a case study with different scenario trees our experiments show that optimal portfolios obtained by both linear programming and mixed integer stochastic models diversify over wrappers and the original capital is distributed among assets within each wrapper

the role of worker flows in the dynamics and distribution of uk unemployment unemployment varies substantially over time and across sub groups of the labour market worker flows among labour market states act as key determinants of this variation we examine how the structure of unemployment across groups and its cyclical movements across time are shaped by changes in labour market flows using novel estimates of flow transition rates for the uk over the last 35 years we decompose unemployment variation into parts accounted for by changes in rates of job loss job finding and flows via non participation close to two thirds of the volatility of unemployment in the uk over this period can be traced to rises in rates of job loss that accompany recessions the share of this inflow contribution has been broadly the same in each of the past three recessions decreased job finding rates account for around one quarter of unemployment cyclicality and the remaining variation can be attributed to flows via non participation digging deeper into the structure of unemployment by gender age and education the flow approach is shown to provide a richer understanding of the unemployment experiences across population sub groups

toward a theory of vacancies we attempt to further characterize the search strategies of the employer in the article we discuss how characteristics of the employer or conditions that the employer faces affect the optimal search strategies and the probability of filling a vacancy in each period semiparametric and parametric methods are used to estimate hazard rates of filling vacancies the results suggest that for the given sample of vacancies the general form of the hazard function is nonmonotonic additionally the results suggest that those employers who have advance notice of the vacancy may search longer than those employers who do not

optimal fiscal policy with labor selection this paper characterizes long run and short run optimal scal policy in the labor selection framework quantitatively the time series volatility of the labor income tax rate is orders of magnitude larger than the tax smoothing results based on walrasian labor markets but is a few times smaller than the results based on search and matching labor markets to understand these results in terms of model primitives we develop a welfare relevant analytic concept of externalities for the selection model which we label tightness this concept of tightness is the source of the decentralized economy s inecient cross sectional wage premia between the average newly hired worker and the marginal newly hired worker compared to the traditional concept of labor market tightness in the search and matching literature this new concept of tightness plays a highly similar role and like in the matching model is crucial for understanding eciency and optimal policy

entry costs and labor market dynamics abstract we study the cyclical dynamics of the value of a vacant position in labor markets characterized by search and matching frictions we present a model of aggregate fluctuations in which firms face sunk costs to enter the production process our specification of sunk costs gives rise to a countercyclical value of a vacancy we find that this overlooked object has important quantitative implications for the study of labor markets and business cycles it affects the cyclical dynamics of the surplus division between workers and firms and provides a better characterization of the movements in income shares over recessions and expansions understanding movements in the value of a vacant position helps to link the dynamics of income shares with recent volatility puzzles found in models of search and matching in labor markets

personal taxation pension wealth and portfolio composition this paper emphasizes the roles played by personal taxation and pension wealth in portfolio choice and composition a theoretical discussion of the impacts of taxation and participation in social security and private pension systems on individual wealth allocation is followed by empirical evidence based on u s cross section data both effects prove to be significant anticipated social security and private pension benefits exert a measurable influence on household portfolio allocation their omission from an asset demand model may lead to a misinterpretation of the impact of taxation on portfolio composition

futures market efficiency in the soybean complex 13 1 rev division of agricultural sciences university of ifornla working paper no 139 r i j futures market efficiency in the soybean complex gordon c rausser and colin carter giannini foundation of agricultural economics l ibraili v im california agric u l tural elqieriment station giannini foundation of agricultural economics march 1982

a mixed integer programming model for multistage mean variance post tax optimization abstract in this paper we introduce a mixed integer stochastic programming approach to mean variance post tax portfolio management this approach takes into account of risk in a multistage setting and allows general withdrawals from original capital the uncertainty on asset returns is specified as a scenario tree the risk across scenarios is addressed using the probabilistic approach of classical stochastic programming the tax rules are used with stochastic linear and mixed integer quadratic programming models to compute an overall tax and return risk efficient multistage portfolio the incorporation of the risk term in the model provides robustness and leads to diversification over wrappers and assets within each wrapper general withdrawals and risk aversion have an impact on the distribution of assets among wrappers computational results are presented using a study with different scenario trees in order to show the performance of these models

job vacancy rates in the firm an empirical analysis this paper presents some evidence on the magnitudes and determinants of job vacancy rates in us firms based on data from a survey in 1980 and 1982 the results show low overall vacancy rates but substantial variation across firms occupations industries and local areas local unemployment unionization and employer size have negative effects on vacancy rates while turnover and sales growth have positive effects the results are generally consistent with the predictions of job matching models

vacancy posting job separation and unemployment fluctuations abstract what is the relative importance of hiring and separation in driving unemployment fluctuations this paper presents a framework to decompose the moments of unemployment and study the respective contributions of vacancy posting a measure of firms hiring efforts and separation separation accounts for about 40 of unemployment s variance compared to 60 for vacancy posting and contributes to about 60 of unemployment steepness asymmetry the fact that unemployment increases faster than it decreases further while vacancy posting is on average the most important contributor of unemployment fluctuations the opposite is true around business cycle turning points when separation is responsible for most of unemployment movements

on the determinants of uk unemployment and the great recession analysing the gross flows data this article provides a detailed analysis of the gross worker flows data in the united kingdom between 1997 and 2010 with particular emphasis on the 2008 2009 recession and its aftermath utilizing flows data from the labour force survey lfs the dominant macroeconomic factors driving unemployment in the united kingdom before during and after the recessionary period are identified amongst the salient findings of this article is a striking decline in job to job movements throughout and beyond the recent recession this discovery adds a new dimension to the existing literature in this field

a matching model with endogenous skill requirements we consider a labor market in which workers differ in their abilities and jobs differ in their skill requirements the distribution of worker abilities is exogenous but we model the choice of skill requirements by firms high skill jobs produce more output than low skill jobs but high skill jobs require high skill workers and thus are more difficult to fill we use a matching model together with a nash bargaining approach to wage setting to determine the equilibrium mix of job types along with the equilibrium relationship between worker and job characteristics wages and unemployment

stock flow matching this paper develops and quantifies the implications of the stock flow matching model for unemployment job vacancies and worker flows workers and jobs are heterogeneous so most worker job pairs cannot profitably match leading to the coexistence of unemployed workers and job vacancies productivity shocks cause fluctuations in the number of active jobs which in turn cause fluctuations in labor market outcomes we derive exact expressions for employment and worker transition rates in a finite economy and analyze their limiting behavior in a large economy a calibrated version of the model is consistent with the co movement of labor market variables observed in u s data and can explain about one third of their volatility

debt hangover in the aftermath of the great recession following the great recession u s government debt levels exceeded 100 of output we develop a macroeconomic model to evaluate the role of various shocks during and after the great recession labor market shocks have the greatest impact on macroeconomic activity we then evaluate the consequences of using alternative fiscal policy instruments to implement a fiscal austerity program to return the debt output ratio to its pre great recession level our welfare analysis reveals that there is not much difference between applying fiscal austerity through government spending the labor income tax or the consumption tax using the capital income tax is welfare reducing

scenario generation and stochastic programming models for asset liability management in this paper we develop and test scenario generation methods for asset liability management models we propose a multi stage stochastic programming model for a dutch pension fund both randomly sampled event trees and event trees fitting the mean and the covariance of the return distribution are used for generating the coefficients of the stochastic program in order to investigate the performance of the model and the scenario generation procedures we conduct rolling horizon simulations the average cost and the risk of the stochastic programming policy are compared to the results of a simple fixed mix model we compare the average switching behavior of the optimal investment policies our results show that the performance of the multi stage stochastic program could be improved drastically by choosing an appropriate scenario generation method

hiring through referrals abstract an equilibrium search model of the labor market is combined with a social network the key features are that the workers network transmits information about jobs and that wages and firm entry are determined endogenously empirically the inter industry variation in aggregate matching efficiency is attributed to variation in referral use the model predicts that the efficiency of the aggregate matching function is pro cyclical which is consistent with empirical evidence

employment inequality why do the low skilled work less now abstract low skilled prime age men are less likely to be employed than high skilled prime age men and the differential has increased since the 1970s i build a search model encompassing three explanations 1 automation and trade reduced the demand for low skilled workers 2 health welfare and recreational gaming computer technology reduced the supply of low skilled workers and 3 factors affecting job search such as online job boards reduced frictions for high skilled workers i find a shift in demand away from low skilled workers was the leading cause a shift in supply had little effect and search frictions actually reduced employment inequality

cross section estimation of the matching function evidence from england and wales this paper analyses how the levels of unemployment and vacancies affect the rate at which unemployed workers find employment the worker firm matching function in particular we test the robustness of previous empirical work by checking whether we obtain the same estimated function using cross section data rather than aggregate time series data we find strong evidence of constant returns to scale similar to previous work we also find larger cities have higher wages this provides indirect support for increasing returns but where those returns are taken in the form of better quality matches

sclerosis and large volatilities two sides of the same coin abstract the labor market in germany is more sclerotic and volatile than in the us we show theoretically that sclerosis and large volatilities are two sides of the same coin both may be driven by large hiring costs and low quit rates

interest rates and efficiency in medieval wool forward contracts while it is commonly believed that derivative instruments are a recent invention we document the existence of forward contracts for the sale of wool in medieval england around 700 years ago the contracts were generally entered into by english monasteries who frequently sold their wool for up to 20 years in advance to mostly foreign and particularly italian merchants employing a unique source of data collected by hand from the historical records we determine the interest rates implied in these transactions and we also examine the efficiency of the forward and spot markets the calculated interest rates average around 20 in accordance with available information concerning the interest rates used in other types of transactions at that time perhaps surprisingly we also find little evidence of informational inefficiencies in these markets

interrelafionships between spot and futures markets some implications of rational expectations the view that futures contract prices for storable agricultural commodities are rationally held expectations of subsequent cash prices has been widely accepted since holbrook working first explained commodity market intertemporal price behavior in these terms in 1958 subsequent analyses by brennan weymar tomek and gray and others adopted and extended working s interpretation yet despite its acceptance implications of the rational expectations view have been all but ignored in econometric modeling efforts directed at explaining and predicting intertemporal price relations the purpose of this paper is a to propose an econometric modeling approach that recognizes the role of rational expectation formation in joint determination of commodity cash and futures prices and b to explore the implications of such an approach for the following issues i the direction and magnitude of changes in cash and futures prices occurring in response to changes in economic information and the direction of causality between cash and futures prices and ii the function of futures markets as agencies for forecasting price and the probable forecasting performance of futures contract prices some issues addressed here have implications for all futures traded commodities the arguments presented however relate most clearly to storable continuously inventoried commodities the nature of storage behavior and thus the relation between cash and futures prices for some commodities livestock in particular has not yet been resolved satisfactorily but these issues are not addressed here working s theory of anticipatory prices 1958 asserts that decisions on cash and futures prices take into account all available and relevant information concerning historical relationships as well as current and expected supply demand conditions according to this theory the current period futures price for a contract maturing in time t t is the current market expectation of the subsequent cash market price in t t with only slight modification this interpretation can be considered equivalent to the more current rational expectations or equally redundant efficient market hypothesis formally stated the rational expectations hypothesis muth s extended version asserts that expectations of individual market participants the subjective probability distribution of price outcomes tend to be distributed for the same information set about the predictions of the theory the objective probability distribution of price outcomes in another interpretation it is simply asserted that economic agents use the appropriate economic model in forming their expectations of future prices if valid this latter interpretation has clear implications for the construction of econometric models of futures traded commodities to explore these implications we posit a model which assumes rational expectation formation

u s labor market dynamics revisited the picture of u s labor market dynamics is opaque empirical studies have yielded contradictory findings and debates have emerged regarding their implications this paper aims at clarifying the picture which is important for the understanding of the operation of the labor market for the study of business cycles for the explanation of wage behavior and for the formulation of policy the paper determines what facts can be established what are their implications and what remains to be further investigated the main contributions made here are i listing of data facts that can be agreed upon these indicate that there is considerable cyclicality and volatility of both accessions to employment and separations from it hence both are important for the understanding of the business cycle ii presenting the business cycle facts of key series iii pointing to specific gaps in the data picture disparities in the measurement of the sizeable flows between employment and the pool of workers out of the labor force disagreements about the relative volatility of job finding and separation rates across data sets and the fact that the fit of the gross flows data with net employment growth data differs across studies and is not high the definite characterization of labor market dynamics depends upon the closing of these data gaps

comparison of alternative utility functions in portfolio selection problems this paper examines the effect of alternative utility functions and parameter values on the optimal composition of a risky investment portfolio normally distributed assets are the setting for the theoretical and empirical analyses the results agree well with the available theory and imply utility functions and parameter values that are appropriate for investors with particular risk bearing attitudes the results give strong empirical support to the proposition that utility functions having different functional forms and parameter values but similar absolute risk aversion indices have similar optimal portfolios these results suggest that over horizons up to one year one can safely substitute convenient surrogate utility functions for other utility functions for reasons of tractability or otherwise the results also provide guidance regarding the significance of the magnitude and change of particular numerical values of the risk aversion index moreover theoretical exact results are obtained using rubinstein s measure of global risk aversion

empirical matching functions searchers vacancies and un biased elasticities this paper shows that conventional empirical estimates of matching functions are systematically biased because unobservable and endogenous search behaviour such as on the job search by workers or the use of different search channels by firms is neglected i propose an approach for recovering unbiased elasticities under different scenarios of competition for workers and jobs without the need for constructing proxies for unobserved stocks of searchers and vacancies using german administrative data i estimate the biases affecting conventional studies and derive bias corrected estimates of the matching elasticities under different scenarios

house prices and job losses why are house prices 80 correlated with job losses over the uk business cycle my paper studies this striking fact together with the strong comovements between house prices and labour market variables in general first a regional panel is estimated to quantify the impact of house prices on the unemployment job finding and job separation rates whereby rejection rates of planning applications are used as instruments to find exogenous variation in house prices second an orthogonalised var is used to estimate the aggregate impact of house price shocks both methods confirm the large impact of house price shocks on labour market variables and credit supply to understand the mechanism a general equilibrium model with collateral constraints endogenous job separation and housing shocks is confronted with macroeconomic data via bayesian methods the results suggest that shocks to house prices i explain about 10 of output fluctuations and about 20 of fluctuations in corporate credit unemployment and job separation rates via the collateral channel over the forecast horizon and ii were a major cause in triggering the 1990 and 2008 recessions in the uk

directed search with multi vacancy firms abstract i construct a directed search model in which firms decide whether to enter a market and how many positions to create within this framework the number of firms and the size of each firm are determined endogenously wages play an allocative role in the matching process and the frictions inherent in this process derive from the equilibrium behavior of workers and firms i characterize the unique equilibrium comparative statics generate testable implications for cross sectional variation in matching efficiency as well as the dynamic behavior of vacancies and unemployment moreover allowing for ex ante heterogeneity across firms the model can easily and naturally generate the observed relationship between firm size wages profitability and hiring

applications and interviews firms recruiting decisions in a frictional labour market i develop a directed search model to study the recruitment decisions of firms competing for workers who ex post differ in two dimensions 1 their match productivity and 2 their probability of accepting a job offer endogenously determined by their choice of application portfolio to attract these workers firms post a recruiting intensity and a hiring standard in addition to terms of trade a higher recruiting intensity is costly but allows the firm to select more applicants for an interview which reveals their productivity the hiring standard solves the tradeoff between immediate hiring and waiting for a potentially better match in the future i characterize equilibrium and find that various outcomes including uniqueness of equilibrium and the cyclicality of recruiting intensity crucially depend on firms recruiting cost and workers search cost calibration of the model to the u s labour market indicates a continuum of equilibria given selection of a particular equilibrium hiring standards are countercyclical while recruiting intensity is procyclical the calibrated model creates more amplification than a standard model without intensive margins and gives rise to procyclical match efficiency when viewed through the lens of a cobb douglas matching function

the cyclicality of the separation and job finding rates in france abstract in this paper we shed light on the relative contribution of the separation and job finding rates to french unemployment at business cycle frequencies by using administrative data on registered unemployment and labor force surveys we first investigate the fluctuations in steady state unemployment and then in current unemployment in order to take into account the unemployment deviations from equilibrium both data sets lead to quite similar results both rates contributed to unemployment fluctuations during the nineties 50 50 split while in the last decade the job finding rate was more significant and explained around 65 of the french unemployment fluctuations in particular the last business cycle episode including the last recession exacerbated the role of the job finding rate we then show that the predominant role of the job finding rate in the last decade holds when the economy is hit by aggregate business cycle shocks moving unemployment and vacancies along the beveridge curve

making do with less working harder during recessions why did productivity rise during recent recessions one possibility is that average worker quality increased a second is that each incumbent worker produced more the second effect is termed making do with less using data from 2006 to 2010 on individual worker productivity from a large firm these effects can be measured and separated for this firm most of the gain in productivity during the recession was a result of increased effort additionally the increase in effort is correlated with the increase in the local unemployment rate presumably reflecting the costs of losing a job

productivity growth on the job search and unemployment abstract the impact of long run productivity growth on unemployment is studied we incorporate disembodied technological progress and on the job search into the endogenous job separation model of mortensen and pissarides 1994 because we include on the job search faster growth reduces unemployment by decreasing job separation and inducing job creation the incorporation of on the job search substantially improves the ability of the mortensen and pissarides model to explain the effect of growth on labor market variables specifically our model generates not only an empirically consistent sign of the effect but also a larger impact of growth on unemployment than the standard matching model

the establishment level behavior of vacancies and hiring this paper is the first to study vacancies hires and vacancy yields at the establishment level in the job openings and labor turnover survey a large sample of u s employers to interpret the data we develop a simple model that identifies the flow of new vacancies and the job filling rate for vacant positions the job filling rate moves counter to aggregate employment but rises steeply with employer growth rates in the cross section it falls with employer size rises with worker turnover rates and varies by a factor of four across major industry groups we also develop evidence that the employer level hiring technology exhibits constant returns and that at the employer level and that employers rely heavily on other instruments in addition to vacancies as they vary hires we also develop evidence that effective recruiting intensity per vacancy varies over time accounting for about 41 of movements in aggregate hires in the 2007 to 2009 period our evidence and analysis provide useful inputs for assessing developing and calibrating theoretical models of search matching and hiring in the labor market

how the ins and outs shape differently the u s unemployment over time and across frequencies abstract although the u s case has been studied extensively the importance of job finding and separation rates to unemployment variability remains unsettled the aim of this paper is to contribute to this debate by adopting a novel lens wavelet analysis we resort to wavelet analysis to unveil time and frequency varying features regarding the contribution of the job finding and job separation rates for the u s unemployment rate dynamics drawing on this approach we are able to reconcile some apparently contradictory findings reported in previous literature we find that the job finding rate is more influential for the overall unemployment behaviour but the job separation rate also plays a critical role especially during recessions in particular the job separation rate accounts for on average 53 per cent of the unemployment variability at short run fluctuations during recessions in sharp contrast with an overall contribution of 21 per cent over time and across frequencies

cyclical variation in vacancy durations and vacancy flows an empirical analysis abstract this paper presents an empirical analysis of vacancy durations and vacancy flows in the netherlands over the years 1980 1988 we distinguish vacancies according to required occupation and educational levels we derive estimates of average vacancy durations and we use these to derive estimates of vacancy flows we find that vacancy durations generally increase with the required educational level moreover vacancy flows tend to be more responsive to the business cycle at lower educational levels while vacancy durations are more responsive at higher educational levels the number of vacancies generated by employers has not decreased during the recession in the early 80s which points to a dominant role of the supply of applicants in explaining the cyclical pattern of vacancy durations

interpreting the beveridge curve an agent based approach abstract we construct an agent based computational model of the labour market with heterogeneous workers and firms to study the behaviour of the beveridge curve along the business cycle in this framework search frictions arise because filling a vacancy is a costly activity that takes time whereas productivity mismatch comes from firms imperfect information about the value of the workers before the job interview takes place the model offers an interpretation for the outward movement exhibited by the u s beveridge curve since the last months of 2009 sectoral misallocation plays a role moreover when the speed of recovery from a recession is not uniform across sectors unemployed workers are less selective in their application strategy and firms must spend more time in choosing the best match unemployment remains high in spite of an increase in the number of vacancies

unemployment in the great recession this paper studies the responses of unemployment in germany the united states and britain to the great recession of 2008 09 by making use of beveridge curve analysis and in the entire oecd with other techniques it is shown that britain suffered from recession but no structural problems the united states suffered from structural unemployment during the recovery germany exhibited a much better performance both during and after the recession the rise in oecd unemployment is broken down into parts due to aggregate activity the construction sector and a residual attributed to policies and institutions which is used to reach conclusions about policy

robust optimal decisions with stochastic nonlinear economic systems abstract optimal decisions for nonlinear systems are usually computed on the basis that certainty equivalent decisions are sufficiently accurate this premise is tested in the present paper using an approach that evaluates using monte carlo simulations any expectations bias that nonlinearities may introduce optimal decisions are determined by incorporating this bias with a robust decision formulation the expected value of the policy objective function is optimized simultaneously with the sensitivity of the problem to given sources of uncertainty in the model numerical results based on the national institute of economic and social research model of the uk economy are used to highlight two specific points the first is that robust decision performs better than simple certainty equivalent deterministic decision and that increased robustness makes the policy more risk averse the second point is that the bias due to the nonlinearity of the model is significant in terms of the policy and the endogenous variables

the determinants of equilibrium unemployment the paper takes the search and matching model of the aggregate labor market to the data it tests the model s empirical validity and employs structural estimation to generate a characterization of the optimal behavior of firms and workers the model is applied to israeli data that are uniquely suited for this kind of empirical investigation the structural estimates are used to quantify the frictions embodied in the model including the costs of search the congestion and trading externality effects and the matching process a calibration simulation analysis then studies the effect of several key variables on equilibrium unemployment

upskilling do employers demand greater skill when workers are plentiful using a proprietary database of online job postings we find that education and experience requirements rose during the great recession these increases were larger in states and occupations that e

intertemporal allocation in the corn and soybean markets with rational expectations this paper addresses the intertemporal allocation of supplies and the simultaneous determination of spot and futures prices in the u s corn and soybeans markets these markets were selected for study because of their importance in the u s grain trade and in u s futures markets on the chicago board of trade in 1981 these two grains accounted for 81 26 of all trading in grain futures simultaneous equations models of commodity futures markets have received some attention in the literature stein 1961 1964 developed a two equation simultaneous model comprising functional relationships for discretionary hedging and speculation in commodity markets more recently dewbre estimated a two equation model of spot and futures price determination in commodity markets with rational expectations our study however constitutes the first application of a simultaneous equations model to a comparative study of u s commodity markets with separate functional relationships for long and short hedgers long and short speculators in futures and consumers and holders of unhedged inventories this model is based on peston and yamey although that model did not account explicitly for the activities of long hedgers and short speculators the next section discusses the specification of the equations and the third section outlines the data and estimation method employed the results and validation of the model are discussed in the fourth section the conclusions are stated in the last section while cash and futures prices are endogenous variables in this model the variances of these prices are not treated as endogenous moreover the model is estimated separately for the corn and soybeans markets rather than as a joint model for corn and soybeans products both these matters may be worthwhile extensions of the approach employed here although they go beyond what is attempted in this paper

long term unemployment and the great recession the role of composition duration dependence and nonparticipation we explore the role of composition duration dependence and labor force nonparticipation in accounting for the sharp increase in the incidence of long term unemployment ltu during the great recession we show that compositional shifts account for very little of the observed increase in ltu using panel data from the current population survey for 2002 7 we calibrate a matching model that allows for duration dependence in unemployment and transitions between employment unemployment and nonparticipation the calibrated model accounts for almost all of the increase in ltu and much of the observed outward shift in the beveridge curve between 2008 and 2013

wage differentials employer size and unemployment the unique equilibrium solution to a game in which a continuum of individual employers choose permanent wage offers and a continuum of workers search by sequentially sampling from the set of offers is characterized wage dispersion is a robust outcome provided that workers search while employed as well as when unemployed the unique nondegenerate equilibrium distribution of wage offers is constructed for three cases 1 identical workers and employers 2 identical employers and an atomless distribution of worker supply prices and 3 identical workers and an atomless distribution of job productivities copyright 1998 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

unit roots tests evidence from the foreign exchange futures market in this paper tests are conducted for the presence of unit roots in the autoregression representation of foreign exchange currency futures price series the results obtained from five different currency futures over the 1977 1983 period suggestthat foreign currency futures rates have autoregressive representations with a singleunit root i e borderline nonstationarity in view of this result it appears thatthe process generating the natural logarithm of foreign currency futures rates may well be approximated by random walks

the beveridge curve a survey important progress has been made in economists understanding of the beveridge curve from its measurement to its expression in canonical labor market models yet enduring puzzles remain chief among these are the empirical role of vacancies in the recruitment process the amplitude comovement and persistence of cyclical unemployment vacancy dynamics and the sources of lateral shifts in the beveridge curve the synthesis of these themes identifies several priorities for ongoing research including the role of entry costs into vacancy creation in shaping beveridge dynamics the cyclicality of search intensity both off and on the job and its relation to participation and job to job transitions the theory and measurement of mismatch and the sources of hysteresis in unemployment flows

the effect of shocks to labour market flows on unemployment and participation rates this article presents an analysis of labour market dynamics in particular of flows in the labour market and how they interact and affect the evolution of unemployment rates and participation rates the two main indicators of labour market performance our analysis has two special features first apart from the two labour market states employment and unemployment we consider a third state out of the labour force second we study net rather than gross flows where net refers to the balance of flows between any two labour market states distinguishing a third state is important because the labour market flows to and from that state are quantitatively important focusing on net flows simplifies the complexity of interactions between the flows and allows us to perform a dynamic analysis in a structural vector autoregression framework we find that a shock to the net flow from unemployment to employment drives the unemployment rate and the participation rate in opposite directions while a shock to the