본문 바로가기
KERD
논문KCI 등재

습관성선호를 가진 거시자산가격결정모형의 재고찰: 비가분성선호와 임금경직성의 역할

Asset-Pricing Implications of Non-Separable Preferences and Wage Rigidity

김형석
한국응용경제학회|2010.12|응용경제 (Korea Review of Applied Economics)|제12권 제3호|pp. 33-56

0

조회

0

다운로드

0

인용

0

참고문헌

키워드

경기변동business cyclesNash bargaining내쉬협상GHH선호위험자산프리미엄GHH preferencesequity premium puzzle
주제분류경제학

초록

대표적 경제주체(representative agent)를 가진 표준 실물경기변동모형(standard one-sector real business cycle model)에서 노동시간과 여가의 상충관계를 통한 노동공급의 내생화가 전제된다면 습관성선호(habit formation)와 자본량 조정비용(costs of adjusting capital)을 고려하더라도 위험자산프리미엄(equity risk premium)이 극히 낮거나 사실상 존재하지 않음이 잘 알려져 있다. 본 논문에서는 (1) 여가와 소비 사이의 비가분성선호(non-separable preferences) (2) 실질임금의 경직성(real wage rigidity) 등 두 가지 요소를 고려하여 경기변동모형 하에서 위험자산프리미엄의 증가가 가능한지를 다루고자 한다. 모형의 수량적 분석결과, 소비와 여가의 비가분성선호와 임금경직성을 동시에 고려할 때 노동시간의 내생적 조정이 있더라도 위험자산프리미엄이 존재할 수 있음을 보인다. 특히 임금경직성의 내생적 전파경로가 모형경제의 분산 불가능한 위험(non-diversifiable risk)을 증가시킬 수 있음을 보인다. 또한 모형경제의 분산 불가능한 고위험의 존재와 내생적 임금경직성이 노동시장의 탐색과 짝 맞추기에 근거한 노동변수의 변동성과 무관함을 보인다.

Abstract

A number of authors show that the standard one-sector RBC model with real rigidities such as habit formation and costs of adjusting capital cannot generate a substantial equity premium if the agent's endogenous labour-leisure choice is allowed. In this paper, we seek to reconcile this conflict by considering two elements: (i) parsimonious non-separable preferences in consumption and leisure and (ii) (real) wage rigidity. We find that a real business cycle model with variable labour supply can still generate a substantial equity premium with both non-separable preferences (GHH preferences) and wage rigidity, not with either taken separately. We also find that asset price dynamics and unemployment dynamics due to Mortensen and Pissarides can be separated: both the large equity premium and smooth wage dynamics can be generated independently of observed excessive unemployment fluctuations.

참고문헌 (52)

  1. Abel, A. B., "Asset prices under habit formation and catching up with the Joneses", American Economic Review, 80, pp.38~42 (1990)
  2. Andolfatto, D., "Business cycles and labor market search", American Economic Review, 86, pp.112~132 (1996)
  3. Blanchard, O., "Real wage rigidities and new Keynesian model", ~ (2005)
  4. Boldrin, M., "Habit persistence, asset returns, and the business cycle", American Economic Review, 91, pp.149~166 (2001)
  5. Boldrin, M., "Labor contracts and business cycles", Journal of Political Economy, 103, pp.972~1004 (1995)
  6. Campbell, J. Y., "Inspecting the mechanism: an analytical approach to the stochastic growth model", Journal of Monetary Economics, 33, pp.463~506 (1994)
  7. Christiano, L. J., "Monetary policy and stock market boom-bust cycles", ~ (2007)
  8. Christoffel, K., "Resuscitating the wage channel in models with unemployment fluctuations", Journal of Monetary Economics, 55, pp.865~887 (2008)
  9. Cho, J., "The business cycle with nominal contracts", Economic Theory, 6, pp.13~33 (1995)
  10. Costain, J., "Business cycles, unemployment insurance, and the calibration of matching models", Journal of Economic Dynamics and Control, 32, pp.1120~1155 (2008)
  11. Cooley, T. F., "Economic growth and business cycles, in Frontiers of Business Cycle Research", pp.1~38 (1995), Princeton University Press
  12. Cooley, T. F., "A neoclassical model of the Phillips relation", Journal of Monetary Economics, 44, pp.165~193 (1999)
  13. Cooley, T. F., "Optimal monetary policy in a Phillips-curve world", Journal of Economic Theory, 118, pp.174~208 (2004)
  14. Danthine, J. P., "Labour relations and asset returns", Review of Economic Studies, 69, pp.41~64 (2002)
  15. Danthine, J. P., "The equity premium and the allocation of labor income risk", Journal of Economic Dynamics and Control, 16, pp.509~532 (1992)
  16. Danthine, J. P., "Distribution risk and equity premium, in Handbook of the Equity Risk Premium", pp.415~466, North-Holland
  17. Donaldson, J. B., "Comparative dynamics of an equilibrium intertemporal asset pricing model", Review of Economic Studies, 69, pp.491~508 (1984)
  18. Donaldson, J. B., "On the term structure of interest rates", Journal of Economic Dynamics and Control, 14, pp.571~596 (1990)
  19. Davis, S., "Job Creation and Destruction" (1996), MIT Press
  20. Farmer, R., "Shooting the auctioneer", ~ (2004)
  21. Ferson, W. E., "Habit persistence and durability in aggregate consumption", Journal of Financial Economics, 29, pp.199~240 (1991)
  22. Gertler, M., "Unemployment fluctuations with staggered Nash wage bargaining", ~ (2006)
  23. Guvenen, F., "A parsimonious macroeconomic model for asset pricing: habit formation or cross-sectional heterogeneity?", ~ (2003)
  24. Guvenen, F., "Reconciling conflicting evidence on the elasticity of intertemporal substitution: a macroeconomic perspective", Journal of Monetary Economics, 53, pp.1451~1472 (2006)
  25. Jermann, U. J., "Asset pricing in production economies", Journal of Monetary Economics, 41, pp.257~275 (1998)
  26. Hall, R. E., "Intertemporal substitution in consumption", Journal of Political Economy, 96, pp.339~357 (1998)
  27. Hall, R. E., "Employment fluctuations with equilibrium wage stickiness", American Economic Review, 95, pp.50~65 (2005)
  28. Hagedorn, M., "The cyclical behavior of equilibrium unemployment and vacancies revisited", American Economic Review, 98, pp.1692~1706 (2008)
  29. Hansen, G. D., "Indivisible labor and the business cycle", Journal of Monetary Economics, 16, pp.309~327 (1985)
  30. Hornstein, A., "What is the real story for interest rate volatility?", German Economic Review, 1, pp.43~67 (2000)
  31. Hornstein, A., "Unemployment and vacancy fluctuations in the matching model: inspecting the mechanism", Federal Reserve Bank of Richmond Economic Quarterly, 91, pp.19~51 (2005)
  32. Imai, S., "Intertemporal labor supply and human capital accumulation", International Economic Review, 45, pp.601~641 (2004)
  33. Jaimovich, N., "Can news about the future drive the business cycle?", ~ (2008)
  34. Janko, Z., "Nominal wage contracts, labor adjustment costs and the business cycle", Review of Economic Dynamics, 11, pp.434~448 (2008)
  35. Kim, H., "Shimer meets the production-based asset-pricing crowd: insider-oursider labour relation and asset returns", ~ (2008)
  36. Kim, H., "Resuscitating habit: the role of non-separable preferences and wage rigidity", ~ (2009)
  37. Kydland, F. E., "Labor-force heterogeneity and the business cycle", Carnegie-Rochester Conference Series on Public Policy, 통권 : 21, pp.173~208 (1984)
  38. Kydland, F. E., "Time to build and aggregate fluctuations", Econometrica, 50, pp.1345~1370 (1982)
  39. Lettau, M., "Inspecting the mechanism: the determination of asset prices in the real business cycle model", Economic Journal, 113, pp.550~575 (2003)
  40. Lettau, M., "Can habit formation be reconciled with business cycle facts?", Review of Economic Dynamics, 3, pp.79~99 (2002)
  41. Lucas, R. E. Jr., "Asset prices in an exchange economy", Econometrica, 46, pp.1429~1445 (1978)
  42. Mehra, R., "The equity premium: a puzzle", Journal of Monetary Economics, 22, pp.145~161 (1985)
  43. Merz, M., "Search in the labor market and the real business cycle", Journal of Monetary Economics, 36, pp.269~300 (1995)
  44. Merz, M., "Labor and the market value of the firm", American Economic Review, 97, pp.1419~1431 (2007)
  45. Petronglo, B., "Looking into the blackbox: a survey of the matching function", Journal of Economic Literature, pp.390~431 (2001)
  46. Rouwenhorst, G., "Asset pricing implications of equilibrium business cycle models, in Frontiers of Business Cycle Research", pp.294~330 (1995), Princeton University Press
  47. Shimer, R., "The cyclical behavior of equilibrium unemployment, vacancies, and wages: evidence and theory", American Economic Review, 95, pp.25~49 (2005)
  48. Trigari, A., "Labour market search, wage bargaining and inflation dynamics", ~ (2004)
  49. Uhlig, H., "A toolkit for analysing nonlinear dynamic stochastic models easily, in Computational Methods for the Study of Dynamic Economies", pp.30~61 (1999), Oxford University Press
  50. Uhlig, H., "Macroeconomics and asset markets: some mutual implications", ~ (2006)
  51. Uhlig, H., "Explaining asset prices with external habits and wage rigidities in a DSGE model", American Economic Review, 97, pp.239~243 (2007)
  52. Wei, Min., "Human capital, business cycles and asset pricing", ~ (2005)

관련 논문AI추천

우리나라의 주식가격결정모형과 주식프리미엄윤재형한국응용경제학회 · 응용경제2009 · 제11권 제3호차입제약 하에서의 유동성프리미엄 변동과 경기순환나원준한국계량경제학회 · 계량경제학보2010 · 제21권 제2호명목임금계약과 노동시장 마찰의 거시경제 효과문외솔한국은행 · 경제분석2015 · 제21권 제1호Business Cycle and Asset Prices:A Computable General Equilibrium Analysis with Agency Costs and Habit Formation김건홍, 김영식한국계량경제학회 · 계량경제학보2010 · 제21권 제2호유동성제약과 경기변동나원준한국계량경제학회 · 계량경제학보2013 · 제24권 제3호신용공급 충격이 재화별 소비에 미치는 영향김광환, 최석기지암남덕우경제연구원 · 시장경제연구2019 · 제48권 제1호

이 간행물의 다른 논문 (7건)

How Corporate Governance Influences Business Performance: Evidence Using Korea's Chaebol Panel Data이재형, 강철규pp. 5-32최적규모를 고려한 실물옵션 모형연구: ‘동북아 오일허브 사업’의 경제성 평가박은천, 박호정pp. 57-81노동시장구조와 고용탄력성: 경제성장과 고용최창곤pp. 83-105학업성취도와 급우효과이인재, 박기성pp. 107-130전력수요관리효과 추정에 관한 연구양준모pp. 131-154
원문 보기