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Uncertainty shocks and labor market dynamics in Japan

Author

Listed:
  • Hiroaki Miyamoto

    (University of Tokyo)

Abstract

This paper examines the effects of uncertainty shocks on Japan’s labor market. Using a measure of uncertainty from the stock market data and a structural VAR model, I find that an increase in uncertainty leads to a rise in unemployment and declines in output, vacancies, and inflation. I then develop a dynamic general equilibrium model with labor market frictions and examine the transmission mechanism of uncertainty shocks. In the model, uncertainty shocks are defined as unexpected increases in the volatility of technology shock. My model can replicate the observed pattern of labor market responses to uncertainty shocks. I also discuss how the job separation channel influences the macroeconomic effect of uncertainty shocks.

Suggested Citation

  • Hiroaki Miyamoto, 2016. "Uncertainty shocks and labor market dynamics in Japan," Working Papers SDES-2016-8, Kochi University of Technology, School of Economics and Management, revised Jun 2016.
    • Handle: RePEc:kch:wpaper:sdes-2016-8
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    File URL: http://www.souken.kochi-tech.ac.jp/seido/wp/SDES-2016-8.pdf
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    References listed on IDEAS

    as
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    7. Noritaka Kudoh & Hiroaki Miyamoto & Masaru Sasaki, 2019. "Employment and Hours over the Business Cycle in a Model with Search Frictions," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 31, pages 436-461, January.
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    Cited by:

    1. Samil Oh & Thepthida Sopraseuth, 2017. "Firm entry, Search and Matching in a Small Open Economy Faced with Uncertainty Shocks: The case of Korea," Thema Working Papers 2017-27, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS.

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    Keywords

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    JEL classification:

    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search

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