增长机制中劳动力与信贷市场的相互作用:理论与实证分析

Ekkehard C. Ernst, S. Mittnik, W. Semmler
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引用次数: 6

摘要

早期关于经济增长和信贷市场发展之间联系的研究,是从劳动力和金融市场之间的相互作用中抽象出来的。此外,大多数研究在总体水平上分析了宏观金融的联系,忽略了劳动力和信贷市场中搜索和匹配的分散性质。本文填补了这一空白,从而允许对政策影响进行更分散的分析。我们表明,信贷市场加剧并强化了劳动力市场效应,对产出、消费、就业和福利产生放大效应。根据债务动力的强弱,劳动力和信贷市场之间的相互作用产生了几种增长动力,具有两种不同的稳定状态:稳定的增长体制和另一种脆弱和不稳定的增长体制。为了检验理论模型的实证意义,我们将多制度VAR (MRVAR)模型拟合到美国的产出和信贷市场数据中。MRVAR估计表明,在高增长时期对信贷条件的冲击与在低增长和衰退时期的冲击有明显不同的影响。此外,在信贷条件冲击的迹象方面,存在大量的状态依赖不对称性,这证实了理论预测。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Interaction of Labour and Credit Market in Growth Regimes: A Theoretical and Empirical Analysis 
Earlier research on the links between economic growth and credit market development has abstracted from interactions between labour and financial markets. Moreover, most studies have analysed macro‐finance linkages at the aggregate level, ignoring the decentralized nature of search and matching in labour and credit markets. This paper fills this void and thus allows for a more disaggregate analysis of policy effects. We show that the credit market exacerbates and accentuates the labour market effects, having amplifying effects on output, consumption, employment and welfare. Depending on the strength of the debt‐dynamics, several growth dynamics emerge from this interaction between labour and credit markets with two distinct steady states: a stable growth regime and another one that is vulnerable and unstable. To test the empirical implications of the theoretical model, a multi‐regime VAR (MRVAR) model is fitted to the US output and credit market data. The MRVAR estimation indicates that shocks to credit conditions during a high‐growth period have markedly different effects than during a low growth and recessionary period. Also, there are substantial state‐dependent asymmetries with respect to the sign of shocks to credit conditions, confirming the theoretical predictions.
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