Seminar: Gender Board Diversity through Ownership NetworksGRAPE
Seminar on gender diversity spillovers through ownership networks at FAME|GRAPE. Presenting novel research. Studies in economics and management using econometrics methods.
The European Unemployment Puzzle: implications from population agingGRAPE
We study the link between the evolving age structure of the working population and unemployment. We build a large new Keynesian OLG model with a realistic age structure, labor market frictions, sticky prices, and aggregate shocks. Once calibrated to the European economy, we quantify the extent to which demographic changes over the last three decades have contributed to the decline of the unemployment rate. Our findings yield important implications for the future evolution of unemployment given the anticipated further aging of the working population in Europe. We also quantify the implications for optimal monetary policy: lowering inflation volatility becomes less costly in terms of GDP and unemployment volatility, which hints that optimal monetary policy may be more hawkish in an aging society. Finally, our results also propose a partial reversal of the European-US unemployment puzzle due to the fact that the share of young workers is expected to remain robust in the US.
Revisiting gender board diversity and firm performanceGRAPE
Cel: oszacować wpływ inkluzywności władz spółek na ich wyniki.
Co wiemy?
• Większość firm nie ma równosci płci w organach (ILO, 2015)
• Większość firm nie ma w ogóle kobiet we władzach
Demographic transition and the rise of wealth inequalityGRAPE
We study the contribution of rising longevity to the rise of wealth inequality in the U.S. over the last seventy years. We construct an OLG model with multiple sources of inequality, closely calibrated to the data. Our main finding is that improvements in old-age longevity explain about 30% of the observed rise in wealth inequality. This magnitude is similar to previously emphasized channels associated with income inequality and the tax system. The contribution of demographics is bound to raise wealth inequality further in the decades to come.
(Gender) tone at the top: the effect of board diversity on gender inequalityGRAPE
The research explores to what extent the presence of women on board affects gender inequality downstream. We find that increasing presence reduces gender inequality. To avoid reverse causality, we propose a new instrument: the share of household consumption in total output. We extend the analysis to recover the effect of a single woman on board (tokenism(
Seminar: Gender Board Diversity through Ownership NetworksGRAPE
Seminar on gender diversity spillovers through ownership networks at FAME|GRAPE. Presenting novel research. Studies in economics and management using econometrics methods.
The European Unemployment Puzzle: implications from population agingGRAPE
We study the link between the evolving age structure of the working population and unemployment. We build a large new Keynesian OLG model with a realistic age structure, labor market frictions, sticky prices, and aggregate shocks. Once calibrated to the European economy, we quantify the extent to which demographic changes over the last three decades have contributed to the decline of the unemployment rate. Our findings yield important implications for the future evolution of unemployment given the anticipated further aging of the working population in Europe. We also quantify the implications for optimal monetary policy: lowering inflation volatility becomes less costly in terms of GDP and unemployment volatility, which hints that optimal monetary policy may be more hawkish in an aging society. Finally, our results also propose a partial reversal of the European-US unemployment puzzle due to the fact that the share of young workers is expected to remain robust in the US.
Revisiting gender board diversity and firm performanceGRAPE
Cel: oszacować wpływ inkluzywności władz spółek na ich wyniki.
Co wiemy?
• Większość firm nie ma równosci płci w organach (ILO, 2015)
• Większość firm nie ma w ogóle kobiet we władzach
Demographic transition and the rise of wealth inequalityGRAPE
We study the contribution of rising longevity to the rise of wealth inequality in the U.S. over the last seventy years. We construct an OLG model with multiple sources of inequality, closely calibrated to the data. Our main finding is that improvements in old-age longevity explain about 30% of the observed rise in wealth inequality. This magnitude is similar to previously emphasized channels associated with income inequality and the tax system. The contribution of demographics is bound to raise wealth inequality further in the decades to come.
(Gender) tone at the top: the effect of board diversity on gender inequalityGRAPE
The research explores to what extent the presence of women on board affects gender inequality downstream. We find that increasing presence reduces gender inequality. To avoid reverse causality, we propose a new instrument: the share of household consumption in total output. We extend the analysis to recover the effect of a single woman on board (tokenism(
Gender board diversity spillovers and the public eyeGRAPE
A range of policy recommendations mandating gender board quotas is based on the idea that "women help women". We analyze potential gender diversity spillovers from supervisory to top managerial positions over three decades in Europe. Contrary to previous studies which worked with stock listed firms or were region locked, we use a large data base of roughly 2 000 000 firms. We find evidence that women do not help women in corporate Europe, unless the firm is stock listed. Only within public firms, going from no woman to at least one woman on supervisory position is associated with a 10-15% higher probability of appointing at least one woman to the executive position. This pattern aligns with various managerial theories, suggesting that external visibility influences corporate gender diversity practices. The study implies that diversity policies, while impactful in public firms, have limited
effectiveness in promoting gender diversity in corporate Europe.
This document introduces a framework for analyzing contracts between a principal and multiple agents who have interdependent preferences. It begins with a simple example involving two agents who can choose between working and shirking, and whose outputs are either success or failure. The agents have interdependent utility that depends on both their own material payoff and their conjecture of the other agent's utility.
The document then outlines the research agenda, which is to characterize optimal contracts when agents have interdependent preferences and to provide recommendations for contract design based on whether preferences are positively or negatively interdependent. Finally, it presents some general results, finding that independent contracts are no longer optimal when preferences are interdependent, and that contracts should incorporate both individual performance bonuses and team
Tone at the top: the effects of gender board diversity on gender wage inequal...GRAPE
We address the gender wage gap in Europe, focusing on the impact of female representation in executive and non-executive boards. We use a novel dataset to identify gender board diversity across European firms, which covers a comprehensive sample of private firms in addition to publicly listed ones. Our study spans three waves of the Structure of Earnings Survey, covering 26 countries and multiple industries. Despite low prevalence of female representation and the complex nature of gender wage inequality, our findings reveal a robust causal link: increased gender diversity significantly decreases the adjusted gender wage gap. We also demonstrate that to meaningfully impact gender wage gaps, the presence of a single female representative in leadership is insufficient.
Gender board diversity spillovers and the public eyeGRAPE
A range of policy recommendations mandating gender board quotas is based on the idea that "women help women". We analyze potential gender diversity spillovers from supervisory to top managerial positions over three decades in Europe. Contrary to previous studies which worked with stock listed firms or were region locked, we use a large data base of roughly 2 000 000 firms. We find evidence that women do not help women in corporate Europe, unless the firm is stock listed. Only within public firms, going from no woman to at least one woman on supervisory position is associated with a 10-15\% higher probability of appointing at least one woman to the executive position. This pattern aligns with the Public Eye Managerial Theory, suggesting that external visibility influences corporate gender diversity practices. The study implies that diversity policies, while impactful in public firms, have limited effectiveness in promoting gender diversity in corporate Europe.
The European Unemployment Puzzle: implications from population agingGRAPE
We study the link between the evolving age structure of the working population and unemployment. We build a large New Keynesian OLG model with a realistic age structure, labor market frictions, sticky prices, and aggregate shocks. Once calibrated to the European economies, we use this model to provide comparative statics across past and contemporaneous age structures of the working population. Thus, we quantify the extent to which the response of labor markets to adverse TFP shocks and monetary policy shocks becomes muted with the aging of the working population. Our findings have important policy implications for European labor markets and beyond. For example, the working population is expected to further age in Europe, whereas the share of young workers will remain robust in the US. Our results suggest a partial reversal of the European-US unemployment puzzle. Furthermore, with the aging population, lowering inflation volatility is less costly in terms of higher unemployment volatility. It suggests that optimal monetary policy should be more hawkish in the older society.
This document discusses how labor market inequality may push disadvantaged groups like women into entrepreneurship out of necessity. It presents a theoretical framework showing how greater gender employment gaps could increase the prevalence of female self-employment. The authors test this using data on gender wage and employment gaps matched with survey data on entrepreneurship. Their results show a robust positive effect of gender employment gaps on necessity-driven female entrepreneurship but little effect of wage gaps. This provides empirical support that labor market discrimination can push disadvantaged groups into self-employment when other employment options are limited.
Evidence concerning inequality in ability to realize aspirations is prevalent: overall, in specialized segments of the labor market, in self-employment and high-aspirations environments. Empirical literature and public debate are full of case studies and comprehensive empirical studies documenting the paramount gap between successful individuals (typically ethnic majority men) and those who are less likely to “make it” (typically ethnic minority and women). So far the drivers of these disparities and their consequences have been studied much less intensively, due to methodological constraints and shortage of appropriate data. This project proposes significant innovations to overcome both types of barriers and push the frontier of the research agenda on equality in reaching aspirations.
Overall, project is interdisciplinary, combining four fields: management, economics, quantitative methods and psychology. An important feature of this project is that it offers a diversified methodological perspective, combining applied microeconometrics, as well as experimental methods.
- The document discusses the optimal assignment of property rights when a social planner cannot commit to future trading mechanisms. This lack of commitment results in ex-post inefficiency and inefficient investment decisions due to hold-up problems.
- The social planner chooses property rights to alleviate these frictions. The paper proposes a framework to characterize the optimal property right using a mechanism design approach. The main result is that the optimal property right is simple but flexible, often featuring an option to own the property.
The document presents a framework for studying the optimal design of contractual property rights using mechanism design. It discusses how property rights determine agents' outside options in economic interactions and impact ex-post efficiency and investment incentives when the social planner cannot commit to future mechanisms. The authors analyze how to design property rights to alleviate these frictions in a setting with one-sided private information and bargaining power. A key result is that the optimal property right is often simple but flexible, featuring an option to own the resource.
The document presents a framework for studying the optimal design of contractual property rights. It discusses how property rights determine agents' outside options in economic interactions and impact ex-post efficiency and investment incentives when a social planner cannot commit to future mechanisms. The authors' contribution is characterizing the optimal property right from a non-parametric class in a setting with one-sided private information and bargaining power, finding that flexible rights featuring an option to own are often optimal.
The document presents a framework for studying the optimal design of contractual property rights. It discusses how property rights determine parties' outside options in economic interactions and impact efficiency and investment incentives. The framework models an interaction where a property rights holder participates in a trading mechanism. The optimal property right balances ex-post inefficiency and hold-up problems arising from the planner's inability to commit. The paper contributes by characterizing the optimal right from a non-parametric class of options and provides a foundation for why option-to-own contracts are attractive.
1. The document discusses a framework for determining the optimal allocation of goods when redistributive concerns are present. It considers allocating heterogeneous goods to agents who differ in observable characteristics, willingness to pay, and unobserved social welfare weights.
2. The designer aims to maximize a weighted sum of revenue and agents' utilities, where the weights reflect redistributive preferences. Non-market mechanisms may be optimal when observable information is imprecise or when certain groups have high welfare weights but monetary transfers are infeasible.
3. The optimal mechanism depends on how labels and willingness to pay statistically correlate with unobserved welfare weights, allowing the designer to estimate agents' relative "need".
1. The document discusses incentive separability in mechanism design problems and its implications for classic results in optimal taxation theory.
2. It introduces a framework to study incentive separability, which is when perturbing a set of decisions along agents' indifference curves preserves incentive constraints.
3. The main result is that the optimal mechanism allows unrestricted choice over incentive-separable decisions given prices and budgets, generalizing theorems by Atkinson-Stiglitz and Diamond-Mirrlees.
This document discusses inequality-aware market design and the use of "ordeals" as a screening mechanism for redistributing money. It defines ordeals as activities that are costly for agents but do not directly benefit anyone, such as waiting times or filling out forms. The document compares direct cash subsidies in the US to Indonesia's conditional cash transfer program that requires certain behaviors. It proposes analyzing the equity-efficiency tradeoff of using ordeals for redistribution and comparing different types of ordeals as screening devices. Recent research on using ordeals to improve targeting efficiency is cited but it is noted that little work has considered using ordeals specifically for redistributing money or compared different screening devices.
- The document discusses inequality-aware market design and how to structure redistribution policies using markets under imperfect information.
- It focuses on "ordeals", which are costly activities that do not directly benefit anyone, as a way to screen recipients and better target redistribution, particularly when allocating cash.
- Two examples of cash redistribution, direct subsidies in the US and Indonesia's conditional cash program, are contrasted to examine whether and how an ordeal could improve targeting and the equity-efficiency tradeoff.
This document discusses incentive separability in mechanism design. It introduces a framework that allows for complex incentive constraints like private information, moral hazard, and voluntary participation. It defines a new concept of incentive separability, where perturbing certain decisions along agents' indifference curves preserves incentive constraints. The main theorem states that for incentive-separable decisions, it is optimal to allow agents to make unrestricted choices over those decisions given prices and budgets. This can extend and unify previous results showing no distortions are needed for certain decisions. Applications discussed include the Atkinson-Stiglitz theorem on redundant commodity taxes and optimality of removing production distortions.
1. This project studies incentive separability using mechanism design theory. It introduces the concept of incentive separability, where perturbing certain decisions along indifference curves preserves incentive constraints.
2. The main theorem states that when decisions are incentive separable, it is optimal to allow agents to make unrestricted choices over those decisions given prices and budgets. This can improve the planner's objective over allocations that distort incentive separable decisions.
3. The results generalize prior findings like Atkinson-Stiglitz on redundant commodity taxes. Applications show food vouchers can be optimal by making food choices incentive separable for low-income agents.
Gender board diversity spillovers and the public eyeGRAPE
A range of policy recommendations mandating gender board quotas is based on the idea that "women help women". We analyze potential gender diversity spillovers from supervisory to top managerial positions over three decades in Europe. Contrary to previous studies which worked with stock listed firms or were region locked, we use a large data base of roughly 2 000 000 firms. We find evidence that women do not help women in corporate Europe, unless the firm is stock listed. Only within public firms, going from no woman to at least one woman on supervisory position is associated with a 10-15% higher probability of appointing at least one woman to the executive position. This pattern aligns with various managerial theories, suggesting that external visibility influences corporate gender diversity practices. The study implies that diversity policies, while impactful in public firms, have limited
effectiveness in promoting gender diversity in corporate Europe.
This document introduces a framework for analyzing contracts between a principal and multiple agents who have interdependent preferences. It begins with a simple example involving two agents who can choose between working and shirking, and whose outputs are either success or failure. The agents have interdependent utility that depends on both their own material payoff and their conjecture of the other agent's utility.
The document then outlines the research agenda, which is to characterize optimal contracts when agents have interdependent preferences and to provide recommendations for contract design based on whether preferences are positively or negatively interdependent. Finally, it presents some general results, finding that independent contracts are no longer optimal when preferences are interdependent, and that contracts should incorporate both individual performance bonuses and team
Tone at the top: the effects of gender board diversity on gender wage inequal...GRAPE
We address the gender wage gap in Europe, focusing on the impact of female representation in executive and non-executive boards. We use a novel dataset to identify gender board diversity across European firms, which covers a comprehensive sample of private firms in addition to publicly listed ones. Our study spans three waves of the Structure of Earnings Survey, covering 26 countries and multiple industries. Despite low prevalence of female representation and the complex nature of gender wage inequality, our findings reveal a robust causal link: increased gender diversity significantly decreases the adjusted gender wage gap. We also demonstrate that to meaningfully impact gender wage gaps, the presence of a single female representative in leadership is insufficient.
Gender board diversity spillovers and the public eyeGRAPE
A range of policy recommendations mandating gender board quotas is based on the idea that "women help women". We analyze potential gender diversity spillovers from supervisory to top managerial positions over three decades in Europe. Contrary to previous studies which worked with stock listed firms or were region locked, we use a large data base of roughly 2 000 000 firms. We find evidence that women do not help women in corporate Europe, unless the firm is stock listed. Only within public firms, going from no woman to at least one woman on supervisory position is associated with a 10-15\% higher probability of appointing at least one woman to the executive position. This pattern aligns with the Public Eye Managerial Theory, suggesting that external visibility influences corporate gender diversity practices. The study implies that diversity policies, while impactful in public firms, have limited effectiveness in promoting gender diversity in corporate Europe.
The European Unemployment Puzzle: implications from population agingGRAPE
We study the link between the evolving age structure of the working population and unemployment. We build a large New Keynesian OLG model with a realistic age structure, labor market frictions, sticky prices, and aggregate shocks. Once calibrated to the European economies, we use this model to provide comparative statics across past and contemporaneous age structures of the working population. Thus, we quantify the extent to which the response of labor markets to adverse TFP shocks and monetary policy shocks becomes muted with the aging of the working population. Our findings have important policy implications for European labor markets and beyond. For example, the working population is expected to further age in Europe, whereas the share of young workers will remain robust in the US. Our results suggest a partial reversal of the European-US unemployment puzzle. Furthermore, with the aging population, lowering inflation volatility is less costly in terms of higher unemployment volatility. It suggests that optimal monetary policy should be more hawkish in the older society.
This document discusses how labor market inequality may push disadvantaged groups like women into entrepreneurship out of necessity. It presents a theoretical framework showing how greater gender employment gaps could increase the prevalence of female self-employment. The authors test this using data on gender wage and employment gaps matched with survey data on entrepreneurship. Their results show a robust positive effect of gender employment gaps on necessity-driven female entrepreneurship but little effect of wage gaps. This provides empirical support that labor market discrimination can push disadvantaged groups into self-employment when other employment options are limited.
Evidence concerning inequality in ability to realize aspirations is prevalent: overall, in specialized segments of the labor market, in self-employment and high-aspirations environments. Empirical literature and public debate are full of case studies and comprehensive empirical studies documenting the paramount gap between successful individuals (typically ethnic majority men) and those who are less likely to “make it” (typically ethnic minority and women). So far the drivers of these disparities and their consequences have been studied much less intensively, due to methodological constraints and shortage of appropriate data. This project proposes significant innovations to overcome both types of barriers and push the frontier of the research agenda on equality in reaching aspirations.
Overall, project is interdisciplinary, combining four fields: management, economics, quantitative methods and psychology. An important feature of this project is that it offers a diversified methodological perspective, combining applied microeconometrics, as well as experimental methods.
- The document discusses the optimal assignment of property rights when a social planner cannot commit to future trading mechanisms. This lack of commitment results in ex-post inefficiency and inefficient investment decisions due to hold-up problems.
- The social planner chooses property rights to alleviate these frictions. The paper proposes a framework to characterize the optimal property right using a mechanism design approach. The main result is that the optimal property right is simple but flexible, often featuring an option to own the property.
The document presents a framework for studying the optimal design of contractual property rights using mechanism design. It discusses how property rights determine agents' outside options in economic interactions and impact ex-post efficiency and investment incentives when the social planner cannot commit to future mechanisms. The authors analyze how to design property rights to alleviate these frictions in a setting with one-sided private information and bargaining power. A key result is that the optimal property right is often simple but flexible, featuring an option to own the resource.
The document presents a framework for studying the optimal design of contractual property rights. It discusses how property rights determine agents' outside options in economic interactions and impact ex-post efficiency and investment incentives when a social planner cannot commit to future mechanisms. The authors' contribution is characterizing the optimal property right from a non-parametric class in a setting with one-sided private information and bargaining power, finding that flexible rights featuring an option to own are often optimal.
The document presents a framework for studying the optimal design of contractual property rights. It discusses how property rights determine parties' outside options in economic interactions and impact efficiency and investment incentives. The framework models an interaction where a property rights holder participates in a trading mechanism. The optimal property right balances ex-post inefficiency and hold-up problems arising from the planner's inability to commit. The paper contributes by characterizing the optimal right from a non-parametric class of options and provides a foundation for why option-to-own contracts are attractive.
1. The document discusses a framework for determining the optimal allocation of goods when redistributive concerns are present. It considers allocating heterogeneous goods to agents who differ in observable characteristics, willingness to pay, and unobserved social welfare weights.
2. The designer aims to maximize a weighted sum of revenue and agents' utilities, where the weights reflect redistributive preferences. Non-market mechanisms may be optimal when observable information is imprecise or when certain groups have high welfare weights but monetary transfers are infeasible.
3. The optimal mechanism depends on how labels and willingness to pay statistically correlate with unobserved welfare weights, allowing the designer to estimate agents' relative "need".
1. The document discusses incentive separability in mechanism design problems and its implications for classic results in optimal taxation theory.
2. It introduces a framework to study incentive separability, which is when perturbing a set of decisions along agents' indifference curves preserves incentive constraints.
3. The main result is that the optimal mechanism allows unrestricted choice over incentive-separable decisions given prices and budgets, generalizing theorems by Atkinson-Stiglitz and Diamond-Mirrlees.
This document discusses inequality-aware market design and the use of "ordeals" as a screening mechanism for redistributing money. It defines ordeals as activities that are costly for agents but do not directly benefit anyone, such as waiting times or filling out forms. The document compares direct cash subsidies in the US to Indonesia's conditional cash transfer program that requires certain behaviors. It proposes analyzing the equity-efficiency tradeoff of using ordeals for redistribution and comparing different types of ordeals as screening devices. Recent research on using ordeals to improve targeting efficiency is cited but it is noted that little work has considered using ordeals specifically for redistributing money or compared different screening devices.
- The document discusses inequality-aware market design and how to structure redistribution policies using markets under imperfect information.
- It focuses on "ordeals", which are costly activities that do not directly benefit anyone, as a way to screen recipients and better target redistribution, particularly when allocating cash.
- Two examples of cash redistribution, direct subsidies in the US and Indonesia's conditional cash program, are contrasted to examine whether and how an ordeal could improve targeting and the equity-efficiency tradeoff.
This document discusses incentive separability in mechanism design. It introduces a framework that allows for complex incentive constraints like private information, moral hazard, and voluntary participation. It defines a new concept of incentive separability, where perturbing certain decisions along agents' indifference curves preserves incentive constraints. The main theorem states that for incentive-separable decisions, it is optimal to allow agents to make unrestricted choices over those decisions given prices and budgets. This can extend and unify previous results showing no distortions are needed for certain decisions. Applications discussed include the Atkinson-Stiglitz theorem on redundant commodity taxes and optimality of removing production distortions.
1. This project studies incentive separability using mechanism design theory. It introduces the concept of incentive separability, where perturbing certain decisions along indifference curves preserves incentive constraints.
2. The main theorem states that when decisions are incentive separable, it is optimal to allow agents to make unrestricted choices over those decisions given prices and budgets. This can improve the planner's objective over allocations that distort incentive separable decisions.
3. The results generalize prior findings like Atkinson-Stiglitz on redundant commodity taxes. Applications show food vouchers can be optimal by making food choices incentive separable for low-income agents.
Wpływ fluktuacji cykli koniunkturalnych na tempo endogenicznego wzrostu
1. Wpływ fluktuacji cykli koniunkturalnych
na tempo endogenicznego wzrostu
Marcin Bielecki
Narodowy Bank Polski
Uniwersytet Warszawski
9 listopada 2016
2. Zachowanie cykliczne nakładów na badania i rozwój w USA
1960 1970 1980 1990 2000 2010
Date
−8
−6
−4
−2
0
2
4
6
8
10
DeviationfromHPtrend
US Industrial R&D
Źródło: National Science Foundation (NSF), 1953-2014
4. Zachowanie cykliczne dynamiki zakładów pracy w USA
1995 2000 2005 2010 2015
Date
−15
−10
−5
0
5
10
15
DeviationfromHPtrend
Expansions
Contractions
Źródło: US BLS Business Employment Dynamics (BDM), 1992q3-2015q4
5. Zachowanie cykliczne dynamiki zakładów pracy w USA
1995 2000 2005 2010 2015
Date
−15
−10
−5
0
5
10
15
DeviationfromHPtrend
Births
Deaths
Źródło: US BLS Business Employment Dynamics (BDM), 1992q3-2015q4
6. Stabilność rozkładu rozmiarów zakładów pracy w USA
1975 1980 1985 1990 1995 2000 2005 2010
Year
10−3
10−2
10−1
100
Counter-cumulativedistribution
5
10
20
50
100
250
500
1000
Źródło: County Business Patterns (CBP), 1975-2014
7. Stabilność rozkładu rozmiarów zakładów pracy w USA
100
101
102
103
104
Establishment size (employees)
10−5
10−4
10−3
10−2
10−1
100
Counter-cumulativedistribution
fitted
1990
1995
2000
Źródło: Dane z Rossi-Hansberg and Wright (2007), 1990-2000
8. Motywacja
Badania nad cyklami koniunkturalnymi zazwyczaj wykorzystują
neoklasyczny model wzrostu z egzogenicznym postępem
technicznym (deterministyczny lub stochastyczny trend)
Badania nad endogenicznym wzrostem zazwyczaj skupiają się
na ścieżce zrównoważonego wzrostu i dynamice przejścia,
pomijając wpływ wahań cyklicznych
Badanie wypełnia lukę w literaturze, analizując wpływ wahań
cyklicznych na zachowanie się stopy endogenicznego wzrostu
9. Przegląd literatury
Literatura endogenicznych cykli koniunkturalnych zajmuje się
cyklicznymi konsekwencjami “nierównego” endogenicznego wzrostu:
Ozlu (1996), Maliar and Maliar (2004), Jones et al. (2005),
Walde (2005), Phillips and Wrase (2006)
Gabaix (2011), Acemoglu et al. (2012), Rozsypal (2015)
Literatura średniookresowych cykli koniunkturalnych bada
długookresowe oddziaływanie przejściowych szoków:
Comin and Gertler (2006), Anzoategui et al. (2016)
Literatura “straconych pokoleń” firm bada wpływ
obniżonej stopy wejść firm na istotne zmienne makroekonomiczne:
Siemer (2014), Pugsley et al. (2015), Messer et al. (2016),
Gourio et al. (2016)
10. Wartość dodana badania
Model cyklu koniunkturalnego
z endogenicznym wzrostem gospodarczym
Endogeniczny wzrost oparty na mikropodstawach,
w odróżnieniu od Comin and Gertler (2006)
Ocena wpływu przejściowych szoków na stopę endogenicznego
wzrostu i przesunięcia ścieżki zrównoważonego wzrostu
Nowe oszacowanie dobrobytowych efektów
występowania cykli koniunkturalnych
11. Cechy modelu
Inspiracje: Acemoglu et al. (2013) oraz Melitz and Redding (2014)
Stała populacja gospodarstw domowych miary 1
Brak kapitału, dwa typy pracy:
Praca wykwalifikowana: menedżerowie oraz badania i rozwój (B+R)
Praca niewykwalifikowana: produkcja
Stała proporcja s ∈ (0, 1) pracowników wykwalifikowanych
Doskonała konkurencja na rynku dóbr końcowych
Monopolistyczna konkurencja na rynku dóbr pośrednich:
Rosnące przychody skali (koszty stałe)
Elastyczność substytucji pomiędzy odmianami σ ∈ (1, ∞)
Zakłady pracy heterogeniczne pod względem jakości produktów
Zakłady pracy inwestują w B+R, aby podnieść jakość swoich dóbr
Innowacje zarówno horyzontalne, jak i wertykalne
Kreatywna destrukcja
Endogeniczne wejścia i wyjścia oraz nakłady na B+R
13. Proporcja pracowników produkcyjnych i nienadzorczych
1970 1980 1990 2000 2010
Date
70
75
80
85
90
95
Percent
Share of production and nonsupervisory employees
in total private employment
Źródło: US BLS Current Employment Statistics, 1964-2016
14. Cechy modelu
Inspiracje: Acemoglu et al. (2013) oraz Melitz and Redding (2014)
Stała populacja gospodarstw domowych miary 1
Brak kapitału, dwa typy pracy:
Praca wykwalifikowana: menedżerowie oraz badania i rozwój (B+R)
Praca niewykwalifikowana: produkcja
Stała proporcja s ∈ (0, 1) pracowników wykwalifikowanych
Doskonała konkurencja na rynku dóbr końcowych
Monopolistyczna konkurencja na rynku dóbr pośrednich:
Rosnące przychody skali (koszty stałe)
Elastyczność substytucji pomiędzy odmianami σ ∈ (1, ∞)
Zakłady pracy heterogeniczne pod względem jakości produktów
Zakłady pracy inwestują w B+R, aby podnieść jakość swoich dóbr
Innowacje zarówno horyzontalne, jak i wertykalne
Kreatywna destrukcja
Endogeniczne wejścia i wyjścia oraz nakłady na B+R
15. Funkcje produkcji
Aktywny zakład pracy zatrudnia f jednostek pracy wykwalifikowanej
i uzyskuje dostęp do liniowej funkcji produkcji:
yi,t = Ztqi,t
u
i,t (1)
y: poziom produkcji dobra pośredniego
Z: poziom zagregowanej produktywności o średniej 1
q: idiosynkratyczna jakość dobra pośredniego
u
: poziom zatrudnienia pracowników niewykwalifikowanych
Dobra pośrednie są przekształcane w dobra końcowe funkcją CES:
Yt =
ˆ Mt
0
y
(σ−1)/σ
i,t di
σ/(σ−1)
(2)
Y : poziom produkcji dobra końcowego
M ∈ (0, 1): miara populacji aktywnych zakładów pracy
16. Zagregowana funkcja produkcji i indeks jakości
Zagregowana funkcja produkcji dóbr końcowych:
Yt = ZtQtM
1
σ−1
t Lu
t (3)
Lu
: całkowita podaż pracy niewykwalifikowanej
Q : indeks zagregowanej (“przeciętnej”) jakości produktów:
Qt =
1
Mt
ˆ Mt
0
qσ−1
i,t di
1/(σ−1)
(4)
Wzrost Q jest źródłem długookresowego wzrostu gospodarczego
Relatywna jakość dobra pośredniego:
φi,t = (qi,t/Qt)
σ−1
(5)
17. Aktywne zakłady pracy I
Zysk “operacyjny” πo
jest funkcją relatywnej jakości produktu φ:
πo
i,t (φi,t) =
Yt
σMt
φi,t − ws
t f (6)
ws
: realna płaca pracownika wykwalifikowanego
Relatywna jakość w następnym okresie φi,t+1 jest wynikiem loterii:
φi,t+1 =
ι ·
φi,t
ηt,t+1
z prawdopodobieństwem α
φi,t
ηt,t+1
z prawdopodobieństwem 1 − α
(7)
ι: krok innowacyjny
η: przekształcona stopa wzrostu indeksu zagregowanej jakości Q
18. Aktywne zakłady pracy II
Zatrudnienie w B+R rd
podnosi szansę α na dokonanie innowacji
(Pakes and McGuire (1994) i Ericson and Pakes (1995)):
αi,t
rd
i,t, φi,t =
a rd
i,t/φi,t
1 + a rd
i,t/φi,t
(8)
a: efektywność nakładów B+R
Realny zysk π jest liniową funkcją φ:
πi,t (φi,t, αi,t) =
Yt
σMt
−
ws
t
a
αi,t
1 − αi,t
φi,t − ws
t f (9)
Wszystkie zakłady pracy o tym samym poziomie φ będą się
zachowywały identycznie: opuszczam indeks i
Notacja programowania dynamicznego: zmienne w czasie t
pisane bez indeksu, zmienne w czasie t + 1 oznaczone znakiem
19. Aktywne zakłady pracy III
Wprowadzam nową zmienną ω zdefiniowaną jako ws
/Y
Zakład pracy wybiera α maksymalizujące funkcję wartości:
v (φ, Z, M) = max
α∈[0,1]
1
σM − ω
a
α
1−α φ − ωf
+
max 0, E βγ1−θ
(1 − δ) v (φ , Z , M )
(10)
γ ≡ Y /Y : stopa wzrostu PKB na osobę (brutto)
δ: endogeniczne prawdopodobieństwo opuszczenia rynku
Stochastyczna produktywność Z podąża procesem AR(1)
Miara aktywnych zakładów pracy M podąża równaniem ruchu:
M = M − Mx
− δ (M − Mx
) + Me
(11)
Mx
: miara zakładów pracy “dobrowolnie” opuszczająca rynek
Me
: miara nowych zakładów pracy
20. Przybliżenie funkcji wartości funkcją kawałkami liniową
Funkcja kawałkami liniowa zmienia nachylenie dla wartości φ∗Policyfunctionα
true
approx.
φ∗
Relative quality level φ
Valuefunctionv
21. Funkcja polityki aktywnych zakładów pracy
0.95 1.00 1.05
Productivity shock Z
0.90
0.95
1.00
1.05
1.10
EstablishmentmassM
Success probability α (%)
47
48
49
50
51
52
53
22. Funkcja polityki aktywnych zakładów pracy
Productivity shock Z
0.90
0.95
1.00
1.05
1.10 Establishm
ent m
ass M
0.90
0.95
1.00
1.05
1.10
Successprobabilityα(%)
47
48
49
50
51
52
53
23. Potencjalnie wchodzące zakłady pracy
Wybierają prawdopodobieństwo wejścia αe
maksymalizujące funkcję wartości:
ve
= max
αe ∈[0,1]
−ω f e
+ 1
ae
αe
1−αe
+
αe
E βγ1−θ
v (φe
)
(12)
Wchodzące zakłady pracy losują jakość z rozkładu istniejących,
przeskalowanego w górę o σ
σ−1
Warunek wolnego wejścia
uwzględnia możliwość ujemnej wartości wejścia:
ve
≤ 0 (13)
24. Funkcja polityki potencjalnie wchodzących zakładów pracy
Wyrażona jako stopa wejść
0.95 1.00 1.05
Productivity shock Z
0.90
0.95
1.00
1.05
1.10
EstablishmentmassM
Entry rate Me
/M (%)
0
2
4
6
8
10
12
14
16
25. Funkcja polityki potencjalnie wchodzących zakładów pracy
Wyrażona jako stopa wejść
Establishment mass M
0.90
0.95
1.00
1.05
1.10 Productivity shock
Z
0.90
0.95
1.00
1.05
1.10
EntryrateMe
/M(%)
−2
0
2
4
6
8
10
12
14
16
26. Determinanty zagregowanego wzrostu
Zagregowana jakość w gospodarce rośnie w tempie η:
η =
Q
Q
σ−1
≈ (α (ι − 1) + 1)
Me
M
σ
σ − 1
− 1 + 1 (14)
Wzrost gospodarczy ceteris paribus szybszy przy wyższych α i Me
Na ścieżce zrównoważonego wzrostu wejścia odpowiadają
za ok. 1/3 wzrostu jakości (por. Acemoglu and Cao (2015))
27. Kalibracja I
Wartości parametrów powszechnie stosowane w literaturze
lub dopasowane do długookresowych średnich w USA
Par. Opis Wartość Uzasadnienie
s Udział prac. wykw. 0.1 Zgrubny szacunek1
β Czynnik dyskontujący 0.99 Standardowy
θ Odwrotność IES 2 Standardowy
σ Elastyczność substytucji 4 Przec. narzut 33%2
ρ Autokorelacja szoku prod. 0.95 Cooley (1995)
sd (ε) Odch. std. szoku prod. 0.007 Cooley (1995)
ι Krok innowacyjny 1.015 Wzrost PKB na os.
a Efekt. BiR istniejących 10 Eksp. ≈ kontr.
ae
Efekt. BiR wchodzących 10 a = ae
f Stały nakład pracy istn. 1 Zatrudnienie w B+R
f e
Stały nakład pracy wch. 1 Zyski / PKB
δexo
Prawd. egz. szoku wyjścia 0.02 Stopa wyjść
1Acemoglu et al. (2013)
2Christopoulou and Vermeulen (2010)
28. Kalibracja II
Parametry dopasowane do długookresowych średnich w USA
Opis Model Dane Źródło danych
Roczny wzrost PKB na os. 2.02% 2.08% BEA, 1947q1-2016q2
Stosunek eksp. do kontr. 1.005 1.01 BDM, 1992q3-2015q4
Udział zatrudnienia w B+R 0.98% 0.98% NSF & CBP, 1975-2008
Udział zysków w PKB 4.65% 6.53% BEA, 1947q1-2016q2
Stopa wyjść 3.07% 3.07% BDM, 1992q3-2015q4
29. Cykliczne korelacje zmiennych z produkcją
Momenty z danych obliczone z próby 1992q3-2015q4 (95 kwartałów)
Momenty z modelu obliczone z próby 10000 symulowanych kwartałów
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
1
-8 -7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 8
Output, Establishments (+i)
Data
Model
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
1
-8 -7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 8
Output, Net entry (+i)
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
1
-8 -7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 8
Output, Contractions (+i)
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
1
-8 -7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 8
Output, Expansions (+i)
Dobre dopasowanie do danych
Doskonałe dopasowanie ekspansji
Nieco gorsze dopasowanie kontrakcji i wejść netto
30. Cykliczne momenty zmiennych
Zmienna
Odch. std. Rel. o. s. Kor. z Y Autokor.
Dane Model Dane Model Dane Model Dane Model
Produkcja 1.52 1.09 1.00 1.00 1.00 1.00 0.89 0.80
Zakłady pracy 0.73 0.76 0.48 0.71 0.72 0.74 0.94 0.89
Ekspansje 2.76 1.26 1.82 1.16 0.82 0.86 0.77 0.92
Kontrakcje 2.49 0.40 1.64 0.37 0.01 0.13 0.79 0.60
Wejścia 3.43 12.13 2.26 12.08 0.62 0.53 0.46 0.45
Wyjścia 4.47 2.12 2.94 0.67 -0.10 -0.04 0.66 0.08
Wejścia netto 18.89 0.35 12.44 0.36 0.41 0.50 0.60 0.43
31. Funkcje reakcji na impuls I
Ścieżka zrównoważonego wzrostu trwale przesunięta o ok. 3.5% szoku
0 20 40 60 80 100
Quarter
0.0
0.2
0.4
0.6
0.8
1.0
1.2
Productivityshock(%)
0 20 40 60 80 100
Quarter
0.000
0.005
0.010
0.015
0.020
0.025
0.030
0.035
Qualitylevel(%)
33. Dobrobyt I
Czy zidentyfikowany efekt ma ekonomiczne znaczenie?
µ to skala zwiększenia konsumpcji,
przy której agent jest obojętny pomiędzy dwoma stanami świata:
U (µ) =
∞
t=0
βt (Ct (1 + µ))
1−θ
1 − θ
(15)
µ =
UBGP
UStoch
1
1−θ
− 1 (16)
Dla logarytmicznej funkcji użyteczności (θ = 1) Lucas (2003)
uzyskuje oszacowanie µ ≈ 0.05%
34. Dobrobyt II
Stan świata Użyteczność
Ekwiwalent
konsumpcji
Ścieżka wzrostu
-249.00 –
zrównoważonego
Stochastyczny
-249.12 0.05%
(egzogeniczny wzrost)
Stochastyczny
-257.85 3.56%
(endogeniczny wzrost)
Szacunek uzyskany za pomocą przybliżenia drugiego rzędu
Wpływ przejściowych szoków na stopę endogenicznego wzrostu
istotnie zmienia dobrobytowy koszt cykli koniunkturalnych
Oszacowanie o 2 rzędy wielkości (≈ 100) razy wyższe
od oszacowań dla modeli z egzogenicznym wzrostem
35. Wnioski
Model odtwarza cykliczne właściwości dynamiki zakładów pracy
Brak frykcji skutkuje mniejszą zmiennością w relacji do danych
Znaleziono długookresowe efekty przejściowych szoków:
3.5% szoku utrwala się,
przesuwając ścieżkę zrównoważonego wzrostu
Efekt ekonomicznie istotny: dobrobytowy koszt
cykli koniunkturalnych o 2 rzędy wielkości większy
niż w “tradycyjnym” szacunku
Oczekiwane działania frykcji w kierunku większej zmienności
– uzyskano dolne oszacowanie efektów histerezy
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