题 目：Wage Rigidity: A Solution to Several Asset Pricing Puzzles

汇报人：Xiaoji Lin（Ohio State University）

功夫：July 18, 2013 (Thursday）PM14:00---15:30

地址:Room 218, Guanghua Building #1

Abstract：

Wage rigidity is crucial to understand .financial market puzzles. In standard production based models labor income volatility is far too high and equity return volatility is far too low (excess volatility puzzle). We show that a simple modification of the standard model. sticky wages as a consequence of infrequent wage resetting - allows the model to match both the (i) smoother wages and (ii) the high equity return volatility observed in the data. Furthermore, the model produces several other hard to explain features of .financial data: (iii) high unconditional Sharpe Ratios, (iv) low and smooth interest rates, (v) time-varying equity volatility and equity premium, as well as (vi) a value premium. The intuition is that in standard models, highly pro-cyclical and volatile wages act as a hedge for the firm, reducing profits in good times and increasing them in bad times; this causes profit and returns to be too smooth. Infrequent resetting smoothes wages, and smooth wages act like operating leverage, making profits more risky. Bad times and unproductive .firms are especially risky because committed wage payments are high relative to output.

JEL Classification: E22, E23, E24, E32, G12

Keywords: Equity Volatility, Equity Premium, Return Predictability, Wage Rigidity, Long Run Risk, General Equilibrium