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RIEB, Kobe University Site Map Access 日本語 Home Research & Education Publications RIEB Discussion Paper Series (English) RIEB Discussion Paper Series No.2016-14 RIEB Discussion Paper Series No.2016-14 Title Endogenous Procyclicality of Labor Productivity, Employment, Real Wages and Effort in Conditionally Heteroskedastic Sunspots Unemployment Business Cycles with Negishi-Solow Efficiency Wages Abstract This work introduces a new mechanism that is able to generate procyclical comovements of aggregate labor productivity, employment and real wages, through endogenous variations of workers' effort, in a simple model involving structural unemployment, efficiency wages, financial market imperfections and expectations driven conditionally heteroskedastic sunspots business cycles, near a locally indeterminate steady state. Owing to imperfect effort monitoring, workers' effort level equates their disutility of effort to their expected utility gain of not shirking, in terms of their earned real income, and of the resulting anticipated random consumption. A positive current (consumption) sunspot shock generates a countercyclical uncertainty shock, i.e. a drecrease of the anticipated sunspot volatility, and makes risk averse workers more willing to provide "precautionary effort" by increasing their expected utility gain of not shirking. If workers' relative prudence is small and decreasing fast near the steady state, profit maximizing firms' choice of effciency wage contracts generates significant endogenous procyclical variations of effort and employment, in particular when the capital-efficient labor elasticity of substitution is smaller than 1. Keywords Efficiency wages, Unemployment, Expectation driven business cycles, Conditionally heteroskedastic sunspots, Countercyclical uncertainty shocks, Prudence, Procyclical labor effort and productivity JEL Classification E00, E24, E32, J41 Inquiries Jean-Michel GRANDMONT ICEF, Department of Economics, University Ca' Foscari di Venezia at San Giobbe, Italy About RIEB Faculty Seminars at RIEB Research & Education Sections Kobe University Site Policy Site Map Access Contact Us Copyright©1996-2018 Research Institute for Economics and Business Administration, Kobe University. All Rights Reserved.