STATE DEPENDENCE IN LABOR MARKET FLUCTUATIONS
利用阈值向量自回归模型发现，失业率、离职率和就业率对生产率冲击的反应在低生产率时期更大，并通过DMP模型解释了这种状态依赖性的主要机制。
Abstract This article documents state dependence in labor market fluctuations. Using a Threshold Vector Autoregression (TVAR) model, we establish that the unemployment rate, the job separation rate, and the job‐finding rate (JFR) exhibit a larger response to productivity shocks during periods with low aggregate productivity. A Diamond–Mortensen–Pissarides model with endogenous job separation and on‐the‐job search replicates these empirical regularities well. We calibrate the model to match the standard deviation of the job‐transition rates explained by productivity shocks in the TVAR, and show that the model explains 88% of the state dependence in the unemployment rate, 76% for the separation rate and 36% for the JFR. The key channel underpinning state dependence in both job separation and JFRs is the interaction of the firm's reservation productivity level and the distribution of match‐specific idiosyncratic productivity. Results are robust across several variations to the baseline model.