Wage Rigidity: A Quantitative Solution to Several Asset Pricing Puzzles
标准生产模型中工资波动过高而股权波动过低，该研究通过引入粘性工资和CES生产函数，同时平滑了工资并提高了股权波动性，还解释了夏普比率高、利率低且平滑、股权波动和溢价时变、价值溢价以及向下倾斜的股权期限结构等金融数据特征。
In standard production models, wage volatility is far too high, and equity volatility is far too low. A simple modification–sticky wages because of infrequent resetting together with a constant elasticity of substitution (CES) production function leads to both smoother wages and higher equity volatility. Further, the model produces several other hard-to-explain features of financial data: high Sharpe ratios, low and smooth interest rates, time-varying equity volatility and premium, a value premium, and a downward-sloping equity term structure. Procyclical, volatile wages are a hedge for firms in standard models; smoother wages act like operating leverage, making profits and dividends riskier. Received July 30, 2013; accepted July 6, 2015 by Editor Geert Bekaert.