Uncertainty and Labor Contract Durations

Rich, Robert W.; Tracy, Joseph

doi:10.3386/w7731

Cited by 21 publications

(19 citation statements)

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“…Related to Engle's original work, the modeling of inflation uncertainty and its relationship with labor market variables has recently been studied by Rich and Tracy (2004). They corroborate earlier findings of an inverse relationship between desired labor contract durations and the level of inflation uncertainty.…”

Section: Volatility Forecasting In Fields Outside Financesupporting

confidence: 70%

Volatility Forecasting

Andersen¹,

Bollerslev²,

Christoffersen³

et al. 2005

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Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then discusses a series of different economic situations in which volatility plays a crucial role, ranging from the use of volatility forecasts in portfolio allocation to density forecasting in risk management.Sections 3, 4 and 5 present a variety of alternative procedures for univariate volatility modeling and forecasting based on the GARCH, stochastic volatility and realized volatility paradigms, respectively. Section 6 extends the discussion to the multivariate problem of forecasting conditional covariances and correlations, and Section 7 discusses volatility forecast evaluation methods in both univariate and multivariate cases. Section 8 concludes briefly.

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Section: Volatility Forecasting In Fields Outside Financesupporting

confidence: 70%

Volatility Forecasting

Andersen¹,

Bollerslev²,

Christoffersen³

et al. 2005

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show abstract

“…However, the level of wage bargaining is often considered to be exogenous and few details are available on the content of wage agreements. Another strand of the literature looks at the determinants of firmlevel agreements in Canada and in the United States, emphasizing the role played by inflation or indexation clauses on bargained wage adjustments (see, for instance, Christofides and Wilton, 1983, Christofides and Stengos, 2003, Rich and Tracy, 2004and Christofides and Nearchou, 2007. Our contribution is to focus on a European country and to provide new results on wage floor adjustments contained in industry-level wage agreements.…”

Section: Introductionmentioning

confidence: 99%

The Impact of the National Minimum Wage on Industry-Level Wage Bargaining in France

2016

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Abstract:This paper examines empirically how industry-level wage floors are set in French industrylevel wage agreements and how the national minimum wage (NMW) interacts with industrylevel wage bargaining. For this, we use a unique dataset containing about 48,000 occupationspecific wage floors, in more than 340 French industries over the period [2006][2007][2008][2009][2010][2011][2012][2013][2014]. We find that the NMW has a significant impact on the seasonality and on the timing of the wage bargaining process. Inflation, past sectoral wage increases and real NMW increases are the main drivers of wage floor adjustments; elasticities of wage floors with respect to these macro variables are 0.6, 0.3 and 0.25 respectively. Wage floor elasticities to inflation and to the NMW both decrease along the wage floor distribution but are still positive for all levels of wage floors.Keywords: minimum wage, collective bargaining, wages. For that purpose, we collect a large and unique new data set containing all industry-specific scales of wage floors for more than 340 French industries (covering more than 90% of workers of the private sector) over the period 2006-2014. In each industry, wage floors are defined for a specific classification of representative occupations and are used by firms as a reference to set their wages. In our data set, we are able to compute the size of wage floor adjustments between two wage agreements for each occupation. Overall, our data set contains more than 48,000 wage floors for more than 6,000 different occupations defined in industry agreements.Our paper provides new stylized facts on how wage floors are adjusted in France. We first find that the frequency of wage floor adjustments is highly time-and duration-dependent: industrylevel wage agreements are much more frequent during the first quarter of the year, and the usual duration between two wage agreement signing (and so, between two wage floor adjustments) is one year. The frequency of wage floor adjustments is also positively affected by variations of macro variables such as inflation and the growth rate of aggregate wages. Concerning the size of wage floor adjustments, we provide evidence that past inflation plays a key role in 4 explaining the size of wage adjustments. Industry-specific shocks contribute to wage floor increases as long as NMW or inflation increases are not binding.Our second contribution is to investigate the interactions between NMW adjustments and the setting of industry-level wage floors. In France, one important channel of transmission of NMW increases to other wages may come from industry-level wage agreements. To assess the impact of the NMW increases on wage floors, we rely on a Tobit model to disentangle the simultaneous effects of NMW increases on the frequency of wage agreements and on the size of wage floor adjustments. Using changes in the macro variables since the last wage agreement in a given industry, we are able to construct industry-specific variables and to better identify their effects on wage floor...

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“…The possibilities in the area of analyzing the effects of inflation uncertainty are numerous. One example is examining the links between inflation uncertainty and labor contract durations (see Rich and Tracy (2004)). …”

Section: Discussionmentioning

confidence: 99%

The Links between Inﬂation and Inﬂation Uncertainty at the Longer Horizon

Tsyplakov

2010

SSRN Journal

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In this paper I examine the Okun-Friedman hypothesis of the link between inflation and inflation uncertainty using historical international data on the monthly CPI. An indicator of inflation uncertainty at the two-years-ahead horizon is derived from a time-series model of inflation with time-varying parameters by means of Monte Carlo simulations. This indicator is compared to other uncertainty measures, with the short forecast horizon and based on simpler GARCH-type models. The analysis convincingly demonstrates that both the longer horizon and changing parameters are important for the regularity. The evidence obtained strongly supports the Okun-Friedman hypothesis both in the time dimension for most countries and across countries.

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Uncertainty and Labor Contract Durations

Cited by 21 publications

References 0 publications

Volatility Forecasting

Volatility Forecasting

The Impact of the National Minimum Wage on Industry-Level Wage Bargaining in France

The Links between Inﬂation and Inﬂation Uncertainty at the Longer Horizon

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