The use of portfolio credit risk models in Central Banks.

This report summarises the findings of the task force. It is organised as follows. Section 2 starts with a discussion of the relevance of credit risk for central banks. It is followed by a short introduction to credit risk models, parameters and systems in Section 3, focusing on models used by members of the task force. Section 4 presents the results of the simulation exercise undertaken by the task force. The lessons from these simulations as well as other conclusions are discussed in Section 5.

Labor Supply Effects of Social Insurance

This chapter examines the labor supply effects of social insurance programs. We argue that this topic deserves separate treatment from the rest of the labor supply literature because individuals may be imperfectly informed as to the rules of the programs and because key parameters are likely to differ for those who are eligible for social insurance programs, such as the disabled. Furthermore, differences in social insurance programs often provide natural experiments with exogenous changes in wages or incomes that can be used to estimate labor supply responses. Finally, social insurance often affects different margins of labor supply. For example, the labor supply literature deals mostly with adjustments in the number of hours worked, whereas the incentives of social insurance programs frequently affect the decision of whether to work at all. The empirical work on unemployment insurance (UI) and workers' compensation (WC) insurance finds that the programs tend to increase the length of time employees spend out of work. Most of the estimates of the elasticities of lost work time that incorporate both the incidence and duration of claims are close to 1.0 for unemployment insurance and between 0.5 and 1.0 for workers' compensation. These elasticities are substantially larger than the labor supply elasticities typically found for men in studies of the effects of wages or taxes on hours of work. The evidence on disability insurance and (especially) social security retirement suggests much smaller and less conclusively established labor supply effects. Part of the explanation for this difference probably lies in the fact that UI and WC lead to short-run variation in wages with mostly a substitution effect. Our review suggest that it would be misleading to apply a universal set of labor supply elasticities to these diverse problems and populations.

Job Loss and Effects on Firms and Workers

This paper serves as an introduction and (incomplete) survey of the wide-ranging literature on job loss. We begin with a discussion of job stability in the US and the commitment between firms and workers, and how this has changed in recent years. We then focus on the short and long-term consequences to workers (i.e. wages, health outcomes) following a layoff, and the effect which mass layoffs have on future firm performance. The changing nature of these relationships over the past several decades is a central theme of this paper. We review the common data sources used to examine these questions, and identify many influential papers on each topic. Additionally, we discuss alternative policies to the typical mass layoff, such as worksharing

Unemployment benefits as a search subsidy: new evidence on duration and wage effects of unemployment insurance

"Job search models offer two complementary predictions about the effects of unemployment benefits on job search outcomes among unemployed workers. By raising workers' reservation wages, unemployment benefits should contribute to both prolonged spell duration and improved post-unemployment job quality. In contrast to many previous empirical studies that have addressed the negative benefit effect on duration only, the current paper jointly addresses the causal effect of unemployment benefits on both unemployment duration and post-unemployment wages. Based on panel data from the Survey of Income and Program Participation and the German Socio-Economic Panel for the 1980s and 1990s, the paper establishes empirical support for both benefit effects in both countries. If anything, there is evidence of a slightly more negative duration effect for the U.S. data, while positive UI effects on post-unemployment wages are stronger in the German data. In any event, the empirical estimates for the positive effects of unemployment benefits on wages substantially exceed those obtained in Addison and Blackburn's recent paper based on Displaced Worker Survey data. In contrast to their findings, the data also provide ample evidence of stronger UI effects in the lower tails of the wage change distribution. At the cost of a fairly small prolongation of unemployment duration, unemployment benefits thus substantially reduce the scar effects of unemployment on workers' future job records." (author's abstract)"Die Suchtheorie macht zwei komplementäre Vorhersagen über den Einfluss der Arbeitslosenversicherung auf die Dynamik von Arbeitslosigkeit. Indem die Anspruchslöhne der Arbeitslosen erhöht werden, sollte die Arbeitslosenversicherung sowohl zu einer verlängerten Arbeitslosigkeitsdauer als auch zu einem verbesserten Matching bei Wiederbeschäftigung beitragen. Im Gegensatz zu anderen empirischen Studien, die nur den negativen Effekt der Dauer der Arbeitslosigkeit betrachten, werden im vorliegenden DP beide Effekte empirisch untersucht. Auf der Basis des sozio-ökonomischen Panels sowie vergleichbarer Paneldaten des Survey of Income and Program Participation können diese Effekte für beide Arbeitsmärkte empirisch nachgewiesen werden. Im Vergleich sind allenfalls die negativen Dauereffekte der Arbeitslosenversicherung in den USA etwas stärker, während in der Bundesrepublik die positiven Effekte auf die Qualität des Matchings vergleichsweise höher ausfallen. Die geschätzten positiven Lohneffekte wohlfahrtsstaatlicher Transfers liegen insgesamt höher als in der Studie von Addison und Blackburn, die auf Daten des Displaced Worker Survey basierte. Im Gegensatz zu dieser Studie lassen sich auch besonders starke Transfereffekte im unteren Bereich der Lohnveränderungsverteilung nachweisen. Auf Kosten einer geringen Verlängerung der Dauer von Arbeitslosigkeit reduzieren wohlfahrtsstaatliche Transferleistungen folglich die negativen Konsequenzen von Arbeitslosigkeit für den weiteren Erwerbsverlauf." (Autorenreferat

Dismissal Costs and their Impact on Employment: Evidence from Australian Small and Medium Enterprises

The influence of labor market regulation on employment and other macroeconomic variables is intensely debated across the OECD. In Australia the focus is currently on the employment impact of proposed changes to unfair dismissal provisions. There is surprisingly little research on the magnitude and structure of dismissal costs and this paper presents new data from a major survey of small- and medium-sized Australian enterprises. Dismissal costs are compared for different types of separations, including redundancy, uncontested fires and complex fires. Using the data and a simple labour demand model we estimate the employment impact of the proposed unfair dismissal changes, which we find likely to be modest.Hiring and Firing; Unfair Dismissal; Redundancy; Survey; Australia

Do contacts matter in the process of getting a job in Cameroon?

We question whether the use of social networks to exit unemployment matters in Cameroon. We develop a Weibull-type duration model which allows us to address this issue in a convenient way. Our investigations indicate that there is a strong evidence of endogeneity and sample selection biases. We then propose a three-step procedure to deal with both problems. Our results show that the use of social networks to exit unemployment is effective. Furthermore, we find that the hazard monotonically increases with time. Hence, unemployment exhibits a positive duration dependence. Moreover, we provide an analysis of factors that determine labor market participation and the use of social networks. We find that the density of the west native population in the center of Cameroon and religion are the only factors that determine the use of social networks. In contrast, characteristics such as age, sex, education, association’s membership, determine labor market participation.RePEc