Bloomberg (United States)

Striking a Bargain: Narrative Identification of Wage Bargaining Shocks

ABSTRACT Wage markup shocks, an important driver of business cycles, are hard to pin down. We quantify the importance of exogenous variation in wage bargaining power, one source of those shocks, from German minimum wage introduction episodes and strikes. This disciplines the impu...

Refined expansions of the skew-stickiness ratio in stochastic volatility models

Building on the celebrated Bergomi–Guyon expansion, we derive next-to-leading order expansions in the volatility-of-volatility parameter for the Skew-Stickiness Ratio—an indicator of implied volatility dynamics—within a general class of forward variance models, thus pursuing the...