Can an increase in uncertainty generate a fall in labour force participation? This paper supports an affirmative answer to this question. Using a structural vector autoregressive model, I show that: (i) a surge in uncertainty leads to a decrease in participation; (ii) uncertainty shocks account for a considerable proportion of participation fluctuations; and (iii) uncertainty shocks have in recent years contributed non‐marginally to participation variations. To explain these facts, I build a New Keynesian dynamic stochastic general equilibrium model with a frictional labour market, endogenous labour force and stochastic volatility. A model with flexible prices induces the expansionary effects of uncertainty on labour force participation. By contrast, a model with price stickiness can reproduce negative empirical comovements. As firms postpone hiring, the household follows a discouragement effect and responds by reducing the size of the labour force. This paper suggests that in a context of variable labour supply, labour market frictions alone do not suffice to reproduce the negative effects of uncertainty shocks. It also confirms the importance of rigid prices as an amplification mechanism for uncertainty shocks and suggests that the modelling of labour force participation has some implications on the transmission channel of uncertainty.

中文翻译：

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不确定性和劳动力参与*

不确定性增加会导致劳动力参与度下降吗？本文支持对该问题的肯定回答。使用结构矢量自回归模型，我表明：（i）不确定性激增导致参与度降低；（ii）不确定性冲击在参与波动中占很大比例；（iii）近年来，不确定性冲击对参与度差异的贡献微不足道。为了解释这些事实，我建立了一个具有摩擦劳动力市场，内生劳动力和随机波动性的新凯恩斯主义动态随机一般均衡模型。具有弹性价格的模型会导致不确定性对劳动力参与的扩大影响。相比之下，具有价格粘性的模型可以重现负的经验联动。减少影响，并通过减少劳动力规模来应对。本文认为，在劳动力供给变化的情况下，仅凭劳动力市场的摩擦不足以重现不确定性冲击的负面影响。它还证实了刚性价格作为不确定性冲击的放大机制的重要性，并表明劳动力参与的模型对不确定性的传递渠道有一定的影响。