Implications of Labor Market Frictions for Risk Aversion and Risk Premia

• 成果类型: Article
• 署名作者: Swanson, Eric T.
• 署名单位: University of California System; University of California Irvine
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20170446
• 发表日期: 2020
• 页码: 194-240
• 关键词: business cycles; long-run; term structure; asset returns; DSGE model; consumption; habit; inflation; unemployment; RESOLUTION

摘要

A flexible labor margin allows households to absorb asset value shocks with changes in hours worked, altering the households' attitudes toward risk (Swanson 2012). This paper analyzes how frictional labor markets affect that analysis. Risk aversion is higher (i) in countries with more frictional labor markets, (ii) in recessions, and (iii) for households that have more difficulty finding a job. Labor market frictions in Europe are large enough to raise risk aversion in those countries. Nevertheless, risk aversion in the United States and Europe is much closer to the frictionless benchmark in Swanson (2012) than to traditional, fixed-labor measures.