Arbeitspapier
Limited household risk sharing: General equilibrium implications for the term structure of interest rates
We present a theory in which limited risk sharing of idiosyncratic labor income risk plays a key role in determining the dynamics of interest rates. Our production-based model relates the crosssectional distribution of labor income risk to observable aggregate labor market variables. Our model makes two key predictions. First, it predicts positive risk premia for long-term bonds while simultaneously matching key macroeconomic moments. Second, it predicts a negative correlation between current labor market conditions (as measured by labor market tightness or the job-finding rate) and future bond excess returns. We provide evidence for these predictions.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2020-20
- Klassifikation
-
Wirtschaft
Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
Interest Rates: Determination, Term Structure, and Effects
Financial Markets and the Macroeconomy
Asset Pricing; Trading Volume; Bond Interest Rates
Unemployment: Models, Duration, Incidence, and Job Search
- Thema
-
interest rates
nondiversifiable labor income risk
labor market frictions
bond risk premia
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Mitra, Indrajit
Xu, Yu
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of Atlanta
- (wo)
-
Atlanta, GA
- (wann)
-
2020
- DOI
-
doi:10.29338/wp2020-20
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Mitra, Indrajit
- Xu, Yu
- Federal Reserve Bank of Atlanta
Entstanden
- 2020
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