| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17742 |
| 来源ID | Working Paper 17742 |
| An Equilibrium Asset Pricing Model with Labor Market Search | |
| Lars-Alexander Kuehn; Nicolas Petrosky-Nadeau; Lu Zhang | |
| 发表日期 | 2012-01-12 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | Search frictions in the labor market help explain the equity premium in the financial market. We embed the Diamond-Mortensen-Pissarides search framework into a dynamic stochastic general equilibrium model with recursive preferences. The model produces a sizeable equity premium of 4.54% per annum with a low interest rate volatility of 1.34%. The equity premium is strongly countercyclical, and forecastable with labor market tightness, a pattern we confirm in the data. Intriguingly, search frictions, combined with a small labor surplus and large job destruction flows, give rise endogenously to rare disaster risks a la Rietz (1988) and Barro (2006). |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Labor Economics ; Labor Supply and Demand |
| URL | https://www.nber.org/papers/w17742 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/575416 |
| 推荐引用方式 GB/T 7714 | Lars-Alexander Kuehn,Nicolas Petrosky-Nadeau,Lu Zhang. An Equilibrium Asset Pricing Model with Labor Market Search. 2012. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w17742.pdf（372KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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