Replication data for: Risk Aversion and the Labor Margin in Dynamic Equilibrium Models
Principal Investigator(s): View help for Principal Investigator(s) Eric T. Swanson
Version: View help for Version V1
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Project Citation:
Swanson, Eric T. Replication data for: Risk Aversion and the Labor Margin in Dynamic Equilibrium Models. Nashville, TN: American Economic Association [publisher], 2012. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-11. https://doi.org/10.3886/E112535V1
Project Description
Summary:
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The household's labor margin has a substantial effect on risk aversion, and hence asset prices, in dynamic equilibrium models even when utility is additively separable between consumption and labor. This paper derives simple, closed-form expressions for risk aversion that take into account the household's labor margin. Ignoring this margin can dramatically overstate the household's true aversion to risk. Risk premia on assets priced
with the stochastic discount factor increase essentially linearly with risk aversion, so measuring risk aversion correctly is crucial for asset pricing in the model.
Scope of Project
JEL Classification:
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D11 Consumer Economics: Theory
D81 Criteria for Decision-Making under Risk and Uncertainty
G12 Asset Pricing; Trading Volume; Bond Interest Rates
J22 Time Allocation and Labor Supply
O41 One, Two, and Multisector Growth Models
D11 Consumer Economics: Theory
D81 Criteria for Decision-Making under Risk and Uncertainty
G12 Asset Pricing; Trading Volume; Bond Interest Rates
J22 Time Allocation and Labor Supply
O41 One, Two, and Multisector Growth Models
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