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- W2062407489 abstract "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." @default.
- W2062407489 created "2016-06-24" @default.
- W2062407489 creator A5010054337 @default.
- W2062407489 date "2012-06-01" @default.
- W2062407489 modified "2023-10-09" @default.
- W2062407489 title "Risk Aversion and the Labor Margin in Dynamic Equilibrium Models" @default.
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- W2062407489 doi "https://doi.org/10.1257/aer.102.4.1663" @default.
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