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- W3162187162 abstract "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 cross-sectional 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." @default.
- W3162187162 created "2021-05-24" @default.
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- W3162187162 date "2020-11-09" @default.
- W3162187162 modified "2023-10-16" @default.
- W3162187162 doi "https://doi.org/10.29338/wp2020-20" @default.
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