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 …

search intensity has two opposing effects on equity risk premium: It increases the price of risk by increasing the volatility … of the stochastic discount factor; it decreases the quantity of risk by decreasing the procyclicality of dividends …

We present data from the Survey of Consumer Finances showing that the increased earnings (labor income) inequality, in … combination with increased stockmarket participation, has roughly doubled stockholders' share of aggregate labor income in the … last four decades. We explore the impact of the increase in this share on returns to equity and returns to a risk-free bond …

generalized framework accommodates jumps and heterogeneous recursive preferences. I show that countercyclical cross-sectional risk … is irrelevant to risk premia if and only if all agents have identical, time-additive power utility and cross …-sectional risk is uncorrelated with aggregate consumption risk. It always affects the riskfree rate and equity volatility. I …

framework developed by Hyman P. Minsky, the paper focuses on the risk of amplification of shock via a debt deflation instead of … the risk of a shock per se. Thus, instead of focusing on credit risk, for example, financial fragility is defined in … relation to the means used to service debts, given credit risk and all other sources of shocks. The greater the expected …

This article analyzes the effect of valuations-based capital requirements and concentration risk provisions on the risk … easing. Capital requirements decline asymmetrically, which creates a risk-shifting impulse. Sticky bank capital rents can … strengthen this risk-shift …

framework developed by Hyman P. Minsky, the paper focuses on the risk of amplification of shock via a debt deflation instead of … the risk of a shock per se. Thus, instead of focusing on credit risk, for example, financial fragility is defined in … relation to the means used to service debts, given credit risk and all other sources of shocks. The greater the expected …

This paper analyzes optimal monetary and fiscal policy in a model where money and savings are essential and asset …