Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/244301 
Autor:innen: 
Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
Working Paper No. 2020-20
Verlag: 
Federal Reserve Bank of Atlanta, Atlanta, GA
Zusammenfassung: 
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 crosssectional 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.
Schlagwörter: 
interest rates
nondiversifiable labor income risk
labor market frictions
bond risk premia
JEL: 
E24
E43
E44
G12
J64
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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