Replication data for: Risk Aversion and the Labor Margin in Dynamic Equilibrium Models
- Swanson, Eric T.
AbstractThe 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.
Is supplement to
DOI: 10.1257/aer.102.4.1663 (Text)
Swanson, Eric T. “Risk Aversion and the Labor Margin in Dynamic Equilibrium Models.” American Economic Review 102, no. 4 (June 2012): 1663–91. https://doi.org/10.1257/aer.102.4.1663.
- ID: 10.1257/aer.102.4.1663 (DOI)
Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-11