000			02121cam a22003497 4500
001			w17742
003			NBER
005			20211020110700.0
006			m o d
007			cr cnu||||||||
008			210910s2012 mau fo 000 0 eng d
100	1		_aKuehn, Lars-Alexander.
245	1	3	_aAn Equilibrium Asset Pricing Model with Labor Market Search / _cLars-Alexander Kuehn, Nicolas Petrosky-Nadeau, Lu Zhang.
260			_aCambridge, Mass. _bNational Bureau of Economic Research _c2012.
300			_a1 online resource: _billustrations (black and white);
490	1		_aNBER working paper series _vno. w17742
500			_aJanuary 2012.
520	3		_aSearch frictions in the labor market help explain the equity premium in the financial market. We embed the Diamond-Mortensen-Pissarides search framework into a dynamic stochastic general equilibrium model with recursive preferences. The model produces a sizeable equity premium of 4.54% per annum with a low interest rate volatility of 1.34%. The equity premium is strongly countercyclical, and forecastable with labor market tightness, a pattern we confirm in the data. Intriguingly, search frictions, combined with a small labor surplus and large job destruction flows, give rise endogenously to rare disaster risks a la Rietz (1988) and Barro (2006).
530			_aHardcopy version available to institutional subscribers
538			_aSystem requirements: Adobe [Acrobat] Reader required for PDF files.
538			_aMode of access: World Wide Web.
588	0		_aPrint version record
690		7	_aG12 - Asset Pricing • Trading Volume • Bond Interest Rates _2Journal of Economic Literature class.
690		7	_aJ23 - Labor Demand _2Journal of Economic Literature class.
700	1		_aPetrosky-Nadeau, Nicolas.
700	1		_aZhang, Lu. _923293
710	2		_aNational Bureau of Economic Research.
830		0	_aWorking Paper Series (National Bureau of Economic Research) _vno. w17742.
856	4	0	_uhttps://www.nber.org/papers/w17742
856			_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w17742
942			_2ddc _cW-PAPER
999			_c330381 _d288943