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Labor market search, endogenous disasters and the equity premium puzzle

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  • Heiberger, Christopher

Abstract

The present paper investigates: (i) the endogenous disaster mechanism in a textbook search-and-matching model when calibrated with a constant flow value of unemployment that is close to average labor productivity and (ii) its contribution to solve the equity premium puzzle.

Suggested Citation

  • Heiberger, Christopher, 2020. "Labor market search, endogenous disasters and the equity premium puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
    • Handle: RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188920300671
    DOI: 10.1016/j.jedc.2020.103899
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    1. Krivenko, Pavel, 2023. "Asset prices in a labor search model with confidence shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).

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    More about this item

    Keywords

    Economic disasters; Equity premium puzzle; Search-and-matching frictions; Unemployment;
    All these keywords.

    JEL classification:

    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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