Risk aversion and the labor margin in dynamic equilibrium models

American Economic Review

Volumn 102, Issue 4, 2012, Pages 1663-1691

  Swanson, Eric T ^a  

^a FEDERAL RESERVE BANK OF SAN FRANCISCO   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84862605109     PISSN: 00028282     EISSN: None     Source Type: Journal    
DOI: 10.1257/aer.102.4.1663     Document Type: Review

References (38)

1. Alvarez, Fernando, and Nancy L. Stokey. 1998. "Dynamic Programming with Homogeneous Functions." Journal of Economic Theory 82(1):167-89. (Pubitemid 128343347)
2. Arrow, Kenneth. 1971. "Aspects of the Theory of Risk-Bearing." Yrjö Jahnsson Lectures. In Essays in the Theory of Risk Bearing, edited by Kenneth Arrow, 90-120. Chicago: Markum.
3. Aruoba, S. Boragan, Jesus Fernández-Villaverde, and Juan F. Rubio-Ramírez. 2006. "Comparing Solution Methods for Dynamic Equilibrium Economies." Journal of Economic Dynamics and Control 30(12):2477-2508. (Pubitemid 44444336)
4. Bachmann, Ruediger, and Christian Bayer. 2009. "Firm-specific Productivity Risk over the Business Cycle: Facts and Aggregate Implications." CESifo Working Paper 2844.
5. Bachmann, Ruediger, Ricardo J. Caballero, and Eduardo Engel. 2010. "Aggregate Implications of Lumpy Investment: New Evidence and a DSGE Model." Yale University Cowles Foundation Discussion Paper 1566R.
6. Backus, David, Bryan Routledge, and Stanley Zin. 2008. "Asset Prices in Business Cycle Analysis." Unpublished.
7. Benveniste, L. M., and J. A. Scheinkman. 1979. "On the Differentiability of the Value Function in Dynamic Models of Economics." Econometrica 47(3):727-32.
8. Bernanke, Ben S., Mark Gertler, and Simon Gilchrist. 1999. "The Financial Accelerator in a Quantitative Business Cycle Framework." In Handbook of Macroeconomics Volume 1 C, edited by J. B. Taylor and M. Woodford, 1341-93. Amsterdam: Elsevier Science, North-Holland.
9. Boldrin, Michele, Lawrence J. Christiano, and Jonas D. M. Fisher. 1997. "Habit Persistence and Asset Returns in an Exchange Economy." Macroeconomic Dynamics 1(2):312-32.
10. Boldrin, Michele, Lawrence J. Christiano, and Jonas D. M. Fisher. 2001. "Habit Persistence, Asset Returns, and the Business Cycle." American Economic Review 91(1):149-66. (Pubitemid 33594474)
11. Cochrane, John H. 2001. Asset Pricing. Princeton, NJ: Princeton University Press.
12. Constantinides, George M. 1990. "Habit Formation: A Resolution of the Equity Premium Puzzle." Journal of Political Economy 98(3):519-43.
13. Epstein, Larry G., and Stanley E. Zin. 1989. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework." Econometrica 57(4):937-69.
14. Farmer, Roger E. A. 1990. "RINCE Preferences." Quarterly Journal of Economics 105(1):43-60.
15. Flavin, Marjorie, and Shinobu Nakagawa. 2008. "A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence." American Economic Review 98(1):474-95.
16. Hansen, Gary D. 1985. "Indivisible Labor and the Business Cycle." Journal of Monetary Economics 16(3):309-27.
17. Jermann, Urban J. 1998. "Asset Pricing in Production Economies." Journal of Monetary Economics 41(2):257-75. (Pubitemid 128339197)
18. Khan, Aubhik, and Julia K. Thomas. 2008. "Idiosyncratic Shocks and the Role of Nonconvexities in Plant and Aggregate Investment Dynamics." Econometrica 76(2):395-436.
19. Kihlstrom, Richard E., and Leonard J. Mirman. 1974. "Risk Aversion with Many Commodities." Journal of Economic Theory 8(3):361-88.
20. King, Robert G., Charles I. Plosser, and Sergio T. Rebelo. 1988. "Production, Growth and Business Cycles: I. The Basic Neoclassical Model." Journal of Monetary Economics 21(2-3):195-232.
21. King, Robert G., Charles I. Plosser, and Sergio T. Rebelo. 2002. "Production, Growth and Business Cycles: Technical Appendix." Computational Economics 20(1-2):87-116. (Pubitemid 35347211)
22. Lagos, Ricardo, and Randall Wright. 2005. "A Unified Framework for Monetary Theory and Policy Analysis." Journal of Political Economy 113(3):463-84. (Pubitemid 40876101)
23. Mehra, Rajnish, and Edward C. Prescott. 1985. "The Equity Premium: A Puzzle." Journal of Monetary Economics 15(2):145-61.
24. Merton, Robert C. 1973. "An Intertemporal Capital Asset Pricing Model." Econometrica 41(5):867-87.
25. Mortensen, Dale T., and Christopher A. Pissarides. 1994. "Job Creation and Job Destruction in the Theory of Unemployment." Review of Economic Studies 61(3):397-415.
26. Pratt, J. W. 1964. "Risk Aversion in the Small and in the Large." Econometrica 32:122-36.
27. Rincón-Zapatero, Juan Pablo, and Carlos Rodriguez-Palmero. 2003. "Existence and Uniqueness of Solutions to the Bellman Equation in the Unbounded Case." Econometrica 71(5):1519-55.
28. Rudebusch, Glenn, and Eric T. Swanson. 2008. "Examining the Bond Premium Puzzle with a DSGE Model." Journal of Monetary Economics 55:S111-26.
29. Rudebusch, Glenn, and Eric Swanson. 2009. "The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks." Federal Reserve Bank of San Francisco Working Paper 2008-31.
30. Santos, Manuel S. 1991. "Smoothness of the Policy Function in Discrete Time Economic Models." Econometrica 59(5):1365-82.
31. Stiglitz, Joseph E. 1969. "Behavior Towards Risk with Many Commodities." Econometrica 37(4):660-67.
32. Stokey, Nancy L., Robert E. Lucas, Jr., and Edward C. Prescott. 1989. Recursive Methods in Economic Dynamics. Cambridge, MA: Harvard University Press.
33. Swanson, Eric T., Gary Anderson, and Andrew Levin. 2006. "Higher-Order Perturbation Solutions to Dynamic, Discrete-Time Rational Expectations Models." Federal Reserve Bank of San Francisco Working Paper 2006-01.
34. Swanson, Eric T. 2009. "Risk Aversion, the Labor Margin, and Asset Pricing in DSGE Models." Federal Reserve Bank of San Francisco Working Paper 2009-26.
35. Swanson, Eric T. 2012. "Risk Aversion and the Labor Margin in Dynamic Equilibrium Models: Dataset." American Economic Review. http://dx.doi.org/10.1257/aer.102.4.1663.
36. Tallarini, Thomas D., Jr. 2000. "Risk-Sensitive Real Business Cycles." Journal of Monetary Economics 45(3):507-32.
37. Uhlig, Harald. 2007. "Leisure, Growth, and Long Run Risk." Unpublished.
38. van Binsbergen, Jules, Jesus Fernandez-Villaverde, Ralph S. J. Koijen, and Juan F. Rubio-Ramirez. 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences." National Bureau of Economic Research Working Paper 15890.