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Article: Time-Varying Risk Premium and Unemployment Risk across Age Groups

TitleTime-Varying Risk Premium and Unemployment Risk across Age Groups
Authors
Mitra, IXu, Y
Issue Date2020
PublisherOxford University Press. The Journal's web site is located at http://rfs.oxfordjournals.org/
Citation
The Review of Financial Studies, 2020, v. 33 n. 8, p. 3624-3673 How to Cite?
DOI: http://dx.doi.org/10.1093/rfs/hhz122
AbstractWe show that time-varying risk premium in financial markets can explain a key, yet puzzling, feature of labor markets: the large differences in unemployment risk across worker age groups over the business cycle. Our search model features a time-varying risk premium and learning about unobserved heterogeneity in worker productivity. Their interaction generates large real effects through firms’ labor policies. Our model predicts higher unemployment risk of younger workers relative to prime-age workers when risk premium is high, and the employment ratio of prime-age to young workers to be more cyclical in high beta industries. We find empirical support for these predictions.
Persistent Identifierhttp://hdl.handle.net/10722/281849
ISSN
0893-9454
2021 Impact Factor: 8.414
2020 SCImago Journal Rankings: 12.800
ISI Accession Number ID
WOS:000577312900006

 

DC FieldValueLanguage
dc.contributor.authorMitra, I-
dc.contributor.authorXu, Y-
dc.date.accessioned2020-04-03T07:22:40Z-
dc.date.available2020-04-03T07:22:40Z-
dc.date.issued2020-
dc.identifier.citationThe Review of Financial Studies, 2020, v. 33 n. 8, p. 3624-3673-
dc.identifier.issn0893-9454-
dc.identifier.urihttp://hdl.handle.net/10722/281849-
dc.description.abstractWe show that time-varying risk premium in financial markets can explain a key, yet puzzling, feature of labor markets: the large differences in unemployment risk across worker age groups over the business cycle. Our search model features a time-varying risk premium and learning about unobserved heterogeneity in worker productivity. Their interaction generates large real effects through firms’ labor policies. Our model predicts higher unemployment risk of younger workers relative to prime-age workers when risk premium is high, and the employment ratio of prime-age to young workers to be more cyclical in high beta industries. We find empirical support for these predictions.-
dc.languageeng-
dc.publisherOxford University Press. The Journal's web site is located at http://rfs.oxfordjournals.org/-
dc.relation.ispartofThe Review of Financial Studies-
dc.rightsPre-print: Journal Title] ©: [year] [owner as specified on the article] Published by Oxford University Press [on behalf of xxxxxx]. All rights reserved. Pre-print (Once an article is published, preprint notice should be amended to): This is an electronic version of an article published in [include the complete citation information for the final version of the Article as published in the print edition of the Journal.] Post-print: This is a pre-copy-editing, author-produced PDF of an article accepted for publication in [insert journal title] following peer review. The definitive publisher-authenticated version [insert complete citation information here] is available online at: xxxxxxx [insert URL that the author will receive upon publication here].-
dc.titleTime-Varying Risk Premium and Unemployment Risk across Age Groups-
dc.typeArticle-
dc.identifier.emailXu, Y: yxu1@hku.hk-
dc.identifier.authorityXu, Y=rp02036-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1093/rfs/hhz122-
dc.identifier.scopuseid_2-s2.0-85101042806-
dc.identifier.hkuros309659-
dc.identifier.volume33-
dc.identifier.issue8-
dc.identifier.spage3624-
dc.identifier.epage3673-
dc.identifier.isiWOS:000577312900006-
dc.publisher.placeUnited Kingdom-
dc.identifier.issnl0893-9454-

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