Income Insurance and the Equilibrium Term-Structure of Equity

Roberto Marfè
Authors registered in the RePEc Author Service: Roberto Marfe ()

No 459, Carlo Alberto Notebooks from Collegio Carlo Alberto

Abstract: Output, wages and dividends feature term-structures of variance-ratios respectively flat, increasing and decreasing. Income insurance from shareholders to workers empirically and theoretically explains these term-structures. Risk sharing smooths wages but only concerns transitory risk and, hence, enhances the short-run dividend risk. A simple general equilibrium model, where labor rigidity affects dividend dynamics and the price of short-run risk, reconciles standard asset pricing facts with the term-structures of equity premium and volatility and those of macroeconomic variables, at odds in leading models. Consistently, actual

JEL-codes: D51 E21 G12 (search for similar items in EconPapers)
Pages: pages 84
Date: 2016
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Income Insurance and the Equilibrium Term Structure of Equity (2017)
Working Paper: Income Insurance and the Equilibrium Term-Structure of Equity (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:cca:wpaper:459

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