Time-Varying Risk Premia and Heterogeneous Labor Market Dynamics

We are grateful to Marios Angeletos, Nittai Bergman, Jarda Borovicka, Carlos Burga, John Campbell, Daniel Greenwald, Kyle Herkenhoff, Christian Heyerdahl-Larsen, Killian Huber, Loukas Karabarbounis, Ellen McGrattan, Guido Menzio, Virgiliu Midrigan, Indrajit Mitra, Simon Mongey, Giuseppe Moscarini, Stijn Van Nieuwerburgh, Venky Venkateswaran, and Wenyu Wang for helpful comments and discussions. We also thank seminar and conference participants at the Capri Conference on Finance, Labor and Inequality, Chicago FRB, CUHK, Dartmouth, Econometric Society, EPFL, HEC Lausanne, HKU, Holden Conference, Imperial College London, Macro-Finance Society, Minneapolis FRB, MIT, NBER Summer Institute (EFEL), NYU, Princeton, SED, Stanford SITE, St. Louis FRB, UC Chile, UCL, UCLA Anderson, UIUC, University of Wisconsin–Madison, USC, Washington University in St. Louis, WFA, Yale, and others. The U.S. Census Bureau has not reviewed the paper for accuracy or reliability and does not endorse its contents. Any conclusions expressed herein are those of the authors and do not represent the views of the U.S. Census Bureau. The Census Bureau has reviewed this data product to ensure appropriate access, use, and disclosure avoidance protection of the confidential source data used to produce this product (Data Management System (DMS) number: P-7503840, Disclosure Review Board (DRB) approval numbers: CBDRB-FY24-SEHSD003-092, CBDRB-FY25-0099). The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

• December 12, 2023