High Discounts and Low Fundamental Surplus: An Equivalence Result for Unemployment Fluctuations

References

• Andolfatto D (1996) Business cycles and labor-market search. Amer. Econom. Rev. 86(1):112–132.Google Scholar
• Bai H, Zhang L (2022) Searching for the equity premium. J. Financial Econom. 143(2):897–926.Crossref, Google Scholar
• Belo F, Lin X, Bazdresch S (2014) Labor hiring, investment, and stock return predictability in the cross section. J. Political Econom. 122(1):129–177.Crossref, Google Scholar
• Borovicka J, Borovickova K (2021) Risk premia and unemployment fluctuations. Working paper, New York University, New York.Google Scholar
• Brennan MJ, Wang AW, Xia Y (2004) Estimation and test of a simple model of intertemporal capital asset pricing. J. Finance 59(4):1743–1776.Crossref, Google Scholar
• Campbell JY, Cochrane JH (1999) By force of habit: A consumption based explanation of aggregate stock market behavior. J. Political Econom. 107(2):205–251.Crossref, Google Scholar
• Chodorow-Reich G, Karabarbounis L (2016) The cyclicality of the opportunity cost of employment. J. Political Econom. 124(6):1563–1618.Crossref, Google Scholar
• Cochrane JH (2011) Presidential address: Discount rates. J. Finance 66(4):1047–1108.Crossref, Google Scholar
• Constantinides GM, Duffie D (1996) Asset pricing with heterogeneous consumers. J. Political Econom. 104(2):219–240.Crossref, Google Scholar
• Décaire PH (2023) Capital budgeting and idiosyncratic risk. Working paper, Arizona State University, Tempe, AZ.Google Scholar
• Duffie D (2001) Dynamic Asset Pricing Theory, 3rd ed. (Princeton University Press, Princeton, NJ).Google Scholar
• Elsby MWL, Michaels R, Solon G (2009) The ins and outs of cyclical unemployment. Amer. Econom. J. Macroeconom. 1(1):84–110.Crossref, Google Scholar
• Fujita S, Ramey G (2009) The cyclicality of separation and job finding rates. Internat. Econom. Rev. 50(2):415–430.Crossref, Google Scholar
• Gormsen NJ, Huber K (2022) Corporate discount rates. Working paper, University of Chicago, Chicago.Google Scholar
• Hagedorn M, Manovskii I (2008) The cyclical behavior of equilibrium unemployment and vacancies revisited. Amer. Econom. Rev. 98(4):1692–1706.Crossref, Google Scholar
• Hall RE (2017) High discounts and high unemployment. Amer. Econom. Rev. 107(2):305–330.Crossref, Google Scholar
• Jagannathan R, Matsa DA, Meier I, Tarhan V (2016) Why do firms use high discount rates? J. Financial Econom. 120(3):445–463.Crossref, Google Scholar
• Kehoe PJ, Lopez P, Midrigan V, Pastorino E (2023) Asset prices and unemployment fluctuations. Rev. Econom. Stud. 90(3):1304–1357.Crossref, Google Scholar
• Kilic M, Wachter JA (2018) Risk, unemployment, and the stock market: A rare-event-based explanation of labor market volatility. Rev. Financial Stud. 31(12):4762–4814.Crossref, Google Scholar
• Kozak S, Santosh S (2020) Why do discount rates vary? J. Financial Econom. 137(3):740–751.Crossref, Google Scholar
• Lettau M, Wachter JA (2007) Why is long-horizon equity less risky? A duration-based explanation of the value premium. J. Finance 62(1):55–92.Crossref, Google Scholar
• Ljungqvist L, Sargent TJ (2017) The fundamental surplus. Amer. Econom. Rev. 107(9):2630–2665.Crossref, Google Scholar
• Mercan Y, Schoefer B, Sedlacek P (2022) A congestion theory of unemployment fluctuations. NBER Working Paper No. 28771, National Bureau of Economic Research, Cambridge, MA.Google Scholar
• Mitra I, Xu Y (2020) Time varying risk premium and unemployment risk across age groups. Rev. Financial Stud. 33(8):3624–3673.Crossref, Google Scholar
• Petrosky-Nadeau N, Zhang L, Kuehn L-A (2018) Endogenous disasters. Amer. Econom. Rev. 108(8):2212–2245.Crossref, Google Scholar
• Pissarides CA (1985) Short-run equilibrium dynamics of unemployment, vacancies, and real wages. Amer. Econom. Rev. 75(4):676–690.Google Scholar
• Pissarides CA (2000) Equilibrium Unemployment Theory, 2nd ed. (MIT Press, Cambridge, MA).Google Scholar
• Pissarides CA (2009) The unemployment volatility puzzle: Is wage stickiness the answer? Econometrica 77(5):1339–1369.Crossref, Google Scholar
• Shimer R (2005) The cyclical behavior of equilibrium unemployment and vacancies. Amer. Econom. Rev. 95(1):25–49.Crossref, Google Scholar
• Shimer R (2012) Reassessing the ins and outs of unemployment. Rev. Econom. Dynamics 15(2):127–148.Crossref, Google Scholar
• Singleton KJ (2006) Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment (Princeton University Press, Princeton, NJ).Crossref, Google Scholar
• Tsai J, Wachter JA (2015) Disaster risk and its implications for asset pricing. Annu. Rev. Financial Econom. 7(1):219–252.Crossref, Google Scholar
• Wachter JA (2013) Can time varying risk of rare disasters explain aggregate stock market volatility? J. Finance 68(3):987–1035.Crossref, Google Scholar