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Time-Varying Risk Premia and Heterogeneous Labor Market Dynamics
Dimitris Papanikolaou, Northwestern University
Using U.S. administrative data on worker earnings, we show that increases in risk premia lead to lower labor earnings, particularly for...
Oil, Inflation Expectations, and Household Characteristics: A Nonlinear Heterogeneous Agent VAR Approach
Christiane Baumeister, University of Notre Dame
In this paper, we develop a scalable micro-macro modeling framework that integrates linear multivariate time series models with nonlinear...
