Time-Varying Risk Premia, Labor Market Dynamics, and Income Risk

We are grateful to Marios Angeletos, Nittai Bergman, Jarda Borovicka, Carlos Burga, John Campbell, Kyle Herkenhoff, Loukas Karabarbounis, Christian Heyerdahl-Larsen, Killian Huber, Ellen McGrattan, Guido Menzio, Indrajit Mitra, Simon Mongey, Giuseppe Moscarini, Venky Venkateswaran, Stijn Van Nieuwerburgh, 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, Dartmouth, Econometric Society, EPFL, HEC Lausanne, Holden Conference, Macro-Finance Society, MIT, Minneapolis FRB, NBER Summer Institute (EFEL), NYU Stern, Princeton, SED, St. Louis FRB, UC Chile, UCLA Anderson, UIUC, University of Wisconsin–Madison, USC, Washington University in St. Louis, WFA, 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-FY23-SEHSD003-070, CBDRB-FY24-SEHSD003-008). The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.