| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3609 |
| DP3609 Sheepskin Effects in Japan | |
| Thomas Bauer; John P Haisken-DeNew; Patrick J Dross | |
| 发表日期 | 2002-11-20 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | Recent theoretical work has shown the importance of measuring microeconomic uncertainty for models of both general and partial equilibrium under imperfect insurance. In this Paper the assumption of i.i.d. income innovations used in previous empirical studies is removed and the focus of the analysis placed on models for the conditional variance of income shocks, which is related to the measure of risk emphasized by the theory. We first discriminate amongst various models of earnings determination that separate income shocks into idiosyncratic transitory and permanent components. We allow for education- and time-specific differences in the stochastic process for earnings and for measurement error. The conditional variance of the income shocks is modelled as a parsimonious ARCH process with both observable and unobserved heterogeneity. The empirical analysis is conducted on data drawn from the 1967-92 Panel Study of Income Dynamics. We find strong evidence of sizeable ARCH effects as well as evidence of unobserved heterogeneity in the variances. |
| 主题 | Labour Economics |
| 关键词 | Microeconomic uncertainty Arch Earnings |
| URL | https://cepr.org/publications/dp3609 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532628 |
| 推荐引用方式 GB/T 7714 | Thomas Bauer,John P Haisken-DeNew,Patrick J Dross. DP3609 Sheepskin Effects in Japan. 2002. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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