G2TT
来源类型Discussion paper
规范类型论文
来源IDDP14538
DP14538 Higher-Order Income Risk over the Business Cycle
Christopher Busch; Alexander Ludwig
发表日期2020-03-28
出版年2020
语种英语
摘要We extend the canonical income process with persistent and transitory risk to shock distributions with left-skewness and excess kurtosis, to which we refer as higher- order risk. We estimate our extended income process by GMM for household data from the United States. We find countercyclical variance and procyclical skewness of persistent shocks. All shock distributions are highly leptokurtic. The existing tax and transfer system reduces dispersion and left-skewness of shocks. We then show that in a standard incomplete-markets life-cycle model, first, higher-order risk has sizable welfare implications, which depend crucially on risk attitudes of households; second, higher-order risk matters quantitatively for the welfare costs of cyclical idiosyncratic risk; third, higher-order risk has non-trivial implications for the degree of self-insurance against both transitory and persistent shocks.
主题Monetary Economics and Fluctuations
关键词Labor income risk Business cycle Gmm estimation Skewness Persistent and transitory income shocks Risk attitudes Life-cycle model
URLhttps://cepr.org/publications/dp14538
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/543443
推荐引用方式
GB/T 7714
Christopher Busch,Alexander Ludwig. DP14538 Higher-Order Income Risk over the Business Cycle. 2020.
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