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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP14538 |
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 |
URL | https://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. |
条目包含的文件 | 条目无相关文件。 |
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