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来源类型Working Paper
规范类型报告
DOI10.3386/w22883
来源IDWorking Paper 22883
Portfolio Choices, Firm Shocks and Uninsurable Wage Risk
Andreas Fagereng; Luigi Guiso; Luigi Pistaferri
发表日期2016-12-05
出版年2016
语种英语
摘要Assessing the importance of uninsurable wage risk for individual financial choices faces two challenges. First, the identification of the marginal effect requires a measure of at least one component of risk that cannot be diversified or avoided. Moreover, measures of uninsurable wage risk must vary over time to eliminate unobserved heterogeneity. Second, evaluating the economic significance of risk requires knowledge of the size of all the wage risk actually faced. Existing estimates are problematic because measures of wage risk fail to satisfy the ”non-avoidability” requirement. This creates a downward bias which is at the root of the small estimated effect of wage risk on portfolio choices. To tackle this problem we match panel data of workers and firms and use the variability in the profitability of the firm that is passed over to workers to obtain a measure of uninsurable risk. Using this measure to instrument total variability in individual earnings, we find that the marginal effect of uninsurable wage risk is much larger than estimates that ignore endogeneity. We bound the economic impact of risk and find that its overall effect is contained, not because its marginal effect is small but because its size is small. And the size of uninsurable wage risk is small because firms provide substantial wage insurance.
主题Microeconomics ; Households and Firms ; Behavioral Economics ; Financial Economics ; Portfolio Selection and Asset Pricing ; Labor Economics ; Labor Compensation
URLhttps://www.nber.org/papers/w22883
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/580557
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Andreas Fagereng,Luigi Guiso,Luigi Pistaferri. Portfolio Choices, Firm Shocks and Uninsurable Wage Risk. 2016.
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