Our paper represents the first attempt in the literature to estimate the properties of business income risk from …-2009, we extensively document the empirical stylized facts about the evolution of various business income risk measures over … privately held businesses in the US. Using a new, large, and confidential panel of US income tax returns for the period 1987 …

facts of income risk from privately held businesses in the US using a large panel. We employ a new, large, and confidential … distribution of business income risk has less mass in the middle and exhibits significantly thicker tails, compared to the … distribution of labor income risk. Our data also suggest that high-income households are more likely to face the tail risks on both …

response functions of earnings shocks and find important asymmetries: Positive shocks to high-income individuals are quite … transitory, whereas negative shocks are very persistent; the opposite is true for low-income individuals. Finally, we use these …

, we estimate nonparametric impulse response functions and find important asymmetries: positive changes for high-income … individuals are quite transitory, whereas negative ones are very persistent; the opposite is true for low-income individuals …

response functions of earnings shocks and find important asymmetries: Positive shocks to high-income individuals are quite … transitory, whereas negative shocks are very persistent; the opposite is true for low-income individuals. Finally, we use these …

earnings, capital income and net worth, we find evidence for excess returns on investment among the highest income groups … high correlation between earnings and wealth in the data, as well as the fact that earnings are a major source of income … for top income and wealth groups. …

earnings shocks and find important asymmetries: positive shocks to high-income individuals are quite transitory, whereas … negative shocks are very persistent; the opposite is true for low-income individuals. Finally, we use these rich sets of …