unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price …-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are … procyclical while the market return has countercyclical mean and variance. Finally, household consumption risk explains the cross …

trade model with income-risk neutrality there tends to be an uncertainty- increasing motive for a TA. With income-risk … degree of risk aversion, an uncertainty- reducing motive for a TA is more likely to be present when the economy is more open …

choices over the life cycle. We start by analyzing the theoretical impact of income changes on consumption - highlighting the … contributions, distinguishing between papers that use only income data and those that use both income and consumption data. The … and identify the income process or the information set of the individuals. Second, one can assume that the income process …

Efforts to reconcile inconsistencies between theory and estimates of the income elasticity of the value of a … how exogenous income shocks, such as unexpected medical expenditures, may affect labor supply decisions which in turn … influence both the coefficient of relative risk aversion and the IEVSL. The presence of a consumption commitment, such as a home …

This paper studies the business-cycle variation in higher-order (labor) income risk--that is, risks that are captured … analysis: the United States, Germany, and Sweden. Our analysis has three main results. First, using individual gross income, we …-sector jobs, among others. Second, household-level income displays cyclical patterns that are very similar to individual income …

facing uninsurable idiosyncratic labor income risk. The Ramsey government internalizes the general equilibrium feedback of … optimal aggregate saving rate is independent of income risk. The optimal time-invariant tax on capital is increasing in income … that the optimal steady state saving rate is increasing in income risk if and only if the intertemporal elasticity of …

) welfare-neutral. Only a small part of measured income mobility is due to either welfare-reducing income risk or welfare …This paper presents a framework for the quantitative analysis of individual income dynamics, mobility and welfare, with … ex-ante identical individuals facing a stochastic income process and market incompleteness implying that they are unable …

In this paper we reassess the evidence on labor income risk. There are two leading views on the nature of the income … process in the current literature. The first view, which we call the "Restricted Income Profiles" (RIP) process, holds that … individuals are subject to large and very persistent shocks, while facing similar life-cycle income profiles. The alternative view …

) preferences, the absence of insurance markets for idiosyncratic labor income risk has no effect on the premium for aggregate risk …In a standard incomplete markets model with a continuum of households that have constant relative risk aversion (CRRA … if the distribution of idiosyncratic risk is independent of aggregate shocks and aggregate consumption growth is …

I introduce money into an incomplete markets model with heterogeneous agents and uninsurable income risk. I show that … the model exhibits both non-monetary and monetary equilibria, with the latter existing when income risk is sufficiently …