We develop a new approach to the decomposition of income risk within a nonstationary model of intertemporal choice. The … approach allows for changes in income risk over the life-cycle and with the business cycle. It requires only repeated cross … stochastic simulation of consumption choices in a nonstationarity environment is used to show the robustness of the method for …

incomplete markets model. Moreover, age-varying risk implies a linear increase in consumption inequality late in working life …We study workers' idiosyncratic earnings risk over the life-cycle using a German administrative data set. Positive and …

We estimate the changes in US male labor market risk over the last three decades in a model of endogenous labor supply … a life-cycle model with search frictions, we show that the estimated changes in risk can account for 85 percent of the … increase in within group wage inequality. The welfare costs of rising risk are small …

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … evidence against Sharpe-Lintner CAPM is found mainly during the recent financial crisis. Furthermore, a strong negative …

Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …

This paper revisits the standard model of labor supply under two additional assumptions: consumption requires time and … utility at the optimum and above a critical wage level it converts into a pure consumption good. Their labor-supply curve is …

Consumption expenditure declines sharply at the time of retirement for many households, but the majority maintain a … smooth consumption path. A simple life cycle model with uncertainty about the time of retirement can account for this pattern … consumption expenditure at retirement generated by the model is zero, while the mean is negative, matching the HRS data. However …

We study the interrelation between two types of risk sharing -- within the firm and on capital markets -- by analyzing … the effect of wrongful-discharge laws (WDLs) on stock returns. Consistent with rational, risk-based pricing, the effect on … returns is linked to how shareholders and workers share systematic risk via distinct channels of employment and wage …