variance. The decomposition permits counterfactual analysis, using concepts and techniques from the theory of factorial …

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

that this will lead to a dynamic factor model with the dominant unit acting as the factor. The problems of estimation and …

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 …

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 …

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 …

-coded administrative wage data from the German IAB Employment Sample (IABS). We then relate these robust measures of earnings risk to the … risk attitudes of individuals working in these occupations. We find that willingness to take risk is positively correlated …