We extend the canonical income process with persistent and transitory risk to shock distributions with left …-skewness and excess kurtosis, to which we refer as higherorder risk. We estimate our extended income process by GMM for household … data from the United States. We find countercyclical variance and procyclical skewness of persistent shocks. All shock …

We extend the canonical income process with persistent and transitory risk to shock distributions with left …-skewness and excess kurtosis, to which we refer as higher-order risk. We estimate our extended income process by GMM for household … data from the United States. We find countercyclical variance and procyclical skewness of persistent shocks. All shock …

We extend the canonical income process with persistent and transitory risk to shock distributions with left …-skewness and excess kurtosis, to which we refer as higher-order risk. We estimate our extended income process by GMM for household … data from the United States. We find countercyclical variance and procyclical skewness of persistent shocks. All shock …

We investigate cyclicality of variance and skewness of household labor income risk using PSID data. There are five main … findings. First, we find that head's labor income exhibits countercyclical variance and procyclical skewness. Second, the … cyclicality of hourly wages is muted, suggesting that head's labor income risk is mainly coming from the volatility of hours …

We investigate cyclicality of variance and skewness of household labor income risk using PSID data. There are five main … findings. First, we find that head's labor income exhibits countercyclical variance and procyclical skewness. Second, the … cyclicality of hourly wages is muted, suggesting that head's labor income risk is mainly coming from the volatility of hours …

focus on the relative contribution of two insurance mechanisms, namely, adjustments in labour supply and assets. My … the start of the year. To demonstrate the link between asset liquidity and insurance cyclicality, I develop an incomplete …

end of the shock distribution collapses -- large upward earnings movements become less likely -- whereas the bottom end …

This paper investigates how income shocks shape consumption dynamics over the business cycle. First, we break new … ground and create a unique panel dataset of transitory and permanent income shocks by combining household-level income … first and second moments of the identified income shocks in a structural life-cycle framework and show that the model …

persistence and variance of labor income shocks. We show that the statistical model is identified and estimate it using PSID data … risk implied by the age-dependent income process is 32% lower compared to an AR(1) process without age profiles. This is … mostly due to a higher degree of consumption insurance for young workers, for whom persistence is moderate. We conclude that …