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The Nature of Countercyclical Income Risk

Guvenen, Fatih - 2015

This paper studies the nature of business cycle variation in individual earnings risk using a dataset from the U.S. Social Security Administration, which contains (uncapped) earnings histories for millions of anonymous individuals. The base sample is a nationally representative panel containing...

Persistent link: https://www.econbiz.de/10013035613

Uncertainty and labor market fluctuations

Jo, Soojin; Lee, Justin J. - 2019

impacts on the macroeconomy and labor market. We find firms defer hiring as the real option value of waiting increases …

Persistent link: https://www.econbiz.de/10012030061

Aggregate and Idiosyncratic Risk in a Frictional Labor Market

Rudanko, Leena - 2011

This paper develops a tractable extension of a Mortensen-Pissarides style matching model that allows for risk averse workers with limited ability to smooth consumption. I show that this leads to a form of equilibrium wage rigidity, as the inability of workers to smooth their consumption across...

Persistent link: https://www.econbiz.de/10012713795

The origins and effects of macroeconomic uncertainty

Bianchi, Francesco; Kung, Howard; Tirskikh, Mikhail - In: Quantitative economics : QE ; journal of the … 14 (2023) 3, pp. 855-896

We estimate a production‐based general equilibrium model featuring demand‐ and supply‐side uncertainty and an endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand‐ and...

Persistent link: https://www.econbiz.de/10014362538

The Labor Market Channel of Macroeconomic Uncertainty

Guglielminetti, Elisa - 2016

on firms' hiring and investment decisions, both empirically and theoretically. Empirically, VAR estimates show the … highlight the significant role of hiring decisions as a transmission channel for uncertainty. The empirical findings are … rationalized through a DSGE model with search and matching frictions in the labor market and stochastic volatility. The model is …

Persistent link: https://www.econbiz.de/10012980511

Unemployment risk, liquidity traps and monetary policy

Bonciani, Dario; Oh, Joonseok - 2021

When the economy is in a liquidity trap and households have a precautionary motive to save against unemployment risk, adverse demand shocks cause severe deflationary spirals and output contractions. In this context, we study the implications of optimal monetary policy, which consists of keeping...

Persistent link: https://www.econbiz.de/10013226757

A Long-Run Productivity Risks Driving q-Factor Model

Wu, Zhiting - 2021

factors largely summarize the cross-sectional portfolio return, where the time-varying volatility plays an important role. A …

Persistent link: https://www.econbiz.de/10013236149

The Global Impact of Brexit Uncertainty

Hassan, Tarek A.; Hollander, Stephan; Lent, Laurence van; … - 2021

but also reduced hiring and investments. In addition to Brexit uncertainty (the second moment), we find that international …

Persistent link: https://www.econbiz.de/10013238604

Unemployment Risk, Liquidity Traps, and Monetary Policy

Bonciani, Dario; Oh, Joonseok - 2021

Persistent link: https://www.econbiz.de/10013242832

Time-varying Risk Premium and Unemployment Risk Across Age Groups

Mitra, Indrajit - 2019

We show that time-varying risk premium in financial markets can explain a key yet puzzling feature of labor markets: the large differences in unemployment risk across worker age-groups over the business cycle. Our search model features a time-varying risk premium and learning about unobserved...

Persistent link: https://www.econbiz.de/10012899920