We investigate the importance of aggregate and consumer-specific or idiosyncratic labour income risk for aggregate … consumption changes in the US over the period 1952-2001. Theoretically, the effect of labour income risk on consumption changes is … decomposed into an aggregate and into an idiosyncratic part. Empirically, aggregate risk is modelled through a GARCH process on …

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 … show that in a standard incomplete-markets life-cycle model, first, higher-order risk has sizable welfare implications …

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 … show that in a standard incomplete-markets life-cycle model, first, higher-order risk has sizable welfare implications …

state. It is shown that the steady state of the PtDR is jointly influenced by consumption risk, risking sharing, and the … demographic structure. Among those consumption risk is the dominating factor in shaping the variations in the steady state of the …