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 …

income, the rise of inequality in personal income, and an intensification of the degree of financialisation. The paper finds … income inequality over the last decades. …

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 …

The long-run risk model introduced by R.Bansal and A.Yaron (2004) assumes the existence of a small predictable … the substitution effect to dominate the income one. Previous tests fail to detect predictability in mean consumption … persistence levels of shocks to consumption growth. In this paper the original long run risk model is extended introducing a novel …