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 study workers' idiosyncratic earnings risk over the life-cycle using a German administrative data set. Positive and … incomplete markets model. Moreover, age-varying risk implies a linear increase in consumption inequality late in working life. …