earnings shocks and find important asymmetries: positive shocks to high-income individuals are quite transitory, whereas … negative shocks are very persistent; the opposite is true for low-income individuals. Finally, we use these rich sets of …

unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price …-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are … procyclical while the market return has countercyclical mean and variance. Finally, household consumption risk explains the cross …

transitory income (e.g., from a stimulus check) is higher under non-Gaussian earnings risk. … idiosyncratic risk implied by the benchmark process is between two-to-four times higher than the canonical Gaussian one. Third, the … standard method in the literature for measuring the pass-through of income shocks to consumption—can significantly overstate …

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 …

This paper studies the cyclical nature of individual income risk using a confidential dataset from the U.S. Social … end of the shock distribution collapses--large upward income movements become less likely--whereas the bottom end expands … average earnings (which is not the case during expansions). Finally, we find that the cyclical nature of income risk is …