We propose a novel approach to estimate household income uncertainty at various future horizons, and characterize how … the estimated uncertainty evolves over the life cycle. We measure income uncertainty as the variance of linear forecast … errors conditional on information available to households prior to observing the realized income. This is a semiparametric …

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 …

We propose a novel approach to estimate household income uncertainty at various future horizons and characterize how … the estimated uncertainty evolves over the life cycle. We measure income uncertainty as the variance of linear forecast … errors conditional on information available to households prior to observing the realized income. This approach is …

This paper analyzes the impact increased offshoring has on labor income risk. It is therefore distinct from a large … second moments, i.e. the variance of incomes. It provides an assessment that directly connects labor income risk and …. Permanent income risk is defined as variance of shocks to income that do not fade out over time and are assumed to be not self …

This paper analyses how increased offshoring impacts on labor income risk. It is therefore distinct from a large number … variability of incomes. It provides an assessment that directly connects labor income risk and offshoring trends in a panel …. Permanent income risk is defined as variance of shocks to income that do not fade out over time. Contrary to transitory short …

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 …

This paper shows how uninsurable unemployment risk is crucial to qualitatively and quantitatively match macro responses … households in the bottom 60% of the income distribution. Standard representative-agent New Keynesian models have difficulty to … behaviors, triggering a fall in aggregate demand and supply. These precautionary behaviors increase the unemployment risk of the …

the zero-borrowing constraint is a lot weaker. More surprisingly, when I introduce idiosyncratic labor income risk in an …This paper analyzes how the combination of borrowing constraints and idiosyncratic risk affects the equity premium in … idiosyncratic risk increases the equity premium by 70 percent, which means that the mechanism described in Constantinides, Donaldson …

income risk affects equity ownership turnover. A portfolio choice model with an income process extracted from survey data … shows that idiosyncratic income shocks are more important for dynamic equity ownership decisions than aggregate stock market … risk. The model yields realistic estimates for the coefficient of relative risk aversion (= 3.09) and the discount factor …

To effectively cope with an unexpected, large, and negative income shock, I propose a life-cycle model for income risk … generalizing the Arrow-Debreu price with income risk premium …