Cyclical Dynamics in Idiosyncratic Labor-Market Risks: Evidence From March CPS 1968-2011
AbstractThe paper estimates the household labor earning process using the March Current Population Survey 1968-2011. GMM estimates confirm that the results in Storesletten et al. (2004} still hold in a much larger data set over a longer period. The persistent idiosyncratic risk is strongly countercyclical, with an annual auto-correlation equal to .973 and an standard deviation that increases by 72.5 percent (from .090 to .156) as the macroeconomy moves from peak to trough.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 47548.
Date of creation: 10 Jun 2013
Date of revision:
Countercyclical; Idiosyncratic risk; Incomplete market model;
Other versions of this item:
- Zhao, Bo, 2013. "Cyclical dynamics in idiosyncratic labor-market risks: Evidence from March CPS 1968–2011," Economics Letters, Elsevier, vol. 120(3), pages 528-531.
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- J30 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-16 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Joseph G. Altonji & Lewis M. Segal, 1994.
"Small Sample Bias in GMM Estimation of Covariance Structures,"
NBER Technical Working Papers
0156, National Bureau of Economic Research, Inc.
- Altonji, Joseph G & Segal, Lewis M, 1996. "Small-Sample Bias in GMM Estimation of Covariance Structures," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 353-66, July.
- Joseph G. Altonji & Lewis M. Segal, 1994. "Small sample bias in GMM estimation of covariance structures," Working Paper Series, Macroeconomic Issues 94-8, Federal Reserve Bank of Chicago.
- Brigitte C. Madrian & Lars John Lefgren, 1999. "A Note on Longitudinally Matching Current Population Survey (CPS) Respondents," NBER Technical Working Papers 0247, National Bureau of Economic Research, Inc.
- Kjetil Storesletten & Chris I. Telmer & Amir Yaron, 2004. "Cyclical Dynamics in Idiosyncratic Labor Market Risk," Journal of Political Economy, University of Chicago Press, vol. 112(3), pages 695-717, June.
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