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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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.:
- 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," NBER Technical Working Papers 0156, National Bureau of Economic Research, Inc.
- 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.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.