IDEAS home Printed from https://ideas.repec.org/p/fip/fedhwp/wp-2017-04.html
   My bibliography  Save this paper

Worker Betas: Five Facts About Systematic Earnings Risk

Author

Listed:
  • Guvenen, Fatih

    () (University of Minnesota)

  • Schulhofer-Wohl, Sam

    (Federal Reserve Bank of Chicago)

  • Yogo, Motohiro

    (Federal Reserve Bank of Chicago)

Abstract

The magnitude of and heterogeneity in systematic earnings risk has important implications for various theories in macro, labor, and financial economics. Using administrative data, we document how the aggregate risk exposure of individual earnings to GDP and stock returns varies across gender, age, the worker’s earnings level, and industry. Aggregate risk exposure is U-shaped with respect to the earnings level. In the middle of the earnings distribution, males, younger workers, and those in construction and durable manufacturing are more exposed to aggregate risk. At the top of the earnings distribution, older workers and those in finance are more exposed to aggregate risk. Workers in larger employers are less exposed to aggregate risk, but they are more exposed to a common factor in employer-level earnings, especially at the top of the earnings distribution. Within an employer, higher-paid workers have higher exposure to the employer-level risk than lower-paid workers.

Suggested Citation

  • Guvenen, Fatih & Schulhofer-Wohl, Sam & Yogo, Motohiro, 2017. "Worker Betas: Five Facts About Systematic Earnings Risk," Working Paper Series WP-2017-4, Federal Reserve Bank of Chicago.
  • Handle: RePEc:fip:fedhwp:wp-2017-04
    as

    Download full text from publisher

    File URL: https://chicagofed.org/~/media/publications/working-papers/2017/wp2017-04-pdf.pdf
    File Function: Full text
    Download Restriction: no

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Roth, Christopher & Wohlfart, Johannes, 2018. "How do expectations about the macroeconomy affect personal expectations and behavior?," IMFS Working Paper Series 128, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    2. Fabio C. Bagliano & Raffaele Corvino & Carolina Fugazza & Giovanna Nicodano, 2018. "Hedging Labor Income Risk over the Life-Cycle," Working papers 058, Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
    3. Matthew Rognlie & Adrien Auclert, 2016. "Inequality and Aggregate Demand," 2016 Meeting Papers 1353, Society for Economic Dynamics.
    4. Christopher Roth & Johannes Wohlfart, 2018. "How Do Expectations About the Macroeconomy Affect Personal Expectations and Behavior?," CESifo Working Paper Series 7154, CESifo Group Munich.

    More about this item

    Keywords

    GDP (gross domestic product); Income; Investments;

    JEL classification:

    • D31 - Microeconomics - - Distribution - - - Personal Income and Wealth Distribution
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedhwp:wp-2017-04. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Bernie Flores). General contact details of provider: http://edirc.repec.org/data/frbchus.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.