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Worker Betas: Five Facts about Systematic Earnings Risk

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Abstract

The magnitude of and heterogeneity in systematic earnings risk has important implications for various theories in macro, labor, and ?nancial 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, aggregate risk exposure is higher for males, younger workers, and those in construction and durable manufacturing. At the top of the earnings distribution, aggregate risk exposure is higher for older workers and those in ?nance. 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 employer-level risk than lower-paid workers.

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  • Fatih Guvenen & Sam Schulhofer-Wohl & Jae Song & Motohiro Yogo, 2017. "Worker Betas: Five Facts about Systematic Earnings Risk," Staff Report 546, Federal Reserve Bank of Minneapolis.
  • Handle: RePEc:fip:fedmsr:546
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    1. Jonathan A. Parker & Annette Vissing-Jorgensen, 2009. "Who Bears Aggregate Fluctuations and How?," American Economic Review, American Economic Association, vol. 99(2), pages 399-405, May.
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    7. Martin Ravallion, 2022. "Macroeconomic Covariates of Real Household Incomes in America," Working Papers gueconwpa~22-22-04, Georgetown University, Department of Economics.
    8. 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.
    9. Matthew Rognlie & Adrien Auclert, 2016. "Inequality and Aggregate Demand," 2016 Meeting Papers 1353, Society for Economic Dynamics.
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    11. , Stone Center & Adamou, Alexander & Berman, Yonatan & Peters, Ole, 2020. "The Two Growth Rates of the Economy," SocArXiv vw2ed, Center for Open Science.
    12. Matthijs Breugem & Stefano Colonnello & Roberto Marfè & Francesca Zucchi, 2020. "Dynamic Equity Slope," Carlo Alberto Notebooks 626, Collegio Carlo Alberto.
      • Matthijs Breugem & Stefano Colonello & Roberto Marfè & Francesca Zucchi, 2020. "Dynamic Equity Slope," Working Papers 2020:21, Department of Economics, University of Venice "Ca' Foscari".
    13. Laudenbach, Christine & Loos, Benjamin & Pirschel, Jenny & Wohlfart, Johannes, 2020. "The trading response of individual investors to local bankruptcies," SAFE Working Paper Series 272, Leibniz Institute for Financial Research SAFE.
    14. Slacalek, Jiri & Tristani, Oreste & Violante, Giovanni L., 2020. "Household balance sheet channels of monetary policy: A back of the envelope calculation for the euro area," Journal of Economic Dynamics and Control, Elsevier, vol. 115(C).
    15. Christine Laudenbach & Benjamin Loos & Jenny Pirschel & Johannes Wohlfart, 2020. "The Trading Response of Individual Investors to Local Bankruptcies," CESifo Working Paper Series 8191, CESifo.
    16. Laura Blattner & Scott Nelson, 2021. "How Costly is Noise? Data and Disparities in Consumer Credit," Papers 2105.07554, arXiv.org.
    17. Brown, Jessica H. & Herbst, Chris M., 2021. "Child Care over the Business Cycle," IZA Discussion Papers 14048, Institute of Labor Economics (IZA).
    18. Amberg, Niklas & Jansson, Thomas & Klein, Mathias & Rogantini Picco, Anna, 2021. "Five Facts about the Distributional Income Effects of Monetary Policy," Working Paper Series 403, Sveriges Riksbank (Central Bank of Sweden).
    19. Tobin Hanspal & Annika Weber & Johannes Wohlfart, 2020. "Exposure to the Covid-19 Stock Market Crash and its Effect on Household Expectations," CESifo Working Paper Series 8244, CESifo.
    20. Laudenbach, Christine & Loos, Benjamin & Pirschel, Jenny & Wohlfart, Johannes, 2021. "The trading response of individual investors to local bankruptcies," Journal of Financial Economics, Elsevier, vol. 142(2), pages 928-953.
    21. Niklas Amberg & Thomas Jansson & Mathias Klein & Anna Rogantini Picco, 2021. "Five Facts about the Distributional Income Effects of Monetary Policy," CESifo Working Paper Series 9062, CESifo.
    22. Fleck, Johannes & Monninger, Adrian, 2020. "Culture and portfolios: trust, precautionary savings and home ownership," Working Paper Series 2457, European Central Bank.
    23. Scanlon, Paul, 2020. "Aggregate risk and wage dispersion," Economics Letters, Elsevier, vol. 194(C).

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    More about this item

    JEL classification:

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

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