Eliciting earnings risk from labor and capital income
Earnings risk is an inherently subjective concept. Observing volatile earnings paths does not necessarily imply that the perceived earnings risk is large. If a drastic change in earnings is known well in advance, there is no additional risk involved. Individuals are likely to have more information about their earnings prospects than the observing econometrician. Since it is the subjectively perceived earnings risk that in uences economic decisions like consumption, we need to develop methods that allow to elicit the perceived risk from observable variables. This paper suggests an estimation method based on variables that are not only observable in principle, but can be observed in fact in many panel data sets.
|Date of creation:||Nov 2012|
|Date of revision:|
|Contact details of provider:|| Postal: Drayton House, 30 Gordon Street, London WC1H 0AX|
Phone: +44 (0)20 7679 5888
Fax: +44 (0)20 7916 2775
Web page: http://www.cream-migration.org/
More information through EDIRC
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.:
- Tony Smith & M. Fatih Guvenen, 2007.
"Inferring Labor Income Risk from Economic Choices: An Indirect Inference Approach,"
2007 Meeting Papers
1024, Society for Economic Dynamics.
- Fatih Guvenen & Anthony Smith, 2010. "Inferring labor income risk from economic choices: an indirect inference approach," Staff Report 450, Federal Reserve Bank of Minneapolis.
- Fatih Guvenen & Anthony Smith, 2010. "Inferring Labor Income Risk from Economic Choices: An Indirect Inference Approach," NBER Working Papers 16327, National Bureau of Economic Research, Inc.
- Guiso, Luigi & Jappelli, Tullio & Terlizzese, Daniele, 1992.
"Earnings uncertainty and precautionary saving,"
Journal of Monetary Economics,
Elsevier, vol. 30(2), pages 307-337, November.
- Giucca, P. & Jappelli, T. & Terlizzese, D., 1992. "Earning Uncertainty and Precautionary Saving," Papers 161, Banca Italia - Servizio di Studi.
- Guiso, Luigi & Jappelli, Tullio & Terlizzese, Daniele, 1992. "Earnings Uncertainty and Precautionary Saving," CEPR Discussion Papers 699, C.E.P.R. Discussion Papers.
- Gourieroux, C & Monfort, A & Renault, E, 1993.
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 8(S), pages S85-118, Suppl. De.
- Christopher Carroll, 2004.
"Theoretical Foundations of Buffer Stock Saving,"
NBER Working Papers
10867, National Bureau of Economic Research, Inc.
- Christopher D. Carroll, 2009. "Theoretical Foundations of Buffer Stock Saving," 2009 Meeting Papers 210, Society for Economic Dynamics.
- Carroll, Christopher D., 2011. "Theoretical foundations of buffer stock saving," CFS Working Paper Series 2011/15, Center for Financial Studies (CFS).
- Christopher D. Carroll, 2004. "Theoretical Foundations of Buffer Stock Saving," Economics Working Paper Archive 517, The Johns Hopkins University,Department of Economics.
- Samuelson, Paul A, 1969. "Lifetime Portfolio Selection by Dynamic Stochastic Programming," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 239-46, August.
- Luis M. Viceira, 1999.
"Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income,"
NBER Working Papers
7409, National Bureau of Economic Research, Inc.
- Luis M. Viceira, 2001. "Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income," Journal of Finance, American Finance Association, vol. 56(2), pages 433-470, 04.
When requesting a correction, please mention this item's handle: RePEc:nor:wpaper:2012039. 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: (Norface Migration Administrator)or (Thomas Cornelissen)
If references are entirely missing, you can add them using this form.