Cyclical Dynamics in Idiosyncratic Labor-Market Risks: Evidence From March CPS 1968-2011
The 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.
|Date of creation:||10 Jun 2013|
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- 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.
- 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.
- 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.
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