Cyclical Dynamics in Idiosyncratic Labor Market Risk
Cyclical Dynamics in Idiosyncratic Labor Market Risk
复制标题
特殊劳动力市场风险的周期性动态
DOI：
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发表时间：
2004
影响因子：
8.2
通讯作者：
A. Yaron
中科院分区：
文献类型：
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作者：
Kjetil Storesletten;Chris I. Telmer;A. Yaron
经济衰退时个人劳动收入风险更大吗？这是一个很难回答的问题，因为现有的面板数据集非常短。为了解决这个问题，我们开发了一种广义矩估计方法，该方法以面板中每个成员经历的宏观经济历史为条件。具有不同宏观经济历史的家庭之间横截面方差的变化使我们能够纳入可追溯到1930年的商业周期信息，尽管我们的数据直到1968年才开始。我们使用来自收入动态面板研究的家庭层面劳动收入数据来实现这个估计器。我们估计，特质风险是（i）高度持久的，年度自相关系数为0.95，（ii）强烈的反周期性，随着宏观经济从高峰到低谷的变化，条件标准差增加了75%（从0.12到0.21）。
Is individual labor income more risky in recessions? This is a difficult question to answer because existing panel data sets are so short. To address this problem, we develop a generalized method of moments estimator that conditions on the macroeconomic history that each member of the panel has experienced. Variation in the cross‐sectional variance between households with differing macroeconomic histories allows us to incorporate business cycle information dating back to 1930, even though our data do not begin until 1968. We implement this estimator using household‐level labor earnings data from the Panel Study of Income Dynamics. We estimate that idiosyncratic risk is (i) highly persistent, with an annual autocorrelation coefficient of 0.95, and (ii) strongly countercyclical, with a conditional standard deviation that increases by 75 percent (from 0.12 to 0.21) as the macroeconomy moves from peak to trough.