Changes in the Distribution of Income Volatility
Changes in the Distribution of Income Volatility
复制标题
收入波动分布的变化
DOI：
--
复制
发表时间：
2008
期刊：
影响因子：
--
通讯作者：
S. Shore
中科院分区：
文献类型：
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作者：
S. Jensen;S. Shore
最近的研究已经证明了波动性的显著上升（例如，自20世纪70年代以来，美国个人收入的预期平方变化）。现有的这种趋势的措施抽象的个体异质性，有效地估计平均波动性的增加。我们分解了平均波动率的增加，发现它远远不能代表大多数人的经验：对于绝大多数人来说，波动率并没有系统性的上升。平均波动率的上升几乎完全是由那些预期收入波动最大的人的收入波动率急剧上升所驱动的，这些人是在过去的收入大幅变化中事先确定的。我们的文件，自雇人士和那些谁自认为是风险容忍更有可能有这样的波动性收入;这些群体经历了更大的增长，收入波动性比一般人口。这些结果为人们从平均波动率上升中可能得出的政策含义增色不少。虽然PSID汇总统计的基本结果是显而易见的，但提供波动性分布动态的完整特征是一个方法上的挑战。我们解决这些困难的马尔可夫层次狄利克雷过程，建立在工作的非参数贝叶斯统计文献。
Recent research has documented a significant rise in the volatility (e.g., expected squared change) of individual incomes in the U.S. since the 1970s. Existing measures of this trend abstract from individual heterogeneity, effectively estimating an increase in average volatility. We decompose this increase in average volatility and find that it is far from representative of the experience of most people: there has been no systematic rise in volatility for the vast majority of individuals. The rise in average volatility has been driven almost entirely by a sharp rise in the income volatility of those expected to have the most volatile incomes, identified ex-ante by large income changes in the past. We document that the self-employed and those who self-identify as risk-tolerant are much more likely to have such volatile incomes; these groups have experienced much larger increases in income volatility than the population at large. These results color the policy implications one might draw from the rise in average volatility. While the basic results are apparent from PSID summary statistics, providing a complete characterization of the dynamics of the volatility distribution is a methodological challenge. We resolve these difficulties with a Markovian hierarchical Dirichlet process that builds on work from the non-parametric Bayesian statistics literature.
DOI：
10.1109/tpami.1984.4767596
发表时间：
1984-01-01
影响因子：
23.6
作者：
GEMAN, S;GEMAN, D
通讯作者：
GEMAN, D