Cyclical Dynamics in Idiosyncratic Labor-Market Risks: Evidence From March CPS 1968-2011

zhao, bo (2013): Cyclical Dynamics in Idiosyncratic Labor-Market Risks: Evidence From March CPS 1968-2011.

Abstract

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Countercyclical; Idiosyncratic risk;Incomplete market model
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles; J - Labor and Demographic Economics > J3 - Wages, Compensation, and Labor Costs > J30 - General

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