Decomposing changes in income risk using consumption data

• 成果类型: Article
• 署名作者: Blundell, Richard; Low, Hamish; Preston, Ian
• 署名单位: University of London; University College London; University of Cambridge
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE44
• 发表日期: 2013
• 页码: 1-37
• 关键词: Income risk; consumption; Nonstationarity; INEQUALITY

摘要

We develop a new approach to the decomposition of income risk within a non-stationary model of intertemporal choice. The approach allows for changes in income risk over the life cycle and across the business cycle, allowing for mixtures of persistent and transitory components in the dynamic process for income. We focus on what can be learned from repeated cross-section data alone. Evidence from a stochastic simulation of consumption choices in a nonstationarity environment is used to show the robustness of the method for decomposing income risk. The approach is used to investigate the changes in income risk in Britain across the inequality growth period from the late 1970s to the late 1990s. We document peaks in the variance of permanent shocks at the time of recessions.