The Nature of Countercyclical Income Risk

• 成果类型: Article
• 署名作者: Guvenen, Fatih; Ozkan, Serdar; Song, Jae
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/675535
• 发表日期: 2014
• 页码: 621-660
• 关键词: asset; earnings; DYNAMICS

摘要

We study business cycle variation in individual earnings risk using a confidential and very large data set from the US Social Security Administration. Contrary to past research, we find that the variance of idiosyncratic shocks is not countercyclical. Instead, it is the left-skewness of shocks that is strongly countercyclical: during recessions, large upward earnings movements become less likely, whereas large drops in earnings become more likely. Second, we find that the fortunes during recessions are predictable by observable characteristics before the recession. Finally, the cyclicality of earnings risk is dramatically different for the top 1 percent compared with the rest of the population.