Worker Betas: Five Facts about Systematic Earnings Risk

Fatih Guvenen, Sam Schulhofer-Wohl, Jae Song and Motohiro Yogo

No 23163, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: The magnitude of and heterogeneity in systematic earnings risk has important implications for various theories in macro, labor, and financial economics. Using administrative data, we document how the aggregate risk exposure of individual earnings to GDP and stock returns varies across gender, age, the worker’s earnings level, and industry. Aggregate risk exposure is U-shaped with respect to the earnings level. In the middle of the earnings distribution, aggregate risk exposure is higher for males, younger workers, and those in construction and durable manufacturing. At the top of the earnings distribution, aggregate risk exposure is higher for older workers and those in finance. Workers in larger employers are less exposed to aggregate risk, but they are more exposed to a common factor in employer-level earnings, especially at the top of the earnings distribution. Within an employer, higher-paid workers have higher exposure to the employer-level risk than lower-paid workers.

JEL-codes: E24 E32 G11 G12 J31 (search for similar items in EconPapers)
Date: 2017-02
New Economics Papers: this item is included in nep-mac
Note: AP EFG IO LS ME PE
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Citations: View citations in EconPapers (63)

Published as Fatih Guvenen & Sam Schulhofer-Wohl & Jae Song & Motohiro Yogo, 2017. "Worker Betas: Five Facts about Systematic Earnings Risk," American Economic Review, American Economic Association, vol. 107(5), pages 398-403, May.

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Journal Article: Worker Betas: Five Facts about Systematic Earnings Risk (2017)
Working Paper: Worker Betas: Five Facts About Systematic Earnings Risk (2017)
Working Paper: Worker Betas: Five Facts about Systematic Earnings Risk (2017)
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