Worker Betas: Five Facts about Systematic Earnings Risk
Fatih Guvenen (),
Jae Song () and
No 546, Staff Report from Federal Reserve Bank of Minneapolis
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 employer-level risk than lower-paid workers.
JEL-codes: D31 G11 (search for similar items in EconPapers)
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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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