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

Bo Zhao ()

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Countercyclical; Idiosyncratic risk; Incomplete market model (search for similar items in EconPapers)
JEL-codes: C51 E32 J30 (search for similar items in EconPapers)
Date: 2013-06-10
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Journal Article: Cyclical dynamics in idiosyncratic labor-market risks: Evidence from March CPS 1968–2011 (2013) Downloads
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