Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/324455 
Year of Publication: 
2025
Series/Report no.: 
cemmap working paper No. CWP17/25
Publisher: 
Centre for Microdata Methods and Practice (cemmap), The Institute for Fiscal Studies (IFS), London
Abstract: 
We propose a nonlinear framework to study the dynamic transmission of aggregate and idiosyncratic shocks to household income that exploits both macro and micro data. Our approach allows us to examine empirically the following questions: (a) How do business-cycle fluctuations modulate the persistence of heterogeneous individual histories and the risk faced by households? (b) How do aggregate and idiosyncratic shocks propagate over time for households in different macro and micro states? (c) How do these shocks shape the cost of business-cycle risk? We develop new identification and estimation techniques, and provide a detailed empirical analysis combining macro time series for the U.S. and a time series of household panels from the PSID.
Subjects: 
Income process
business cycle
persistence
exposure to aggregate shocks
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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