Name File Type Size Last Modified
  AEJM_CODE 08/25/2021 03:05:PM

Project Citation: 

Busch, Christopher, Domeij, David, Guvenen, Fatih, and Madera, Rocio. Data and Code for: Skewed Idiosyncratic Income Risk over the Business Cycle: Sources and Insurance. Nashville, TN: American Economic Association [publisher], 2022. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2022-03-25.

Project Description

Summary:  View help for Summary Recent studies have shown that idiosyncratic labor income risk becomes more left-skewed during recessions. This procyclical skewness arises from a combination of higher downside risk and lower chances of upward surprises during recessions. While this much is known, some important open questions remain. For example, how robust are these patterns across countries that differ in their institutions and policies, as well as across genders, education groups, and occupations, among others? What is the contribution of wages versus hours to procyclical skewness of earnings changes? To what extent can skewness fluctuations in individual earnings be smoothed within households or with government policies? Using panel data from the United States, Germany, Sweden, and France, we find four main results. First, the skewness of individual income growth (before-tax/transfer) is procyclical while its variance is flat and acyclical in all three countries. Second, this result holds even for full-time workers continuously employed in the same establishment, indicating that the hours margin is not the main driver; additional analyses of hours and wages confirm that both margins are important. Third, within-household smoothing does not seem effective at mitigating skewness fluctuations. Fourth, tax-and-transfer policies blunt some of the largest declines in incomes, reducing procyclical fluctuations in skewness.

Scope of Project

Subject Terms:  View help for Subject Terms Idiosyncratic income risk; business cycles ; countercyclical risk; social insurance policy. ; procyclical skewness
JEL Classification:  View help for JEL Classification
      D31 Personal Income, Wealth, and Their Distributions
      E24 Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
      E32 Business Fluctuations; Cycles
      H31 Fiscal Policies and Behavior of Economic Agents: Household
Geographic Coverage:  View help for Geographic Coverage Germany, Sweden, United States, France
Time Period(s):  View help for Time Period(s) 1976 – 2010 (United States - PSID); 1984 – 2011 (Germany - SOEP); 1976 – 2010 (Germany - SIAB); 1979 – 2010 (Sweden); 1995 – 2015 (France)
Universe:  View help for Universe For each country, we consider three samples:
  1. Working-age (25-59) males
  2. Working-age females
  3. Households with two adults and working-age household head
Data Type(s):  View help for Data Type(s) administrative records data; aggregate data; survey data


Data Source:  View help for Data Source
  • Panel Study of Income Dynamics, United States
  • Sample of Integrated Labour Market Biographies, Germany
  • German Socio-Economic Panel, Germany
  • Longitudinal Individual Data Base, Sweden
  • Longitudinalintegrated database for health insurance and labour market studies, Sweden
  • Declaration Annuelle des Donnees Sociales, France

Unit(s) of Observation:  View help for Unit(s) of Observation households, individuals

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