Econ Papers Daily / 期刊论文
一个适用于商业周期分析的可处理收入过程
A Tractable Income Process for Business Cycle Analysis
摘要
We estimate a tractable income process that is consistent with key facts on individual income risk and its variation over the business cycle. In particular, the estimated process generates income fluctuations that display (i) flat and acyclical variance, (ii) volatile and procyclical skewness, (iii) very high kurtosis, and (iv) a moderate rise in within-cohort inequality over the life cycle, all consistent with the US data. Furthermore, the income process captures the predictable nature of business cycle income risk: income changes during a business cycle episode are partly predicted by income levels before that episode. The estimated process features a time-varying distribution of innovations as well as a factor structure for business cycle exposure. Incorporating the estimated process into a business cycle model adds only one state variable—as in the workhorse persistent-plus-transitory income process—making it a tractable option for modelers.
中文摘要
我们估计了一个易于处理的收入过程，该过程与关于个人收入风险及其在经济周期中变化的关键事实相符。具体而言，所估计的过程产生的收入波动表现出：（i）平稳且非周期性的方差，（ii）波动且顺周期的偏度，（iii）极高的峰度，以及（iv）生命周期内同队列不平等程度的适度上升，这些均与美国数据一致。此外，该收入过程捕捉了经济周期收入风险的可预测性：经济周期事件期间收入的变化部分可由该事件前的收入水平预测。所估计的过程具有时变的创新分布以及经济周期暴露的因子结构。将所估计的过程纳入经济周期模型仅需增加一个状态变量——如同标准的持久加暂时收入过程——使其成为建模者的一个易于处理的选择。