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Licence: CC BY: Creative Commons Attribution 4.0 International License
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Cyclical labour income risk in Great Britain. / Angelopoulos, Konstantinos; Lazarakis, Spyridon; Malley, James.
In: Journal of Applied Econometrics, Vol. 37, No. 1, 31.01.2022, p. 116-130.Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Cyclical labour income risk in Great Britain
AU - Angelopoulos, Konstantinos
AU - Lazarakis, Spyridon
AU - Malley, James
PY - 2022/1/31
Y1 - 2022/1/31
N2 - This paper provides new evidence on the cyclical behaviour of household labour income risk in Great Britain and the role of social insurance policy in mitigating against this source of income risk. To achieve this, we decompose stochastic idiosyncratic household income into its transitory and persistent components. We focus our analysis of income risk captured by the second to fourth moments of the probability distribution of shocks to the persistent component of income. We find that household labour income risk increases during contractions via changes in third and fourth central moments of persistent shocks to labour income, while the variance remains acyclical. We also find that economic policy has reduced the level of risk exposure and its increase during contractions via benefits rather than tax policies.
AB - This paper provides new evidence on the cyclical behaviour of household labour income risk in Great Britain and the role of social insurance policy in mitigating against this source of income risk. To achieve this, we decompose stochastic idiosyncratic household income into its transitory and persistent components. We focus our analysis of income risk captured by the second to fourth moments of the probability distribution of shocks to the persistent component of income. We find that household labour income risk increases during contractions via changes in third and fourth central moments of persistent shocks to labour income, while the variance remains acyclical. We also find that economic policy has reduced the level of risk exposure and its increase during contractions via benefits rather than tax policies.
KW - household income risk
KW - social insurance policy
KW - aggregate fluctuations
U2 - 10.1002/jae.2860
DO - 10.1002/jae.2860
M3 - Journal article
VL - 37
SP - 116
EP - 130
JO - Journal of Applied Econometrics
JF - Journal of Applied Econometrics
SN - 0883-7252
IS - 1
ER -