We extend the canonical income process with persistent and transitory risk to shock distributions with left …-skewness and excess kurtosis, to which we refer as higher-order risk. We estimate our extended income process by GMM for household … data from the United States. We find countercyclical variance and procyclical skewness of persistent shocks. All shock …

We decompose permanent earnings risk into contributions from hours and wage shocks. To distinguish between hours shocks …-cycle model of consumption and labor supply. Both permanent wage and hours shocks are important to explain earnings risk, but wage … shocks have greater relevance. Progressive taxation strongly attenuates cross-sectional earnings risk, its life …

that such disturbances are important drivers of output fluctuations in both economies, we find the shock responses of …

shocks affecting banks’ capital, liquidity and credit quality as well as revised banklevel risk perceptions. Relationship …

real economic activity growth, in line with a risk shock. Conversely, a certainty shock (a shock strongly decreasing …'s (2009) two identification steps into one. I find that an uncertainty shock widens the conditional distribution of future … that the two shocks are different shocks. Each shock impacts the real economy uniquely. I support this with the underlying …

Life insurers typically grant policyholders a surrender option. We demonstrate that the resulting lapse risk could … shock in the course of the financial and sovereign debt crisis from 2007 to 2011. Despite the challenges presented by the …