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Worker Betas: Five Facts about Systematic Earnings Risk

Fatih Guvenen¹; Sam Schulhofer-Wohl²; Jae Song³; Motohiro Yogo⁴

¹ Department of Economics, University of Minnesota, 4-101 Hanson Hall, 1925 Fourth Street South, Minneapolis, MN 55455, and NBER (e-mail: ) · ² Economic Research Department, Federal Reserve Bank of Chicago, 230 South LaSalle Street, Chicago, IL 60604 (e-mail: ) · ³ Social Security Administration, One Skyline Tower, 5107 Leesburg Pike, Falls Church, VA 22041 (e-mail: ) · ⁴ Department of Economics, Princeton University, Julis Romo Rabinowitz Building, Princeton, NJ 08544, and NBER (e-mail: )

The magnitude of and heterogeneity in systematic earnings risk has important implications for various theories in macro, labor, and financial economics. Using administrative data, we document how the aggregate risk exposure of individual earnings to GDP and stock returns varies across gender, age, the worker's earnings level, and industry. Aggregate risk exposure is U-shaped with respect to the earnings level. In the middle of the earnings distribution, aggregate risk exposure is higher for males, younger workers, and construction and durable manufacturing. At the top of the earnings distribution, aggregate risk exposure is higher for older workers and finance.

DOI

10.1257/aer.p20171094

Volume

107 (5)

Pages

398-403

Language

en

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