Cyclical labour income risk in Great Britain

Angelopoulos, K. , Lazarakis, S. and Malley, J. (2022) Cyclical labour income risk in Great Britain. Journal of Applied Econometrics, 37(1), pp. 116-130. (doi: 10.1002/jae.2860)

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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.

Item Type:Articles
Glasgow Author(s) Enlighten ID:Malley, Professor Jim and Lazarakis, Mr Spyridon and Angelopoulos, Dr Konstantinos
Authors: Angelopoulos, K., Lazarakis, S., and Malley, J.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Journal of Applied Econometrics
ISSN (Online):1099-1255
Published Online:20 July 2021
Copyright Holders:Copyright © 2021 The Authors
First Published:First published in Journal of Applied Econometrics 37(1): 116-130
Publisher Policy:Reproduced under a Creative Commons License

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Project CodeAward NoProject NamePrincipal InvestigatorFunder's NameFunder RefLead Dept
190423ESRC Doctoral Training Centre 2011...Mary Beth KneafseyEconomic and Social Research Council (ESRC)ES/J500136/1Research and Innovation Services