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Macroeconomic Implications of Inequality and Income Risk. (2021). Peterman, William ; Gagnon, Etienne ; Aladangady, Aditya ; Johannsen, Benjamin K.
In: Finance and Economics Discussion Series.
RePEc:fip:fedgfe:2021-73.

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  79. The PSID includes information on a panel of households surveyed annually from 1968 through 1997, and every other year since then. The main portion of the survey collects a range of socioeconomic information about households, including labor and capital income. Household wealth and other balance sheet information, which is needed to calculate household-specific rates of returns on savings, has been collected since 1984 with the addition of the Wealth Supplement to the survey.
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  80. To estimate the correlation between labor income and risky asset returns, we follow the methodology in the literature estimating labor income risk (for example, Kaplan (2012)). We first regress log labor income for the household head on a cubic age polynomial, education dummies, and time dummies to remove the common, aggregate components of labor income. The residuals provide a measure that combines permanent, persistent, and idiosyncratic deviations (αi + νi,t + θi,t) from mean labor income. We similarly remove the aggregate component of risky asset returns by regressing the risky asset returns of households on supplement year dummies and utilizing the residual as a measure of idiosyncratic deviations (δi,t) to risky asset returns. We then measure the correlation between deviations in labor income with those in asset returns.
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  82. We refer to years including a wealth supplement module as “wealth supplement years.” These years are 1984, 1989, 1994, 1999, 2001, 2003, 2005, 2007, 2009, 2011, 2013, 2015, and 2017. Asset returns can be calculated for all these years except 1984. This definition excludes self-reported cash and liquid assets, annuities and individual retirement accounts, motor vehicles, and other assets such as life insurance policies, valuable collections, trusts, etc.
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  86. Yum, Minchul (2018). “On the Distribution of Wealth and Employment,” Review of Economic Dynamics, vol. 30, pp. 86–105. A Correlation between labor income and risky asset return deviations in the PSID Our baseline model calibration embeds the assumption of no correlation between labor income and risky asset returns. In this appendix, we show that the corresponding empirical correlation in the PSID is small, though data limitations and measurement error in the survey complicate precise inference.

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  25. A Bayesian Estimation of HANK models with Continuous Time Approach:Comparison between US and Japan. (2019). Iiboshi, Hirokuni ; Hasumi, Ryo.
    In: MPRA Paper.
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  26. Financial Frictions and the Wealth Distribution. (2019). Nuño Barrau, Galo ; Hurtado, Samuel ; Fernandez-Villaverde, Jesus ; Nuno, Galo.
    In: PIER Working Paper Archive.
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  27. Dimensions of Inequality in Japan: Distributions of Earnings, Income and Wealth between 1984 and 2014. (2019). Yamada, Tomoaki ; Kitao, Sagiri ; Sagiri, Kitao.
    In: Discussion papers.
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  28. Financial Frictions and the Wealth Distribution. (2019). Fernandez-Villaverde, Jesus ; Nuo, Galo ; Hurtado, Samuel.
    In: CEPR Discussion Papers.
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  29. Capital Income Risk and the Dynamics of the Wealth Distribution. (2019). Walde, Klaus ; Khieu, Hoang.
    In: CESifo Working Paper Series.
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  30. Falling Behind: Has Rising Inequality Fueled the American Debt Boom?. (2018). Greimel, Fabian ; Drechsel-Grau, Moritz.
    In: Annual Conference 2018 (Freiburg, Breisgau): Digital Economy.
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  31. The New View on Fiscal Policy and its Implications for the European Monetary Union. (2018). Pekanov, Atanas .
    In: WIFO Working Papers.
    RePEc:wfo:wpaper:y:2018:i:562.

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  32. Inequality, Business Cycles, and Monetary-Fiscal Policy. (2018). Sargent, Thomas ; Golosov, Mikhail ; Evans, David ; Bhandari, Anmol.
    In: Working Papers.
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  33. Optimal Trend Inflation. (2018). Weber, Henning ; Adam, Klaus.
    In: 2018 Meeting Papers.
    RePEc:red:sed018:782.

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  34. Falling Behind: Has Rising Inequality Fueled the American Debt Boom?. (2018). Greimel, Fabian ; Drechsel-Grau, Moritz.
    In: 2018 Meeting Papers.
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  35. Consumption and Savings Behaviour under Household Heterogeneity and Mortgage Debt. (2018). Namkhaijantsan, Ninjin.
    In: MPRA Paper.
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  36. Stochastic accumulation of human capital and welfare in the Uzawa–Lucas model: an analytical characterization. (2018). Tsuboi, Mizuki.
    In: Journal of Economics.
    RePEc:kap:jeczfn:v:125:y:2018:i:3:d:10.1007_s00712-018-0604-6.

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  37. Redistribution from the Cradle to the Grave: A Unified Approach to Heterogeneity in Age, Income and Wealth. (2018). Weil, Pierre.
    In: 2018 Papers.
    RePEc:jmp:jm2018:pwe433.

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  38. Capital Income Risk and the Dynamics of the Wealth Distribution. (2018). Wälde, Klaus ; Khieu, Hoang ; Walde, Klaus.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp11840.

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  39. Optimal Trend Inflation. (2018). Weber, Henning ; Adam, Klaus.
    In: IMES Discussion Paper Series.
    RePEc:ime:imedps:18-e-07.

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  40. Comments on “Exploiting MIT shocks in heterogeneous-agent economies: The impulse response as a numerical derivative” by T. Boppart, P. Krusell and K. Mitman. (2018). Reiter, Michael.
    In: Journal of Economic Dynamics and Control.
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  41. Exploiting MIT shocks in heterogeneous-agent economies: the impulse response as a numerical derivative. (2018). Mitman, Kurt ; Boppart, Timo ; Krusell, Per.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:89:y:2018:i:c:p:68-92.

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  42. Optimal Trend Inflation. (2018). Weber, Henning ; Adam, Klaus.
    In: CESifo Working Paper Series.
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  43. Optimal Trend Inflation. (2018). Weber, Henning ; Adam, Klaus.
    In: CRC TR 224 Discussion Paper Series.
    RePEc:bon:boncrc:crctr224_010_2018.

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  44. Optimal trend inflation. (2017). Weber, Henning ; Adam, Klaus.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:579.

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  45. Optimal trend inflation. (2017). Weber, Henning ; Adam, Klaus.
    In: Discussion Papers.
    RePEc:zbw:bubdps:252017.

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  46. Exploiting MIT Shocks in Heterogeneous-Agent Economies: The Impulse Response as a Numerical Derivative. (2017). Mitman, Kurt ; Krusell, Per ; Boppart, Timo.
    In: NBER Working Papers.
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  47. Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach. (2017). Moll, Benjamin ; Lions, Pierre-Louis ; Lasry, Jean-Michel ; Han, Jiequn ; Achdou, Yves.
    In: NBER Working Papers.
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  48. Exploiting MIT Shocks in Heterogeneous-Agent Economies: The Impulse Response as a Numerical Derivative. (2017). Mitman, Kurt ; Boppart, Timo ; Krusell, Per.
    In: CEPR Discussion Papers.
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  49. Optimal Trend Inflation. (2017). Weber, Henning ; Adam, Klaus.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:12160.

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