Nicholas Rohde - Welfare-Based Measures of Income Insecurity

Melbourne Institute Seminar Series

Melbourne Institute Seminar Room
Room 6.05, FBE Building
111 Barry St, Carlton


More Information

Title: Welfare-Based Measures of Income Insecurity

Abstract: This paper develops normative approaches for measuring individual-level income insecurity. Using concepts derived from Expected Utility Theory and Prospect Theory, we build a suite of measures designed to capture various forms of potentially psychologically distressing income risk. We present an application for the US and Germany from 1993-2013 using conditionally heteroskedastic fixed-effects models that generate predictive densities for future incomes. Our results reveal much higher levels of income risk in the US, which can be mostly attributed to a higher level of autonomous, time-invariant volatility. Variations in political administrations partially explain our results, while copula-based counterfactual estimations reveal that changes in labor markets also account for increases in risk over time.

Presenter: Nicholas Rohde, Griffith Business School, Griffith University

The program coordinator of these seminars is Jiao Wang. If you would like to subscribe to the Melbourne Institute Seminar Series email list, please contact Jiao.