Stephanie Ettmeier, CERGE-EI

"Measuring the Effects of Aggregate Shocks on Unit-Level Outcomes and Their Distribution"

Abstract

This paper studies the effect of aggregate shocks on micro-level outcomes. We develop and estimate a cross-sectional units vector autoregression (csuVAR) that combines aggregate variables with unit-level outcomes, earnings in our application. The csuVAR also allows us to reconstruct the cross-sectional distribution from the unit-level outcomes. We contrast the csuVAR with a functional VAR model (fVAR) that is designed to directly track the evolution of macroeconomic aggregates and a cross-sectional distribution, but not individual units. In an empirical application we examine the effect of productivity shocks on the unit-level labor earnings dynamics in Germany, using a panel data set constructed from the Sample of Integrated Labour Market Biographies (SIAB) published by Institute for Employment Research (IAB) of the German Federal Employment Agency.

Joint work with Chi Hyun Kim and Frank Schorfheide.

For more information about Stephanie Ettmeier and her interesting work - link to her website.

Contact person: Brigitte Hochmuth