ECIN Replication Package for "Idiosyncratic Asset Return and Wage Risk of US Households"

This is the replication package for the article "Idiosyncratic Asset Return and Wage Risk of US Households" in <i>Economic Inquiry</i>. Abstract: This paper documents the degree of idiosyncratic asset return heterogeneity, serial correlation, and correlation with wage heterogeneity for US households. Novel panel-data measurements for returns on household assets are proposed. Sizeable transitory idiosyncratic return heterogeneity is documented to exist concurrently with permanent heterogeneity in household-specific returns. On average, idiosyncratic permanent risk to wages and transitory risk to total asset returns are correlated. This arises primarily from correlated wage and return risk to primary housing assets, and is dependent on age and wealth. The estimates inform the covariance structure of idiosyncratic asset return and wage heterogeneity.