Data and code for "How do households respond to job loss? Lessons from multiple high-frequenct data sets"

How much and through which channels do households self-insure against job loss? Combining data from a large bank and from government sources, we quantify a broad range of responses to job loss in a unified empirical framework. Cumulated over a two-year period, households reduce spending by 30% of their income loss. They mainly self-insure through adjustments of liquid balances, which account for 50% of the income loss. Other channels – spousal labor supply, private transfers, home equity extraction, mortgage refinancing, and consumer credit – contribute less to self-insurance. Both overall self-insurance and the channels vary with household characteristics in intuitive ways.