A1147
Title: Measuring the effects of aggregate shocks on unit-level outcomes and their distribution
Authors: Stephanie Ettmeier - University of Bonn (Germany) [presenting]
Frank Schorfheide - University of Pennsylvania (United States)
Abstract: The effect of aggregate shocks is studied on micro-level outcomes. A cross-sectional units vector autoregression (csuVAR) that combines aggregate variables with unit-level outcomes and earnings in the application is developed and estimated. The csuVAR also allows reconstruction of the cross-sectional distribution from the unit-level outcomes. The csuVAR is contrasted 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 Labor Market Biographies (SIAB) published by the Institute for Employment Research (IAB) of the German Federal Employment Agency.
