The study won a grant by the Observatoire de l’Epargne Européenne in 2017, and will be carried out through 2018.
The research team includes Carolina Fugazza (PI), Fabio Bagliano, Giovanna Nicodano and Raffaele Corvino. The output of the project will be a methodological paper adopting an estimation strategy based on the method of moments to disentangle aggregate and idiosyncratic labor income risks, and to estimate efficiently the correlation between permanent income innovations and market returns.
A paper titled “On measuring labor income risk and stock returns correlations” is currently in progress.