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Nonlinear Micro Income Processes with Macro Shocks Martín Almuzara | Manuel Arellano | Richard Blundell Stéphane Bonhomme NO. 1162 AUGUST 2025 Nonlinear Micro Income Processes with Macro Shocks Martín Almuzara, Manuel Arellano, Richard Blundell, and Stéphane Bonhomme Federal Reserve Bank of New York Staff Reports, no. 1162 August 2025 https://doi.org/10.59576/sr.1162 Abstract We propose a nonlinear framework to study the dynamic transmission of aggregate and idiosyncratic shocks to household income that exploits both macro and micro data. Our approach allows us to examine empirically the following questions: (a) How do business-cycle fluctuations modulate the persistence of heterogeneous individual histories and the risk faced by households? (b) How do aggregate and idiosyncratic shocks propagate over time for households in different macro and micro states? (c) How do these shocks shape the cost of business-cycle risk? We develop new identification and estimation techniques and provide a detailed empirical analysis combining macro time series for the U.S. and a time series of household panels from the PSID. JEL classification: C23 Key words: income processes, business cycle, persistence, exposure to aggregate shocks _________________ Almuzara: Federal Reserve Bank of New York (email: martin.almuzara@ny.frb.org). Arellano: CEMFI (email: arellano@cemfi.es). Blundell: UCL and IFS (email: r.blundell@ucl.ac.uk). Bonhomme: University of Chicago (email: sbonhomme@chicago.edu). The authors have greatly benefited from discussions with Anmol Bhandari, Mariacristina De Nardi, Gianluca Violante, Jonathan Heathcote, and Frank Schorfheide. They also thank Greg Kaplan, Giuseppe Moscarini, Larry Schmidt, Christian Wolf, seminar participants at CEMFI, Minnesota and Princeton, and audiences at the Workshop on Income, Employment and Consumption Dynamics (Madrid), the NBER Summer Institute, and the 2025 World Congress of the Econometric Society. Blundell acknowledges support from the ESRC Centre for the Microeconomic Analysis of Public Policy (CPP) at IFS, grant number ES/M010147/1. This paper presents preliminary findings and is being distributed to economists and other interested readers solely to stimulate discussion and elicit comments. The views expressed in this paper are those of the author(s) and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System. Any errors or omissions are the responsibility of the author(s). To view the authors’ disclosure statements, visit https://www.newyorkfed.org/research/staff_reports/sr1162.html. 1IntroductionIn this paper, we propose a nonlinear framework to study the dynamic transmission ofaggregate and idiosyncratic shocks to income by leveraging both macro and micro data.Our approach makes it possible to empirically examine how business-cycle fluctuationsmodulate the persistence of heterogeneous individual histories and the ris