This article examines the contribution of supply and demand shocks to income dynamics in an international panel setting. Leveraging the newly created Global Repository of Income Dynamics and an alternative identification of structural shocks, we study how unanticipated disturbances affect the distribution of innovations to income processes. We distinguish between permanent versus transitory structural shocks, as well as global (U.S.) versus local (domestic) shocks. Our results show that structural shocks originating in the U.S. exert larger and more persistent effects on innovations than domestic shocks. These changes are procyclical for skewness,suggesting greater income risk in downturns. In contrast to previous findings, we also document a countercyclical  behavior of dispersion of innovations in response to structural shocks originating in the U.S. Finally, we consider the role of different transmission channels. Domestic shocks mainly affect skewness and decrease income volatility. Trade and financial channels drive the transmission of U.S. demand and supply shocks, respectively, whereas expectations play a limited role.