Risk, uncertainty, and the dynamics of inequality

• 成果类型: Article
• 署名作者: Kasa, Kenneth; Lei, Xiaowen
• 署名单位: Simon Fraser University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2017.11.008
• 发表日期: 2018
• 页码: 60-78
• 关键词: inequality; Robustness

摘要

The dynamics of wealth inequality are studied in a continuous-time Blanchard/Yaari model. Investment returns are idiosyncratic and subject to Knightian uncertainty. In response, agents formulate robust portfolio policies. These policies are nonhomothetic; wealthy agents invest a higher fraction of their wealth in uncertain assets yielding higher mean returns. This produces a feedback mechanism that amplifies inequality. It also produces an accelerated rate of convergence, which helps resolve a puzzle recently identified by Gabaix et al. (2016). An empirically plausible increase in uncertainty can account for about half of the recent increase in top wealth shares. (C) 2017 Elsevier B.V. All rights reserved.