Income inequality and asset prices under redistributive taxation

• 成果类型: Article
• 署名作者: Pastor, Lubos; Veronesi, Pietro
• 署名单位: University of Chicago; National Bureau of Economic Research; Centre for Economic Policy Research - UK; National Bank of Slovakia
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2016.03.004
• 发表日期: 2016
• 页码: 1-20
• 关键词: inequality; redistribution; taxation; asset pricing; entrepreneurship

摘要

Our simple model features agents heterogeneous in skill and risk aversion, incomplete financial markets, and redistributive taxation. In equilibrium, agents become entrepreneurs if their skill is sufficiently high or risk aversion sufficiently low. Under heavier taxation, entrepreneurs are more skilled and less risk-averse, on average. Through these selection effects, the tax rate is positively related to aggregate productivity and negatively related to the equity risk premium. Both income inequality and stock prices initially increase but eventually decrease with the tax rate. Investment risk, stock market participation, and skill heterogeneity all contribute to inequality. Cross-country empirical evidence supports the model's predictions. (C) 2016 Elsevier B.V. All rights reserved.