The income fluctuation problem and the evolution of wealth

• 成果类型: Article
• 署名作者: Ma, Qingyin; Stachurski, John; Toda, Alexis Akira
• 署名单位: Capital University of Economics & Business; Australian National University; University of California System; University of California San Diego
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2020.105003
• 发表日期: 2020
• 关键词: Income fluctuation; optimality; stochastic stability; wealth distribution

摘要

We analyze the household savings problem in a general setting where returns on assets, non-financial income and impatience are all state dependent and fluctuate over time. All three processes can be serially correlated and mutually dependent. Rewards can be bounded or unbounded, and wealth can be arbitrarily large. Extending classic results from an earlier literature, we determine conditions under which (a) solutions exist, are unique and are globally computable, (b) the resulting wealth dynamics are stationary, ergodic and geometrically mixing, and (c) the wealth distribution has a Pareto tail. We show how these results can be used to extend recent studies of the wealth distribution. Our conditions have natural economic interpretations in terms of asymptotic growth rates for discounting and return on savings. (C) 2020 Elsevier Inc. All rights reserved.