An impossibility theorem for wealth in heterogeneous-agent models with limited heterogeneity

• 成果类型: Article
• 署名作者: Stachurski, John; Toda, Alexis Akira
• 署名单位: 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.2019.04.001
• 发表日期: 2019
• 页码: 1-24
• 关键词: Income fluctuation problem; INEQUALITY; Moment generating function; Tail decay rate

摘要

It has been conjectured that canonical Bewley-Huggett-Aiyagari heterogeneous-agent models cannot explain the joint distribution of income and wealth. The results stated below verify this conjecture and clarify its implications under very general conditions. We show in particular that if (i) agents are infinitely-lived, (ii) saving is risk-free, and (iii) agents have constant discount factors, then the wealth distribution inherits the tail behavior of income shocks (e.g., light-tailedness or the Pareto exponent). Our restrictions on utility require only that relative risk aversion is bounded, and a large variety of income processes are admitted. Our results show conclusively that it is necessary to go beyond standard models to explain the empirical fact that wealth is heavier-tailed than income. We demonstrate through examples that relaxing any of the above three conditions can generate Pareto tails. (C) 2019 Elsevier Inc. All rights reserved.