Wealth Inequality and Asset Prices

• 成果类型: Article; Early Access
• 署名作者: Gomez, Matthieu
• 署名单位: Columbia University
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdaf008
• 发表日期: 2025
• 关键词: long-run; market participation; macroeconomic model; rare disasters; power-laws; RISK; income; consumption; DYNAMICS; returns

摘要

Wealthy households disproportionately invest in equity, causing equity returns to generate large and persistent fluctuations in top wealth inequality. Motivated by this observation, I study the joint dynamics of asset prices and wealth inequality in a model where a subset of agents (entrepreneurs) hold levered positions on the economy. In the model, as in the data, the wealth distribution is stochastic and it exhibits a Pareto tail, with a tail index that depends on the logarithmic average return of top households. The model features a feedback loop between asset prices and wealth inequality, which amplifies the effect of aggregate shocks on the economy. The model, calibrated to the U.S. data, can account for a substantial portion of the fluctuations in asset prices and top wealth shares over the 20th century.