Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach

• 成果类型: Article
• 署名作者: Achdou, Yves; Han, Jiequn; Lasry, Jean-Michel; Lions, Pierre-Louis; Moll, Benjamin
• 署名单位: Sorbonne Universite; Universite Paris Cite; Universite PSL; Universite Paris-Dauphine; Universite PSL; College de France; University of London; London School Economics & Political Science
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdab002
• 发表日期: 2022
• 页码: 45-86
• 关键词: borrowing constraints; financial frictions; aggregate demand; monetary-policy; dynamic-model; Top income; GROWTH; RISK; Heterogeneity; equilibrium

摘要

We recast the Aiyagari-Bewley-Huggett model of income and wealth distribution in continuous time. This workhorse model-as well as heterogeneous agent models more generally-then boils down to a system of partial differential equations, a fact we take advantage of to make two types of contributions. First, a number of new theoretical results: (1) an analytic characterization of the consumption and saving behaviour of the poor, particularly their marginal propensities to consume; (2) a closed-form solution for the wealth distribution in a special case with two income types; (3) a proof that there is a unique stationary equilibrium if the intertemporal elasticity of substitution is weakly greater than one. Second, we develop a simple, efficient and portable algorithm for numerically solving for equilibria in a wide class of heterogeneous agent models, including-but not limited to-the Aiyagari-Bewley-Huggett model.