というNBER論文が上がっている。原題は「Capital Return Jumps and Wealth Distribution」で、著者はJess Benhabib(NYU)、Wei Cui(ユニバーシティ・カレッジ・ロンドン)、Jianjun Miao(ボストン大)。以下はその要旨。

The distributions of wealth in the US and many other countries are strikingly concentrated on the top and skewed to the right. To explain the income and wealth inequality, we provide a tractable heterogeneous-agent model with incomplete markets in continuous time. We separate illiquid capital assets from liquid bond assets and introduce capital return jump risks. Under recursive utility, we derive optimal consumption and wealth in closed form and show that the stationary wealth distribution has an exponential right tail. Our calibrated model can match the income and wealth distributions in the US data including the extreme right tail. We also study the effect of taxes on the distribution of wealth.


The goal of our paper is to provide a tractable model that accounts for the US distributions of earnings and wealth. Our model builds on the standard quantitative theory used in the heterogeneous-agent literature within macroeconomics: the Bewley-Huggett-Aiyagari (BHA) model (Bewley (1980), Huggett (1993), and Aiyagari (1994)). As is well known (e.g., Benhabib and Bisin (2018) and Stachurski and Toda (2019)), a standard BHA model with infinitely-lived agents facing idiosyncratic labor income risks alone generates a counterfactual result that the tail thickness of the model output (wealth) cannot exceed that of the input (income).
We depart from the standard BHA model by introducing two key ingredients. First, we introduce portfolio heterogeneity by separating illiquid capital assets from liquid safe assets (bonds). In the standard BHA model, both types of assets are perfect substitutes and earn the same constant return (interest rate) in a stationary equilibrium. In our model, capital assets are illiquid and incur adjustment costs (Kaplan and Violante (2004) and Kaplan, Moll, and Violante (2018)). Thus the capital return differs from the interest rate.
Second, we introduce idiosyncratic investment risks in the form of Poisson jumps of capital returns, which apply only to new capital investments, but not to rate of return on capital already in place. At each point in time, each household has a chance of conducting innovations/R&D. Such activities arrive as rare events and may generate large stochastic returns. These returns are critical to account for the top wealth shares. This feature is consistent with the wealth accumulation of some richest Americans in recent years. By examining 100 of them listed in the Forbes magazine, Graham (2021) argues that “[b]y 2020 the biggest source of new wealth was what are sometimes called ‘tech’ companies. Of the 73 new fortunes, about 30 derive from such companies. These are particularly common among the richest of the rich: 8 of the top 10 fortunes in 2020 were new fortunes of this type.”
本稿の目的は、米国の所得と富の分布を説明する解析可能なモデルを提示することである。我々のモデルは、マクロ経済学の不均一主体の研究で使われる標準的な定量的理論であるBewley-Huggett-Aiyagari(BHA)モデル(Bewley (1980)、Huggett (1993)、および Aiyagari (1994))を基にしている。良く知られているように(例えばBenhabib and Bisin (2018) や Stachurski and Toda (2019))、非斉一的な労働所得リスクだけに直面する無限に生きる主体の標準的なBHAモデルでは、モデルの出力(富)の裾の厚みは入力(所得)を超えることができないという現実に反する結果が出てくる。
我々は2つの鍵となる要素を導入することにより標準的なBHAモデルから離れる。第一に、我々は、非流動的な資本資産を流動的な安全資産(債券)と分離することによってポートフォリオの不均一性を導入する。標準的なBHAモデルでは、両タイプの資産は完全な代替物であり、定常均衡で同じ一定の収益(金利)を得る。我々のモデルでは、資本資産は非流動的で調整費用が発生する(Kaplan and Violante (2004) および Kaplan, Moll, and Violante (2018))。このため資本収益は金利と異なる。