Essays on consumption and wealth distribution.

详细信息   

• 作者：Wang ; Neng.
• 学历：Doctor
• 年：2002
• 导师：Duffie, J. Darrell
• 毕业院校：Stanford University
• 专业：Economics, Finance.;Business Administration, General.
• ISBN：0493630619
• CBH：3048635
• Country：USA
• 语种：English
• FileSize：3704001
• Pages：111

文摘

This thesis consists of three separate essays on consumption and wealth distribution. Chapter 1 presents a natural setting for an explicitly-solved optimal consumption in which there is a lower marginal propensity to consume out of “human wealth,” a standard index of future labor income, than out of financial wealth. We deliver this widely-noted property (Friedman (1957), Hayashi (1982), and Zeldes (1989)) by specifying that the conditional variance of income increases in its level. A larger realization of income not only implies a higher level of human wealth, but also signals a riskier stream of future labor income, inducing a higher propensity to save. The model implies that changes in consumption are predicted by current income, consistent with empirical regularities such as “excess-sensitivity.” The proposed affine diffusion model of labor income captures the positive skewness and fat-tails of empirical income processes.;Chapter 2 provides a model of wealth distribution based on (i) highly persistent earnings processes with stochastically changing conditional variances and (ii) realistic, stochastic, and finite lifetimes. These features are motivated by micro-empirical evidence, and lead to an endogenous wealth distribution that is more skewed and fat-tailed than earnings, consistent with empirical evidence. Benchmark models such as Aiyagari (1994), however, imply a less skewed and fat-tailed distribution for wealth than for earnings, because of their assumptions of (i) transitory earnings shocks and (ii) infinite lifetimes. Preferences and earnings processes of the newly proposed model are specified so as to allow a closed-form solution, which facilitates analysis and calibration.;In Chapter 3, we point out that the permanent-income hypothesis (Friedman (1957)) may be consistent, in general equilibrium, with precautionary savings motives. We show this seemingly paradoxical result in a standard heterogeneous-agents general-equilibrium model (Bewley (1986), Huggett (1993), and Aiyagari (1994)), in which each agent solves the precautionary-savings model of Caballero (1990, 1991). The precautionary-savings demand is exactly offset by the dissavings demand due to impatience, in equilibrium, making a precautionary agent effectively a permanent-income consumer.