Essays in macro-finance and wealth inequality
- Autores: Inês Martins Xavier
- Directores de la Tesis: Alberto Martín del Campo (dir. tes.), Fernando Broner (codir. tes.)
- Lectura: En la Universitat Pompeu Fabra ( España ) en 2021
- Idioma: español
- Tribunal Calificador de la Tesis: Moritz Schularick (presid.), Edouard Schaal (secret.), Gadi Barlevy (voc.)
- Programa de doctorado: Programa de Doctorado en Economía, Finanzas y Empresa por la Universidad Pompeu Fabra
- Materias:
- Enlaces
- Tesis en acceso abierto en: TDX
- Resumen
This doctoral thesis brings together two self-contained essays that study the aggregate and the distributional implications of financial markets broadly defined.
In the first chapter, I investigate the contribution of return heterogeneity for wealth inequality. This work joins a growing macro-inequality literature that investigates the reasons behind the high concentration of wealth observed in several countries over different periods of time. I focus on the United States which provides a stark example of wealth concentration: in 2019, just 10% of the families owned 76% of the economy's total wealth. I make two contributions. First, I use household-level data from the U.S. Survey of Consumer Finances (1989-2019) to investigate the degree of heterogeneity in returns to wealth. I find that wealthier households earn, on average, higher returns: moving from the 20th to the 99th percentile of the wealth distribution raises the average yearly return from 3.6% to 8.3%. Second, I study the implications of return differences for the distribution of wealth by incorporating realistic return heterogeneity into the workhorse model of earnings inequality. This exercise suggests that considering both earnings and return heterogeneity can fully account for the top 10% wealth share observed in the data (76%), while earnings differences can only explain about half of it. Overall, this paper provides evidence that return heterogeneity is crucial to understand top wealth shares in the United States.
In the second chapter, I study the effects of asset price bubbles in low interest rate economies. Two observations motivate this project. On the one hand, real interest rates have declined steadily over the past three decades in much of the western world, contributing to the revival of the secular stagnation hypothesis: the idea that structural factors may create a chronic excess of savings relative to the demand for new investments, depressing interest rates, output and growth. On the other hand, the last thirty years have been marked by recurrent episodes of large fluctuations in asset prices, often associated with "bubbles" due to an apparent disconnection between asset prices and fundamentals. In this paper, I develop a model to understand the implications of bubbles in low interest rate environments. Three broad insights emerge from the analysis. First, bubbles have different implications in good and in bad times. Outside of the stagnation environment, bubbles crowd out private lending and reduce welfare by tightening borrowing constraints and distorting consumption decisions. On the contrary, bubbles can be expansionary and raise welfare in times of stagnation, when aggregate demand is chronically low and the economy operates below full capacity. In this case, bubbles absorb resources that would otherwise be wasted and crowd in aggregate consumption. Second, bubbles make stagnation less likely. On the one hand, the stagnation regime becomes less likely as bubbles raise the natural interest rate and can prevent output from falling below potential. On the other hand, bubbles provide a mechanism to get out of stagnation by expanding aggregate demand and raising equilibrium employment. Finally, bubbles that may randomly collapse are less likely to avoid stagnation than safe bubbles. However, some bubble risk may be desirable provided it is not too high. Riskier bubbles are associated with lower interest rates, which loosen borrowing constraints and may improve the allocation of resources.
