Fiscal multipliers in the 21st century

Fiscal multipliers appear to vary greatly over time and space. Based on VARs for a large number of countries, we document a strong correlation between wealth inequality and the magnitude of fiscal multipliers. In an attempt to account for this finding, we develop a life-cycle, overlapping-generations economy with uninsurable labor market risk. We calibrate our model to match key characteristics of a number of OECD economies, including the distribution of wages and wealth, social security, taxes, and government debt and study how a fiscal multiplier depends on various country characteristics. We find that the fiscal multiplier is highly sensitive to the fraction of the population who face binding credit constraints and also to the average wealth level in the economy. These findings together help us generate a cross-country pattern of multipliers that is quite similar to that in the data.     

住房财富对中国城镇家庭消费的影响

在构建以国内大循环为主体,国内国际双循环相互促进的新发展格局下,把握扩大内需这一战略基点,激发居民消费潜力,是推动经济高质量发展的关键之一。住房已经成为中国家庭财富的重要组成部分,一方面可通过财富效应促进家庭消费,另一方面也可能由于“房奴效应”降低家庭消费。因此,住房财富对家庭消费的影响方向并不确定。本文基于2013-2019年中国家庭金融调查数据,研究了住房财富对家庭消费的影响,并检验了住房财富影响家庭消费的可能渠道。研究发现,住房财富对城镇家庭消费有显著促进作用,并显著改善了家庭消费结构,住房资产具有财富效应。进一步研究发现,住房财富能够缓解流动性约束,从而提高家庭消费水平。异质性分析表明,住房财富对不同类型的消费具有不同的促进作用,不同地区和拥有住房数量的差别均会对住房财富产生不同影响。根据本文研究,在控制风险的前提下,可发挥既有住房财富对平滑家庭消费的积极作用,促进家庭消费增长,改善家庭消费结构,进一步推进家庭消费升级。     

Inattention, wealth inequality and equilibrium asset prices

Heterogeneity in planning propensity affects wealth inequality and asset prices. This paper presents an economy where attentive agents plan their consumption period by period, while inattentive agents plan every other period. Inattentive consumers face more uncertainty and trade at unfavorable prices. If the only source of uncertainty is future income, inattentive consumers accumulate more wealth. In contrast, with uncertain asset returns inattentive investors accumulate less wealth. Asset prices must induce attentive consumers to voluntarily bear the burden of adjusting to aggregate shocks and, as a result, are much more volatile than in a representative agent model with full attention.     

Reconciling conflicting evidence on the elasticity of intertemporal substitution: A macroeconomic perspective

In this paper we reconcile two opposing views about the elasticity of intertemporal substitution (EIS). Empirical studies using aggregate consumption data typically find the EIS to be close to zero, whereas calibrated models designed to match growth and fluctuations facts typically require it to be close to one. This contradiction is resolved when two kinds of heterogeneity are acknowledged: one, the majority of households do not participate in stock markets; and two, the EIS increases with wealth. We introduce these two features into a standard real business cycle model. First, limited participation creates substantial wealth inequality as in the U.S. data. Consequently, the properties of aggregates directly linked to wealth (e.g., investment and output) are mainly determined by the (high-EIS) stockholders. Since consumption is much more evenly distributed than is wealth, estimation from aggregate consumption uncovers the low EIS of the majority (i.e., the poor).     

信贷增长如何影响中国的收入和财富不平等

本文基于中国家庭追踪调查(CFPS)数据考察了信贷增长对中国家庭收入和财富不平等的影响。整体而言，信贷增长可以缩小家庭收入不平等，主要作用机制是信贷增长通过提高中低收入群体的劳动收入和单位时薪以缩小劳动收入不平等。同时，文献中所发现的信贷增长可能恶化收入不平等的机制——扩大家庭间非货币金融资产差距，在我国表现并不明显，原因在于中国家庭的非货币金融资产比例较低，这一点对于高收入家庭也不例外，且大部分家庭难以从金融资产交易中获利。信贷增长带来了各个收入组的房屋价值上涨，但高收入家庭房产价值上涨的幅度高于中低收入家庭，因此房价上涨扩大了不同收入家庭所持有的房产价值差异。考虑到家庭调查数据往往对高收入家庭的收入和财产覆盖不完整，上述结论可能低估了信贷增长对极少数高收入家庭收入和资产的影响。本文有助于更好地理解我国信贷增长对收入分配问题的影响，为相关政策制定提供了一定启示。     

The Effectiveness of Consumption Taxes and Transfers as Insurance Against Idiosyncratic Risk

We quantitatively evaluate the effectiveness of a consumption tax and lump-sum transfer program as insurance against idiosyncratic earnings risk. We use a heterogeneous agent, incomplete markets model in which households adjust savings and employment in each period in the presence of idiosyncratic productivity risk and a borrowing constraint. The model is calibrated to the U.S. economy. We find a weak insurance effect of the consumption tax and transfer program. Expanding the tax and transfer program from the current U.S. level increases the capital-output ratio and reduces the interest rate. Consumption inequality also decreases only slightly.     

Inequality,stock market participation,and the equity premium

The last 30 years saw substantial increases in wealth inequality and stock market participation, smaller increases in consumption inequality and the fraction of indebted households, a decline in interest rates and the expected equity premium, as well as a prolonged stock market boom. In an incomplete markets, overlapping generations model I jointly explain these trends by the observed rise in wage inequality, decrease in participation costs, and loosening of borrowing constraints. After accounting for these changes, I show that the stock market played a major role in increasing wealth inequality. Crucially, these phenomena must be considered jointly; studying one independently leads to counterfactual predictions about others.     

How do house prices affect consumption? Evidence from micro data

Housing is a major component of wealth. Since house prices fluctuate considerably over time, it is important to understand how these fluctuations affect households’ consumption decisions. Rising house prices may stimulate consumption by increasing households’ perceived wealth, or by relaxing borrowing constraints. This paper investigates the response of household consumption to house prices using UK micro data. We estimate the largest effect of house prices on consumption for older homeowners, and the smallest effect, insignificantly different from zero, for younger renters. This finding is consistent with heterogeneity in the wealth effect across these groups. In addition, we find that regional house prices affect regional consumption growth. Predictable changes in house prices are correlated with predictable changes in consumption, particularly for households that are more likely to be borrowing constrained, but this effect is driven by national rather than regional house prices and is important for renters as well as homeowners, suggesting that UK house prices are correlated with aggregate financial market conditions.     

中老年消费不平等的度量与分解:来自CHARLS的经验证据

利用CHARLS数据考量中老年人的消费不平等问题,结果发现：2011-2015年中老年家庭总消费水平快速上升,同时不平等程度进一步扩大。从消费分类上看,医疗保健对中老年人消费水平影响最大;从年龄效应上看,中老年群体不平等在67岁以后开始上升。随着中国经济快速发展,后出生中老年群体会积累更多财富,在基本衣食需求满足后,消费不平等的代际效应更多体现在家庭用品、教育娱乐和医疗保健方面。     

我国股市财富效应对居民消费影响的实证检验——基于生命周期—持久收入理论扩展模型的新视角

基于生命周期-持久收入(LC-PIH)理论,本文建立居民收入、消费支出、股市市值和购房支出几个变量之间的实证检验模型,以研究我国股市的财富效应。选取季度和月度频率数据,测算我国2003~2018年全口径居民消费和2013~2018年乘用车消费的股市财富效应,实证结果发现全口径居民消费主要受收入的影响,股市的财富效应不显著,检验结果符合持久收入说;乘用车消费除受收入的影响之外,股市的财富效应也显著。基于实证结果,并结合发达国家较为普遍存在的财富效应,提出三点建议:一是稳步提高居民可支配收入,是促进我国消费平稳增长、发挥消费拉动经济增长基础性作用的根本;二是要发挥出股市在消费中的财富效应,需改变我国股市长期存在的牛短熊长困境;三是应进一步提高我国居民通过养老金和企业年金等间接渠道参与股市的比重,使养老金、企业年金等长期资金与资本市场形成良性互动。     

Multiple BGPs in a Growth Model with Habit Persistence: A Comment

Recently in this journal, Chen (2007) analyzes a model of an economy without distortions in which rational forward-looking households care about how their current consumption compares with their own past consumption. Chen claims the existence of two saddle-point stable balanced growth paths. In this comment, I show that the claim is incorrect. There is a unique saddle-point stable balanced growth path and no global indeterminacy.     

Household Debt and Income Inequality, 1963–2003

I construct an economy with heterogeneous agents that mimics the time-series behavior of the earnings distribution in the United States from 1963 to 2003. Agents face aggregate and idiosyncratic shocks and accumulate real and financial assets. I estimate the shocks that drive the model using data on income inequality, aggregate income, and measures of financial liberalization. I show how the model economy can replicate two empirical facts: the trend and cyclical behavior of household debt and the diverging patterns in consumption and wealth inequality over time. While business cycle fluctuations can account for the short-run changes in household debt, its prolonged rise of the 1980s and the 1990s can be quantitatively explained only by the concurrent increase in income inequality.     

The spirit of capitalism among the income classes

This paper tests the consumption-based capital asset model within the context of the spirit of capitalism. The spirit of capitalism asserts that consumers gain utility not just from consumption of goods and services, but also from the social status obtained from wealth. We examine two asset pricing models developed by Bakshi and Chen (1996) that employ wealth in the utility function, for households sorted by income quintiles. In the first model, households obtain utility from both consumption and the social status that comes from their own wealth. In the second model, households gain utility from both consumption and the social status obtained from their own wealth relative to the wealth of other peer households. Our results indicate that both models are inconsistent with the data regardless of income. However, using cointegration methods as a diagnostic tool, we find that the data are “loosely” consistent with the spirit of capitalism, at least for the upper income quintiles.     

Financial constraints and entrepreneurial investment

There is a well documented interdependence between the investment and saving decisions of entrepreneurial households. I study this interdependence in a dynamic, general equilibrium model with heterogeneous agents and occupational choice. The simulated economy replicates U.S. data on the distribution of wealth and income, and the shares of wealth and income for each occupation. The dominant incentive behind the high level of savings of business households is the desire to relax a wealth constraint in financing entrepreneurial projects in order to operate their firms at an optimal size. Because successful firms grow over time, entrepreneurs enter business despite lower initial earnings than they would receive in paid employment.     

Multiple BGPs in a Growth Model with Habit Persistence

This paper establishes multiple balanced growth paths in an otherwise standard, competitive growth model without externality or distortions and with households' preference dependent upon how his/her consumption compares to a habit stock formed by his/her own past consumption. The key feature in our model is that consumption forms habits in combination with existing habits. This model establishes multiple equilibria because habit persistence induces an internal, intertemporal complementarity effect among consumption flows, with current consumption reinforcing future consumption. As a result, there exist two balanced-growth paths, with one path exhibiting low consumption and habits and high economic growth, and the other path exhibiting high consumption and habits and low growth that is not necessarily a development trap. Both steady states are saddles, but global indeterminacy arises where a high balanced growth path co-exists with a low balanced growth path where the two equilibrium paths cannot be pareto ranked and history need not matter for the selection of the equilibrium path.     

The Effect of House Prices on Household Consumption in Italy

This paper studies the effect of a change in real estate wealth on the consumption behaviour of Italian households, using the Bank of Italy’s Survey of Household Income and Wealth dataset. We relate annual household consumption to capital gains in housing, controlling for characteristics such as age. In line with the empirical predictions of our model, we find the oldest households—which are less affected by the higher costs of future rent—to be the most affected by increases in real net housing wealth. Younger households, on the other hand, are not significantly affected in their consumption decisions by house price increases. We also take into account the fact that benefiting from capital gains is conditional on owning housing wealth and estimate the different impacts of house price changes on the savings behaviours of both homeowners and renters. Our estimates suggest that house price increases raise consumption not only for homeowners but also for renters.     

金融摩擦、收入风险与财富不平等

本文通过构建带有职业选择的两部门异质模型,探讨了个体面临的金融摩擦和收入风险对财富分配的作用机制。结果发现,经济中存在的金融摩擦会通过职业选择、自我保险和自融资来影响个人的财富积累,从而导致财富的集中和不平等。对模型模拟的结果表明:降低金融摩擦在总体上会降低财富不平等程度,但对不同财富阶层的影响不同,其在大幅减少前1%和前10%阶层财富份额的同时,虽然也会在一定程度上提升后50%阶层的财富份额,但提升幅度并不大,过高或过低的企业家收入风险,都会加大财富不平等程度,因而存在一个使经济中财富不平等程度最低的适度企业家收入风险水平;虽然金融摩擦和收入风险都会影响经济中的财富不平等,但收入风险本身对财富不平等程度的影响较小,其主要是通过金融摩擦放大了经济中财富不平等的程度。     

Aggregate consumption spending,the stock market and asymmetric error correction

In this study, we show how changes in wealth resulting from unanticipated changes in the value of equity holdings begin a process whereby households alter consumption growth in order to close the gap between actual and target spending. Because of changing uncertainty or equity price volatility over the stock market cycle, we found the time path of this adjustment to exhibit near-random walk behaviour during stock market downturns. Conversely, during ‘boom’ periods, e.g. when the value of equities held by households was greater than the threshold, the growth in consumer spending was quick to eliminate the disparity between actual and target spending.     

Dividend and capital gains taxation under incomplete markets

Motivated by the Jobs and Growth Tax Relief Reconciliation Act (JGTRRA) of 2003, the effects of capital income tax cuts are investigated in an economy with heterogeneous households and a representative, mature firm. Dividend tax cuts, contrary to capital gains tax cuts, lead to a decrease in investment and capital. This is because they increase the market value of existing capital and households require a higher return to hold this additional wealth. In line with empirical evidence, the model predicts substantial increases in dividends and stock prices. Overall, the tax cuts lead to a welfare reduction equivalent to a consumption drop of 0.5%.     

Risk Attitude and Housing Wealth Effect

This paper examines whether the housing wealth effect—the consumption change induced by house price appreciation is dependent upon households’ attitudes toward risk. A simple theoretical model is introduced to highlight a negative relationship between the wealth effect and risk aversion. The paper empirically tests for this negative relationship, using data from the U.S. Consumer Expenditure Survey. The investigation involves two steps. In the first step, we make use of households’ demographics and their risky and liquid asset holdings to estimate risk aversion. The Heckman correction model is applied to address the issue of limited stock market participation. For the second step, we construct pseudo panel data through grouping households by their birth years and their predicted values of risk aversion, and then, we estimate the responses of households’ consumption changes to house price fluctuations by risk-attitude group. Consistent with the prediction of the theoretical model, the estimation results suggest a significant negative relationship between the housing wealth effect and households’ risk attitudes. Households, who are less risk averse, experience greater consumption changes in response to house price appreciation.