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。

Financial Frictions,Income Risk and Wealth Inequality

The recent increase in wealth inequality in China has captured the attention of all members of society. Based on survey data from the China Family Panel Studies, the Gini coefficient of China's wealth distribution was 0.7 in 2014, and 29.7% of the total wealth is now owned by the top 1% of earners, while the bottom 50% own only 8.1% of the total wealth. This large wealth inequality harms economic efficiency, hinders social mobility and exacerbates income inequality through the channels of asset gain and intergeneration transfer. Hence, it is crucial to study the mechanisms of wealth inequality.
In this paper, we consider the role of the private sector in the transformation of China's economy and the role of individuals' saving and wealth accumulation behaviors to investigate the causes of wealth inequality. Using a two-sector heterogeneous agent general equilibrium model in which heterogeneous producers face collateral constraints and make occupational choices, we analyze the effects of financial market frictions and income risks on the wealth distribution. Our model assumes that individuals differ in their asset holdings and entrepreneurial abilities. Each individual makes an occupational choice between being an entrepreneur and being a worker. Entrepreneurs face collateral constraints and are hit by an uninsurable idiosyncratic productivity shock in each period. Workers earn labor income and face no uncertainty. We solve for the stationary wealth distribution and calibrate the model to match the empirical facts in China. In the calibrated model, we study the influence of occupational choice, financial frictions and income risks on the wealth distribution. Our results show that reducing frictions in the financial market reduces entrepreneurs' savings, which in turn lowers wealth inequality. Reducing financial market frictions can substantially lower the wealth share of the top 1% and 10% of individuals and significantly improve the wealth share of the middle class, with a minimal impact on the least wealthy individuals. The influence of income risks on the wealth distribution is nonlinear. When income risks increase, wealth inequality first declines and then rises. The nonlinear effect is due to the two competing effects arising from a precautionary savings motive and a self-financing motive. When income risks are low, the self-financing motive dominates. A decline in income risks makes all individuals more likely to save, which in turn leads to a decline in wealth inequality. When income risks are high, the precautionary savings motive dominates and entrepreneurs save more, leading to an increase in wealth inequality. We also investigate how financial market improvements change the wealth distribution in the presence of income risks. Our results show that financial market improvements only have a significant impact on the wealth distribution when income risks are high.
Our work has several policy implications. First, improving financial markets should be considered to alleviate wealth inequality. Second, lowering financial market frictions mainly benefits the middle class. Third, reducing financial market frictions cannot replace an inclusive financing policy. To achieve the goal of reducing poverty and social justice, inclusive financing is needed to provide better financial services for small companies and low-income people. Fourth, the government should build a stable short-run and long-run policy environment to help entrepreneurs reduce their income risks, which is crucial for reducing wealth inequality. Fifth, when implementing the financial market improvement policies needed to alleviate wealth inequality, the government should account for the effect of income risks due to their amplification effect.
The paper contributes to the literature in three ways. First, we abandon the representative agent assumption and use a continuous-time heterogeneous agent model framework to study wealth inequality in China. Second, based on the calibrated model, we conduct a series of experiments and demonstrate that financial market frictions in China are an important factor causing wealth inequality. We analyze the potential mechanisms in detail using our model. Third, we show that financial market frictions affect the macro economy through the resource misallocation and economic fluctuation channels and can cause wealth inequality by influencing individuals' saving and wealth accumulating behaviors.