糖心原创

Title: A Quantitative Theory of Heterogeneous Returns to Wealth

Abstract: We develop a macroeconomic model in which households are subject to uninsurable shocks to their endowment of labor, as in Aiyagari (1994), the financial market where household lend and firms borrow capital is subject to search frictions, as in Burdett and Judd (1983), and households invest in their ability to search. The model generates dispersion in the returns offered by firms for equally risky assets, persistent heterogeneity in earned by households-adjusted equally risky portfolios, and a positive correlation between wealth and risk-adjusted returns. These objects are endogenous, and depend on the marginal product of capital, the inflation rate, and the distribution of financial knowledge among households. A calibrated version of the model is used to quantify the effect of monetary, technology and policy shocks on financial market outcomes and, in particular, on the relationship between wealth and returns.