【市场报告】纽约联储-资本管理与财富不平等（英）-2023.9_市场营销策划_重点报告2023090.docx

STAFFREPORTSNO.1072SEPTEMBER2023Capita1ManagementandWea1thInequa1ityJamesBestKeshavDograFEDERA1RESERVEBANKNEWYORKCapita1ManagementandWea1thInequa1ityJamesBestandKeshavDograFedera1ReSerVeBankofNewYorkStaffReports,no.1072September2023AbstractWea1thierindividua1shavestrongerincentivestoseekhigherreturns.Weinvestigatetheeffectthatthishason1ong-runwea1thinequa1ity.Incorporatingcapita1managementintoastandardRamsey-Cass-Koopmansmode1generatessubstantia11ong-runinequa1ity:themajorityofthepopu1ationworksandho1dsnocapita1,whi1easma11minorityho1dsa1argeamountofcapita1andmanagesitfu11time.Counterintuitive1y,financia1innovationsorpo1iciesthatreducereturndifferentia1sincrease1ong-runwea1thinequa1ity.Ega1itariansteadystatesmayexistbutareinefficientandunstab1e:asma11concentrationincapita1ownershipcausesatransitiontoanunequa1steadystate.Capita1managementintroducesanove1equity-efficiencytradeoff:sca1eeconomiesmakeitefficientforafewindividua1stomanagecapita1fu11-time,butunder1aissez-fairethisgeneratessubstantia1inequa1ity.Auti1itarianp1annerwou1dinsteadinstructafewindividua1stomanagecapita1onbeha1fofsocietyandtransfermostoftheirincometotheworkers.JE1c1assification:D31,D83,E21,E22,G51Keywords:wea1thinequa1ity,capita1,returns,management,information,financia1innovationDogra:Federa1ReserveBankofNewYork(emai1:keshav.dograny.frb.org).Best:CamegieMe11onUniversity(emai1:jabestandrew.cmu.edu).TheauthorsthankSushantAcharya,MartinE11ison,MikeE1sby,Basi1eGrassi,Xiaowen1ei,A1istairMacau1ay,JohnMoore,AIiShourideh,ChrisS1eet,Bi11Zame,andArie1Zet1in-Jonesforcommentsandfeedback.Thispaperpresentspre1iminaryfindingsandisbeingdistributedtoeconomistsandotherinterestedreadersso1e1ytostimu1atediscussionande1icitcomments.Theviewsexpressedinthispaperarethoseoftheauthor(s)anddonotnecessari1yref1ectthepositionoftheFedera1ReserveBankofNewYorkortheFedera1ReserveSystem.Anyerrorsoromissionsaretheresponsibi1ityoftheauthor(s).Toviewtheauthors'disc1osurestatements,visit1 IntroductionWea1thisextreme1yunequa11ydistributed,acrossadvancedeconomies.Onecauseofwea1thinequa1ityisthatricherindividua1searnhigheraverageratesofreturn,evenwithinassetc1asses(Fagerengeta1.,2023).Theserateofreturndifferentia1scanaccountformuchoftheincreaseininequa1ityobservedinrecentyears(Bacheta1.,2023).Understandingwhatcausestheserateofreturndifferentia1sisimportantforeva1uatingpo1iciesdesignedtoaddresswea1thinequa1ity.Oneexp1anationofthesereturndifferentia1sisthatthereisacost,intermsoftimeormoney,tomanagingone,swea1thefficient1y.Managingwea1thcantakevariousforms,fromsearchingamongdifferentfinancia1products,tostartingandmanagingone,sownbusiness;a11theseactivitiesincreasethereturnonwea1th,atacost.Crucia11y,wea1thierindividua1shaveastrongerincentivetopaythesecoststoobtainhigherreturns(Arrow(1987).Supposethatbyspendinga11yourtimeresearchinga1ternativeinvestments,ratherthaninvestingpassive1y,youcanincreaseyourannua1returnonwea1thby5percentagepoints.Ifyouhaveabi11iondo11arstoinvest,thisincreasesyourcapita1incomeby$50mi11ion,whichmaywe11justifymanagingyourwea1thfu11time.Butifyourwea1this$10,000,yourcapita1incomeon1yincreasesby$500;youwou1dearnmorebyworkingfu11time.Indeed,somehavesuggestedthatfinancia1innovationssuchas1ow-feeindexfundsandrobo-advisorscou1dgive1ow-wea1thindividua1s(whocannotaffordtomanagetheirwea1thfu11time)accesstothehighreturnsandfinancia1adviceprevious1yrestrictedtotherich-narrowingthereturndifferentia1sandreducingwea1thinequa1ity(Phi1ippon,2019;1aboureandDeffrennes,2023;ReherandSoko1inski,2023;D,AcuntoandRossi,2023).Inthispaper,westudyhowcapita1managementaffects1ong-runwea1thinequa1ity,andwhatthisimp1iesregardingthero1eoffinancia1innovationsandpo1icyinterventionsinreducinginequa1ity.Weincorporatecapita1managementintoanotherwisestandardRamsey-Cass-Koopmansmode1withoutshocks;househo1dsareidentica1exceptfortheirinitia1wea1th.Househo1dsa11ocatetheirtimebetweenworkingforawageandmanagingtheircapita1.Spendingeunitsoftimemanagingyourcapita1yie1dsareturnofp(e)×R,whereRisthemargina1productofcapita1andpisanincreasingfunction.(InthestandardRamseymode1,wewou1dhavep(e)=1fora11e.)Capita1managementrepresentsthevariouswaysinwhichindividua1sspendtimedeve1opingbetterp1ansforthea11ocationoftheirwea1th(e.g.searchingamonga1ternativefinancia1productsormanagingafirm).P1ansarenonriva1-thesamep1ancansimu1taneous1ybeusedtomanageone,sfirstmi11iondo11arsandone,ssecondmi11ion-butexc1udab1eandnontradab1e.Thus,thereareincreasingreturnstomanagementandcapita1takentogetherattheindividua11eve1:ifanindividua1doub1esbothherwea1th,andthetimespentmanagingherwea1th,shemorethandoub1esherincome.Theseincreasingreturns1eadindividua1swithmorecapita1tospendmoretimemanagingtheircapita1,earningahighereffectivereturn.Thisamp1ifieswea1thinequa1ityeveninpartia1equi1ibrium.Richindividua1sknowthattheywi11berichinthefuture,wi11earnahigherretu*n,andthuschoosetoaccumu1atewea1th.Poorindividua1sknowthattheywi11bepoorinthefuture,wi11notfinditoptima1toearnahighreturnonthe