Macroeconomic Implications of Cross-Sectional Variation

本项目的议程围绕两个主要思想组织。首先，与非交易资产相关的风险对个人的选择有重要影响，因此对个人如何评估与交易资产相关的风险有重要影响。第二，这些非交易风险具有重要的生命周期组成部分。在迄今为止的大多数调查工作中，“非交易资产”一直是人力资本：个人将获得的所有未来劳动收入的价值。许多正在进行的工作涉及扩大我们所指的非交易资产，包括住房和耐用消费品。人力资本是不可交易的，因为个人很难以未来的工资收入为抵押借款，同样重要的是，很难确保他们免受收入不确定性的影响。人力资本具有生命周期的基本组成部分，年轻人比老年人拥有更多的人力资本，因此面临更多的风险。研究人员的工作表明，这些因素对经济学中许多悬而未决的问题都很重要。 例如，他们在资产定价模型方面的研究表明，人力资本风险的生命周期模式可以抑制总风险的代际分担，从而有助于解决股权溢价之谜。 他们对消费不平等的研究利用了这种生命周期模式，推导出了收入、消费和劳动力供给的横截面差异如何相互关联的强约束条件。该提案介绍了沿着类似思路开展的新工作，包括纳入特定群体的风险和这些风险的代际分担、社会保障发挥的相关作用以及婴儿潮等人口冲击的影响。与人力资本一样，个人持有的大多数非人力资本要么是不可交易的，要么很难在不产生大量成本的情况下进行交易。例如，住房占总财富的四分之一左右，在私人持有的财富中所占比例要大得多。调整住房存量的成本很高。与人力资本一样，住房资本也有一个重要的生命周期组成部分：年轻家庭持有的真实的财产比老年家庭多得多。与人力资本不同，与住房相关的风险更加有形，也更容易衡量。 研究人员开发了一个模型，将住房纳入现有框架，并探索其影响。在以前的工作强调特质冲击的地方，他们将住房财富的冲击建模为总体性质，但在人口中的分布并不均匀。 他们认为，这与生命周期问题相结合，对资产定价、投资组合选择和各种政策问题具有重要意义。沿着类似的思路，我们讨论了耐用品（比住房更广泛的定义）的纳入，并提出了一些初步的经验证据，从消费者支出调查。该项目的一个重要组成部分一直是并将继续是纳入关于劳动力市场活动、消费和财富的大规模面板数据集。这项工作的显着特点是限制-我们的生命周期模型的动机-这是与年龄有关。例如，它们表明，通过对任何面板数据集中每个年龄组所经历的特定宏观经济历史进行调节，可以揭示出特质冲击和总体冲击如何相互作用的许多问题。 他们还表明，消费的横截面方差的年龄依赖性变化可以揭示大量关于控制劳动收入的随机过程。

This project's agenda is organized around two main ideas. First, that the risks associated with non-traded assets have an important impact on individual choices and, therefore on how individuals value the risks associated with traded assets. Second, that these non-traded risks have an important life-cycle component to them. In most of the investigators' work-to-date the 'non-traded asset' has been human capital: the value of all future labor income that an individual will receive. Much of the ongoing work involves expanding what we mean by non-traded assets to include housing and consumer durables. Human capital is non-tradable in the sense that it is difficult for individuals to borrow against future wage income and, just as importantly, to insure them against the uncertainty of what this income will be. Human capital has a fundamental life cycle component in that young people have more of it than old people and, therefore, face more of the risks associated with it. The investigators' work has shown that these factors can be important for many outstanding issues in economics. For instance, their work on asset pricing models shows that the life-cycle pattern in human-capital risk can inhibit the intergenerational sharing of aggregate risks and thereby helps to resolve the equity premium puzzle. Their work on consumption inequality exploits this life-cycle pattern to deduce strong restrictions on how the cross-sectional variance in income, consumption, and labor supply are related to one another. This proposal describes new work along similar lines, including the incorporation of cohort-specific risks and the intergenerational sharing of these risks, the associated role played by social security, and the impact of demographic shocks such as the Baby Boom. Like human capital, most non-human capital held by individuals is either non-tradable or is difficult to trade without incurring substantial costs. Housing, for instance, accounts for roughly one fourth of aggregate wealth and a much larger fraction of privately-held wealth. The costs of adjusting one's housing stock are large. Also like human capital, housing capital also has an important life-cycle component: young households hold much more of their wealth as real estate than older households. Unlike human capital the risks associated with housing are much more tangible and easily measured. The investigators develop a model, which incorporates housing into the existing framework, and they explore the implications. Where the previous work has emphasized idiosyncratic shocks, they model shocks to housing wealth as aggregate in nature, but non-uniformly distributed across the population. They argue that this, in conjunction with life-cycle issues, has important implications for asset pricing, portfolio choice, and various policy questions. Along similar lines, we discuss the incorporation of durable goods (more broadly defined than housing), and present some preliminary empirical evidence from the Consumer Expenditure Survey. An important part of this project has been, and will continue to be, the incorporation of large- scale panel datasets on labor market activity, consumption and wealth. The distinguishing feature of this work is restrictions -motivated by our life-cycle models - that are related to age. They show, for instance, that one can uncover much about how idiosyncratic and aggregate shocks interact by conditioning on the particular macroeconomic history experienced by each age-cohort in any panel dataset. They also show that age-dependent changes in the cross-sectional variance of consumption can reveal a great deal about the stochastic process that governs labor earnings.