The Returns on Human and Financial Wealth: Cash Flows and Discount Rates

人力和金融财富的回报：现金流和贴现率

• 批准号: 0550910
• 负责人: Hanno Lustig
• 金额: $ 8.52万
• 依托单位: National Bureau of Economic Research Inc
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2006
• 资助国家: 美国
• 起止时间: 2006-02-01 至 2008-01-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0550910&HistoricalAwards=false
• 关键词: Returns; Human; Financial; Wealth; Cash

The volatility of the returns on non-human capital is puzzling for two reasons: the volatility of the returns on non-human capital seems inconsistent aggregate consumption, and standard, reasonably calibrated models cannot generate enough volatility in the price of installed, non-human capital. This project has a "consumption growth accounting" part, that addresses the first observation, and a theory part, that addresses the second one. It intends to demonstrate that the correct measurement of the returns on human capital can close at least part of the distance between the model and the data. The first part of the project uses consumption data to learn about the returns on human capital. Taking the returns on non-human capital as given, it shows that the standard theory puts tight restrictions on the joint distribution of aggregate consumption and capital returns in the data. These restrictions are used to learn about the returns on human capital. This consumption growth accounting exercise reveals that the current and future expected returns on both types of capital have to be negatively correlated. The second part of the project tries to understand what explains the volatility and the correlation of the returns on human and non-human capital. It develops a model in which good news for current and future growth of the cash flows accruing to the owners of non-human capital is bad news for the cash flows accruing to the owners of human capital, matching a key feature of US data. In the model, a larger share of the returns on intangible capital flows to the skilled workers who accumulate it when there is substantial job reallocation, at the expense of the owners of the non-human capital stock.Broader Impact: The volatility of the measured returns on capital presents a major challenge to the workhorse models in modern business cycle theory and asset pricing. This project offers a new perspective on the measurement and modeling of human capital returns. The returns on human capital are of independent interest to researchers in macroeconomics, finance, and labor economics, and bringing consumption data to bear on it may prove to be an important innovation.

非人力资本回报率的波动性令人困惑，原因有二：非人力资本回报率的波动性似乎与总消费不一致，标准的、经过合理校准的模型无法在已安装的非人力资本价格中产生足够的波动性。这个项目有一个“消费增长核算”部分，解决第一个观察，和一个理论部分，解决第二个。它旨在证明，对人力资本回报率的正确测量至少可以缩小模型与数据之间的部分距离。 该项目的第一部分使用消费数据来了解人力资本的回报。在非人力资本收益率给定的情况下，标准理论对总消费和资本收益率的联合分布进行了严格的限制。这些限制被用来了解人力资本的回报。这一消费增长核算工作表明，这两类资本的当前和未来预期回报必须是负相关的。本项目的第二部分试图理解是什么解释了人力资本和非人力资本回报率的波动性和相关性。它开发了一个模型，其中非人力资本所有者的现金流当前和未来增长的好消息是人力资本所有者的现金流的坏消息，与美国数据的一个关键特征相匹配。 在该模型中，无形资本的收益大部分流向了技术工人，当工作岗位发生实质性的重新分配时，这些技术工人会以非人力资本所有者的利益为代价来积累无形资本的收益。更广泛的影响：资本收益率的波动性对现代经济周期理论和资产定价中的主力模型提出了重大挑战。该项目为人力资本回报的计量和建模提供了一个新的视角。人力资本的回报是宏观经济学、金融学和劳动经济学研究者的独立兴趣，将消费数据与之相结合可能是一项重要的创新。