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

非人力资本回报的波动性令人困惑，原因有二：非人力资本回报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，解决了第一个问题，还有一个理论部分，解决了第二个问题。它的目的是证明，正确的衡量人力资本的回报可以关闭至少部分模型和数据之间的距离。该项目的第一部分使用消费数据来了解人力资本的回报。以非人力资本收益为给定，表明标准理论对数据中总消费与资本收益的联合分配有严格的限制。这些限制是用来了解人力资本的回报。这种消费增长核算表明，这两种类型的资本的当前和未来预期回报必须负相关。该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的波动性和相关性。它开发了一个模型，在这个模型中，非人力资本所有者积累的现金流当前和未来增长的好消息，是人力资本所有者积累的现金流的坏消息，这与美国数据的一个关键特征相匹配。在该模型中，当存在大量的工作再分配时，无形资本回报的更大份额流向了积累无形资本的熟练工人，而非人力资本存量的所有者则付出了代价。更广泛的影响：衡量资本回报率的波动性对现代商业周期理论和资产定价中的主力模型提出了重大挑战。本项目为人力资本回报的测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人员独立感兴趣的问题，将消费数据纳入其中可能被证明是一项重要的创新。

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.