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摘要翻译：
人们猜想，规范的Bewley-Huggett-Aiyagari异质代理模型不能解释收入和财富的共同分配。下面所述的结果验证了这一猜想，并澄清了它在非常一般的条件下的含义。我们特别表明，如果(i)代理人是无限寿命的，(ii)储蓄是无风险的，(iii)代理人具有恒定的贴现因子，那么财富分布继承了收入冲击的尾部行为（例如，轻尾性或帕累托指数）。我们对效用的限制只要求相对风险厌恶是有界的，并且允许大量不同的收入过程。我们的结果表明，有必要超越标准模型来解释财富比收入更重的经验事实。我们通过实例论证了放宽上述三个条件中的任何一个条件都可以产生帕累托尾。
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英文标题：
《An Impossibility Theorem for Wealth in Heterogeneous-agent Models with
Limited Heterogeneity》
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作者：
John Stachurski and Alexis Akira Toda
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最新提交年份：
2019
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分类信息：
一级分类：Economics 经济学
二级分类：General Economics 一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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英文摘要：
It has been conjectured that canonical Bewley--Huggett--Aiyagari heterogeneous-agent models cannot explain the joint distribution of income and wealth. The results stated below verify this conjecture and clarify its implications under very general conditions. We show in particular that if (i) agents are infinitely-lived, (ii) saving is risk-free, and (iii) agents have constant discount factors, then the wealth distribution inherits the tail behavior of income shocks (e.g., light-tailedness or the Pareto exponent). Our restrictions on utility require only that relative risk aversion is bounded, and a large variety of income processes are admitted. Our results show conclusively that it is necessary to go beyond standard models to explain the empirical fact that wealth is heavier-tailed than income. We demonstrate through examples that relaxing any of the above three conditions can generate Pareto tails.
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PDF链接：
https://arxiv.org/pdf/1807.08404
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