欧洲央行-资产价格、财富不平等和福利：安全资产作为解决方案（英）

Working Paper Series Asset prices, wealth inequality, and welfare: safe assets as a solution ECB – Lamfalussy Fellowship Programme Xitong Hui Disclaimer: This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. No 3162 ECB Lamfalussy Fellowship Programme This paper has been produced under the ECB Lamfalussy Fellowship programme. This programme was launched in 2003 in the context of the ECB-CFS Research Network on “Capital Markets and Financial Integration in Europe”. It aims at stimulating high-quality research on the structure, integration and performance of the European financial system. The Fellowship programme is named after Baron Alexandre Lamfalussy, the first President of the European Monetary Institute. Mr Lamfalussy is one of the leading central bankers of his time and one of the main supporters of a single capital market within the European Union. Each year the programme sponsors five young scholars conducting a research project in the priority areas of the Network. The Lamfalussy Fellows and their projects are chosen by a selection committee composed of Eurosystem experts and academic scholars. Further information about the Network can be found at http://www.eufinancial-system.org and about the Fellowship programme under the menu point “fellowships”. ECB Working Paper Series No 31621AbstractCan rising asset prices reduce wealth inequality? This paper builds a continuous-timeheterogeneous-agent general equilibrium in which entrepreneurs hold risky private capital andtraditional savers hold safe assets. Safe-asset expansions—via financial innovation, public debt,or a stable equity bubble—operate through a single pass-through: they lower entrepreneurs’undiversified risk exposure, compress risk premia, and raise the interest rate. This slowsentrepreneurial wealth accumulation and redistributes wealth toward traditional savers, soinequality falls even as risky asset valuations rise. Savers gain unambiguously. Entrepreneurs’welfare is state-dependent: when their wealth share is low, they prefer a higher risk premiumand lose from safe-asset expansions; once sufficiently wealthy, they prefer a higher interest ratethat protects a larger wealth base and gain.JEL: D31, G12, E21, E44.Keywords: Safe assets; Asset prices; Wealth inequality; Interest rates; Welfare.ECB Working Paper Series No 31622Non-Technical SummaryRising asset prices, falling interest rates, and increasing top-wealth shares are often thought to movetogether because they favor the rich and hurt tra savers. This paper shows the opposite can happen:when the economy expands the supply of safe assets—via financial innovation, public debt, orcertain stable bubbles—asset prices can rise while wealth inequality falls and the welfare of lesswealthy savers improves.The model has two groups: entrepreneurs, who invest in risky private capital and save more, an