I am an Assistant Professor at the Paris School of Economics.
I work at the intersection of macroeconomics and finance and my research focuses on understanding the forces that shape the evolution of the wealth distribution.
I am an Assistant Professor at the Paris School of Economics.
I work at the intersection of macroeconomics and finance and my research focuses on understanding the forces that shape the evolution of the wealth distribution.
In this paper I argue that the dynamics of wealth inequality are largely driven by heterogeneous exposure to aggregate risk in asset returns. I propose a quantitative model of households' optimal portfolio choice that builds on evidence that housing is a necessary good. The model replicates households' portfolio heterogeneity along the wealth distribution: just like in the data, as households get wealthier they shift their portfolios away from safe assets, first towards housing, and then towards equity. Because households in different parts of the wealth distribution are exposed to different sources of aggregate risk, the model has strong implications for the evolution of inequality. In particular, temporary shocks in equity returns have large and persistent effects on top wealth shares. A key implication is that the observed rise in U.S. wealth inequality was mostly due to abnormal equity returns and it is therefore expected to revert back to lower levels.