Queen Mary University of London
Mile End Road
London E1 4NS
Institutional Affiliations: Queen Mary University of London and and Centre for Macroeconomics - CFM and Institute for Fiscal Studies - IFS
Information about this author at RePEc
NBER Working Papers and Publications
|February 2018||Nonlinear Household Earnings Dynamics, Self-insurance, and Welfare|
with Mariacristina De Nardi, Gonzalo Paz Pardo: w24326
Earnings dynamics are much richer than typically assumed in macro models with heterogeneous agents. This holds for individual-pre-tax and household-post-tax earnings and across administrative (Social Security Administration) and survey (Panel Study of Income Dynamics) data. We estimate two alternative processes for household after-tax earnings and study their implications using a standard life-cycle model. Both processes feature a persistent and a transitory component, but while the first one is the canonical linear process with stationary shocks, the second one has substantially richer earnings dynamics, allowing for age-dependence of moments, non-normality, and nonlinearity in previous earnings and age. Allowing for richer earnings dynamics implies a substantially better fit of the evolu...
|January 2016||The Implications of Richer Earnings Dynamics for Consumption and Wealth|
with Mariacristina De Nardi, Gonzalo Paz Pardo: w21917
Earnings dynamics are much richer than those typically used in macro models with heterogenous agents. This paper provides multiple contributions. First, it proposes a simple non-parametric method to model rich earnings dynamics that is easy to estimate and introduce in structural models. Second, it applies our method to estimate a nonparametric earnings process using two data sets: the Panel Study of Income Dynamics and a large, synthetic, data set that matches the dynamics of the U.S. tax earnings. Third, it uses a life cycle model of consumption to compare the consumption and saving implications of our two estimated processes to those of a standard AR(1). We find that, unlike the standard AR(1) process, our estimated, richer earnings process generates an increase in consumption inequalit...
|November 2015||Piketty's Book and Macro Models of Wealth Inequality|
with Mariacristina De Nardi, Fang Yang: w21730
Piketty's book, Capital in the Twenty-First Century, discusses several factors affecting wealth inequality: rates of return on capital, output growth rates, tax progressivity, top income shares, and heterogeneity in saving rates and inheritances. This paper studies the role of various forces affecting savings in quantitative models of wealth inequality, discusses their successes and failures in accounting for the observed facts, and compares these model's implications with Piketty's conclusions.
Published: De Nardi, Mariacristina & Giulio , Fella & Yang, Fang, 2016. "Piketty’s Book and Macro Models of Wealth Inequality," Chicago Fed Letter, Federal Reserve Bank of Chicago. citation courtesy of