资产价格、财富不平等和福利：安全资产作为解决方案

Asset prices, wealth inequality, andwelfare: safe assets as a solutionXitong Hui ECB Lamfalussy Fellowship Programme This paper has been produced under the ECB Lamfalussy Fellowship programme. This programme was launched in 2003 in the contextof the ECB-CFS Research Network on “Capital Markets and Financial Integration in Europe”. It aims at stimulating high-quality researchon 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. MrLamfalussy is one of the leading central bankers of his time and one of the main supporters of a single capital market within theEuropean Union. Each year the programme sponsors five young scholars conducting a research project in the priority areas of the Network. TheLamfalussy 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 underthe menu point “fellowships”. Abstract Can 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. Non-Technical Summary Rising 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, andtraditional savers, who hold safer assets. A built-in feedback—entrepreneurs’ higher returns andsaving—can by itself generate the observed joint trends (higher asset prices, lower safe rates, moretop-wealth concentration) without clear welfare gains. In contrast, expanding safe assets raises thesafe rate and compresses the risk premium, slowing top-wealth accumulation and redistributingtoward ordinary savers. Welfare effects are asymmetric: savers benefit unambiguously from higher safe rates, whileentrepreneurs’ welfare is state-dependent—poorer entrepreneurs prefer higher risk premia to growfaster; richer entrepreneurs prefer higher safe rates to protect a larger wealth base. Public debt andrisk-sharing innovations therefore act as redistributive tools without direct transfers, reframing howrising asset prices affect inequality and welfare. 1Introduction Data from the U.S., Europe and beyond over the past few decades shows an increase in asset prices,a fall in interest rates, and higher top wealth inequality.1Conventional wisdom connects these threetrends: higher asset prices would favor the rich, while lower interest rates hurt the poor, leading tohigher top wealth inequality.2This paper questions this view. A pivotal yet underexplored questionemerges: Under what conditions can rising asset pricesreduce, rather than exacerbate, wealthinequality? It shows that expanding the supply of safe assets—through financial innovation, publicdebt, or stable bubbles—can reduce, rather than exacerbate, wealth inequality, redistributing wealthto less wealthy savers and improving their welfare. This paper analyzes how various drivers of asset price growth differentially affect wealthinequality and welfare. Central to this framework is the role of safe assets as a novel redistributivemechanism, demonstrating how their expansion can reduce wealth inequality and improve welfarefor less wealthy savers. Existing partial equilibrium models cannot fully capture general equilibrium effects on inequalityand welfare, as they often overlook endogenous feedback mechanisms and the role of heterogeneousagents in shaping asset markets. Moreover, existing general equilibrium models fail to distinguishbetween different drivers of rising asset prices—such as endogenous dynamics versus various typesof exogenous shocks