Laurent Calvet discussed household finance
Written on 08 Oct 2018.
Laurent Calvet, Professor of Finance, EDHEC Business School and Member, EDHEC-Risk Institute, presented his latest research “From Saving Comes Having? Disentangling the Impact of Saving on Wealth Inequality”, at the 1st European Midwest Micro/Macro Conference (EM³C) in Bonn on 5 October, 2018.
The conference was jointly organised by the University of Bonn, the Centre for Economic Policy Research (CEPR), and the European Research Council.
The conference is hosted by the Institute of Macroeconomics and Econometrics of Bonn University. EM3C is a joint initiative of Rüdiger Bachmann (University of Notre Dame), Scott R. Baker (Northwestern University Kellogg School of Management), Kyle Herkenhoff (University of Minnesota), Kurt Mitman (Stockholm University Institute for International Economic Studies), and Michael Weber (The University of Chicago Booth School of Business) and the local organizers.
The paper he presented investigates the channels through which saving flows impact the dynamics of wealth inequality. The analysis relies on an administrative panel that reports the assets and income of every Swedish resident at the yearly frequency. Authors document that the saving rate, defined as saving from labor income divided by net worth, is on average a decreasing function of net worth itself. The saving rate is also highly heterogeneous within net worth brackets. Heterogeneity across and within net worth brackets have conflicting effects on wealth inequality. As a result, saving rate heterogeneity is measured to have a strong impact on social mobility but only a weak impact on the distribution of net worth. Heterogeneity in wealth return is instead the main driver of the recent increase in top wealth shares.
Professor Laurent E. Calvet is a specialist in asset pricing, household finance, and volatility modelling. He has served as the John Loeb Professor of the Social Sciences at Harvard University, was research professor at HEC, and a Professor and Chair in Finance at Imperial College London. Together with Adlai Fisher, he pioneered the Markov-switching multifractal model of financial volatility, which is used by academics and financial practitioners to forecast volatility, compute value-at-risk, and price derivatives. He is a Research Associate of Goethe University Frankfurt’s Center for Financial Studies, a Founding Member of the CEPR Household Finance Network, and an editorial board member of several academic journals, including Journal of Fractal Geometry. He is an engineering graduate from Ecole Polytechnique and Ecole Nationale des Ponts et Chaussée in Paris and holds a Ph.D. in Economics from Yale University.
About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
