Dmitriy Stolyarov

Technological Change and the Stock Market

Tobins average q has usually been well above 1, but fell below 1 during 1974-1984. Our model explains this pattern and reconciles it with unchanging aggregate investment. The stock market value in the numerator of q reflects ownership of physical capital and knowledge, but the denominator measures just physical capital. Therefore, q is usually above 1. Periodic arrivals of important new technologies, such as the microprocessor in the 1970s, suddenly render old knowledge and capital obsolete, causing the stock market to drop. National accounts measures of physical capital miss this rapid obsolescence. Then q appears to drop below 1. (JEL E44, O3, O41)

Inequality and Volatility Moderation in Russia: Evidence from Micro-Level Panel Data on Consumption and Income

We construct key household and individual economic variables using a panel micro data set from the Russia Longitudinal Monitoring Survey (RLMS) for 1994-2005. We analyze cross-sectional income and consumption inequality and find that inequality decreased during the 2000-2005 economic recovery. The decrease appears to be driven by falling volatility of transitory income shocks. The response of consumption to permanent and transitory income shocks becomes weaker later in the sample, consistent with greater self-insurance against permanent shocks and greater smoothing of transitory shocks. Comparisons of RLMS data with official macroeconomic statistics reveal that national accounts may underestimate the extent of unofficial economic activity, and that the official consumer price index may overstate inflation and be prone to quality bias.

Turnover of Used Durables in a Stationary Equilibrium: Are Older Goods Traded More?

This paper develops a dynamic model with transaction costs to determine the equilibrium resale pattern in a market for a durable good. The key result is that the probability of resale is nonmonotonic in the age of the good. Trade volume is relatively low in the very beginning and in the middle of a good’s life. This result helps explain observed variations of resale rates across vintages for the U.S. market of used cars.

Valuing lost home production of dual earner couples

Using a life-cycle model in which women divide their time between home and market work, we establish a link between retirement wealth and the value of forgone home production. We use data from the Health and Retirement Study to estimate the models parameters and adjust the growth rate of GDP to reflect reductions in non-market output. We find that the value of forgone home production is modest - about 25 percent of womens measured earnings.

Derivative Ideas and the Value of Intangible Assets

We build a general equilibrium model where growth is driven by two invention types: fundamental ideas that cause creative destruction, and derivative ideas that enhance the value of existing inventions. The model provides a new mapping from microeconomic, patent data to aggregate total factor productivity growth and the aggregate value of privately owned knowledge. We show how to measure the frequency of derivative ideas and the rate of creative destruction. We estimate that derivative ideas account for 70–80% of all patents and their presence more than doubles the value of knowledge capital relative to what the measured innovation rate might otherwise imply.

Technological Progress and Worker Productivity at Different Ages

Economists have long thought of technological progress as a primary determinant of rising living standards over time. One might think of technological progress as increasing the “effectiveness” of labor, thereby raising the amount of output that each unit of labor can produce. The purpose of this paper is to ask whether, as an empirical matter, technological progress increases the productivity of workers evenly, or whether it augments the effectiveness of young workers the most. As low birthrates and increases in longevity lead to an “aging” of the population, the productivity of older workers relative to younger workers is likely to become an ever more important issue. Analyzing data from the decennial Censuses and annual data from the Current Population Survey, this paper draws three tentative conclusions. First, we find that the “aging” of the U.S. work force seems more likely to increase aggregate productivity – by raising the proportion of laborers with sizable accumulations of human capital from experience – than to decrease it – by slowing the adoption rate for innovations. Our preliminary estimates imply that the latter effect is of modest magnitude. Second, since our preliminary estimates point to “general” rather than “specific” technological progress, each household faces a problem of having to predict the course of technological progress over its life span. This means that households face more risk than otherwise, and it complicates the specification of the life-cycle model that analysts should employ. Third, when we disaggregate across education groups, the groups show quite unequal benefits from technological progress after 1980, and this may lead to further challenges in modeling household behavior.

Macroeconomic Determinants of Retirement Timing

We analyze lifetime earnings histories of white males during 1960-2010 and categorize the labor force status of every worker as either working full-time, partially retired or fully retired. We find that the fraction of partially retired workers has risen dramatically (from virtually 0 to 15 percent for 60-62 year olds), and that the duration of partial retirement spells has been steadily increasing. We estimate the response of retirement timing to variations in unemployment rate, inflation and housing prices. Flows into both full and partial retirement increase significantly when the unemployment rate rises. Workers around normal retirement age are especially sensitive to variations in the unemployment rate. Workers who are partially retired show a differential response to a high unemployment rate: younger workers increase their partial retirement spell, while older workers accelerate their transition to full retirement. We also find that high inflation discourages full-time work and encourages partial and full retirement. Housing prices do not have a significant impact on retirement timing.

Annuitized Wealth and Post-Retirement Saving

We introduce a tractable model of post-retirement saving behavior in which households have a precautionary motive arising from uninsured health status risks. The model distinguishes between annuitized and non-annuitized wealth, emphasizes the importance of asset composition in determining optimal household behavior, and includes an extension allowing late-in-life exchange transactions among relatives. We consider three puzzles in micro data - rising cohort average wealth of retirees, lack of demand for market annuities, and the relative scarcity of bequests - and show that our model can provide intuitive explanations for each.

Home Production by Dual Earner Couples and Consumption During Retirement

To study the role of home production in life-cycle behavior, this paper creates a theoretical model in which both spouses in a couple allocate their time between market and home work. It then derives a pair of regression equations for estimating the parameters of the model, and it carries out the estimation using panel data on household net worth and lifetime earnings from the Health and Retirement Study and pseudo-panel data on household consumption expenditures from the Consumer Expenditure Survey. We estimate that the value of forgone home production is roughly 10-15 cents for every dollar that a married man earns, but 30-35 cents per dollar of married women’s market earnings. Our findings imply male labor supply elasticities that are very near zero and female elasticities in the range of 0.50. Our model predicts a substantial decline in measured consumption expenditure at a household’s retirement, and it shows that Euler-equation models of consumption behavior should include terms reflecting home production.

Productivity Growth and Interest Rate Trends: A Long-Run Analysis

This paper develops a new measure of after-tax rate of return on aggregate wealth and uses it in estimating the structural relationship between the long-run interest rate and productivity growth rate. The structural approach allows use of parameter estimates in constructing projections for the interest rate on U.S. Treasury securities. Results indicate that the long-run interest rate rises slightly more than one for one with productivity growth rate. The projected real interest rate on 10-year US government bonds is in the 1.5-2.0 percent range under intermediate assumptions on future productivity growth and trends in the world interest rate.