Income Inequality, Equities, Household Debt, and Interest Rates: Evidence from a Century of Data

Authors

Edmond Berisha, Montclair State UniversityFollow
John Meszaros, United States Postal Service
Eric Olson, West Virginia University

Document Type

Article

Publication Date

2-1-2018

Journal / Book Title

Journal of International Money and Finance

Abstract

Using Philippon's (2015) recently published historical household debt data, this paper uses Diebold and Yilmaz's (2012) generalized variance decompositions and generalized impulse responses to understand the relationship between interest rates, the stock market, household debt, and the distribution of income in the U.S. The results indicate that increases in the stock market and household debt increase income inequality. Moreover, the relationship between the interest rate and income inequality is found to be negative and statistically significant. We interpret our results as suggesting that high income earners derive a larger portion of their income from interest rate sensitive assets.

DOI

10.1016/j.jimonfin.2017.09.012

MSU Digital Commons Citation

Berisha, Edmond; Meszaros, John; and Olson, Eric, "Income Inequality, Equities, Household Debt, and Interest Rates: Evidence from a Century of Data" (2018). Department of Economics Faculty Scholarship and Creative Works. 30.
https://digitalcommons.montclair.edu/economics-facpubs/30

Published Citation

Berisha, E., Meszaros, J., & Olson, E. (2018). Income inequality, equities, household debt, and interest rates: Evidence from a century of data. Journal of International Money and Finance, 80, 1-14.