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Wealth mobility and dynamics over entire individual working life cycles

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  • Stefan Hochguertel

    ()

  • Henry Ohlsson

    ()

Abstract

We study taxable wealth in unique Swedish administrative data, annually following a large sample of households over a period of almost 40 years. The main data limitation is non-observability of wealth for those below the tax exemption level. This implies that much of the focus of the paper is on the rich, since we are confined to those whose wealth becomes taxable over time. We exploit the long panel dimension by estimating dynamic ?fixed effects? models for limited dependent variables that allow for individual heterogeneity in both constants and autoregressive parameters, and control for heterogeneity through observables. We find substantial wealth mobility over the long time spans, partly accounted for by life-cycle behavior, while sufficiently capturing dynamics by an AR(1) process at the individual level.

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File URL: http://www.bcl.lu/fr/publications/cahiers_etudes/56/BCLWP056.pdf
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Bibliographic Info

Paper provided by Central Bank of Luxembourg in its series BCL working papers with number 56.

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Length: 50 pages
Date of creation: Feb 2011
Date of revision:
Handle: RePEc:bcl:bclwop:bclwp056

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Web page: http://www.bcl.lu/

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Keywords: wealth mobility; wealth dynamics; life cycle; heterogeneity; panel data;

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  1. Hahn, Jinyong & Kuersteiner, Guido, 2011. "Bias Reduction For Dynamic Nonlinear Panel Models With Fixed Effects," Econometric Theory, Cambridge University Press, vol. 27(06), pages 1152-1191, December.
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  9. Anders Klevmarken, & Joseph P. Lupton & Frank P. Stafford, 2003. "Wealth Dynamics in the 1980s and 1990s: Sweden and the United States," Journal of Human Resources, University of Wisconsin Press, vol. 38(2).
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  16. Karen E. Dynan & Jonathan Skinner & Stephen P. Zeldes, 2004. "Do the Rich Save More?," Journal of Political Economy, University of Chicago Press, vol. 112(2), pages 397-444, April.
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  21. Klevmarken, N.A., 2001. "On the Wealth Dynamics of Swedish Families 1984-1998," Papers 2001:17, Uppsala - Working Paper Series.
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Cited by:
  1. Stefan Hochguertel & Henry Ohlsson, 2012. "Who is at the Top? Wealth Mobility over the Life Cycle," Tinbergen Institute Discussion Papers 12-004/3, Tinbergen Institute.

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