In this paper, we analyze time-varying predictability of financial stress due to growth in income inequality of the United States (US) over the annual period of 1913 to 2016. In order to ensure that we remove the asset price effects on income inequality, and provide incorrect inferences regarding the impact on financial stress, we work with capital-gains excluded six alternative measures of top shares of pretax income and wages. We find that the top 10%, the top 10% to 5%, and the top 5% to 1% inequality growth rates tend to predict financial stress relatively better than the corresponding inequality growth rates associated with the top 1%, top 0.1%, and the top 0.01% of the income distribution. Moreover, all the six metrics of inequality growth is capable of predicting the heightened financial stress observed during the onset of the Great Depression and the same associated with the recent global financial crisis. Finally, our in-sample evidence of predictability tends to carry over to an out-of-sample forecasting exercise under four out of the six measures of inequality considered, and in particular for the broader measures of inequality – a result consistent with our in-sample analysis.

在本文中，我们分析了1913年至2016年间由于美国收入不平等的增长而导致的财务压力随时间变化的可预测性。为了确保我们消除资产价格对收入不平等的影响，并提供有关对财务压力影响的错误推论，我们使用资本收益排除了税前收入和工资最高份额的六种替代措施。我们发现排名前10％，排名前10％到5％以及排名前5％到1％的不平等增长率倾向于相对于与收入最高的1％，排名前0.1％的不平等增长率相对更好地预测财务压力，以及收入分配的前0.01％。而且，不平等增长的所有六个指标都能够预测在大萧条爆发期间观察到的加剧的金融压力，以及与最近的全球金融危机相关的压力。最后，我们在可预测性方面的样本证据倾向于在所考虑的六个不平等衡量指标中的四个衡量指标基础上进行样本外预测活动，尤其是对于更广泛的不平等衡量指标而言，这一结果与我们的样本分析。