Intergenerational risksharing and equilibrium asset prices

• 成果类型: Article
• 署名作者: Campbell, John Y.; Nosbusch, Yves
• 署名单位: Harvard University; University of London; London School Economics & Political Science
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2007.07.002
• 发表日期: 2007
• 页码: 2251-2268
• 关键词: Overlapping generations; Social Security; precautionary saving

摘要

In the presence of overlapping generations, a social security system, with contingent taxes and benefits, can affect both asset prices and intergenerational risksharing. In a simple model with two risky factors of production-human capital, owned by the young, and physical capital, owned by all older generations-asocial security system that optimally shares risks exposes future generations to a share of the risk in physical capital. Such a system reduces precautionary saving and increases the riskbearing capacity of the economy. Under plausible conditions it increases the riskless interest rate, and lowers the price and risk premium of physical capital. (c) 2007 Elsevier B.V. All rights reserved.