On the interaction between risk sharing and capital accumulation in a stochastic OLG model with production

• 成果类型: Article
• 署名作者: Barbie, Martin; Hagedorn, Marcus; Kaul, Ashok
• 署名单位: Johannes Gutenberg University of Mainz; Helmholtz Association; Karlsruhe Institute of Technology; European Central Bank; University of Zurich
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2007.01.012
• 发表日期: 2007
• 页码: 568-579
• 关键词: stochastic OLG model; risk sharing; dynamic efficiency; Pareto optimality

摘要

We analyze the interaction between risk sharing and capital accumulation in a stochastic OLG model with production. We give a complete characterization of interim Pareto optimal competitive equilibrium allocations. Furthermore, we provide tests of Pareto optimality/suboptimality based on (risky) rates of return only. (c) 2007 Elsevier Inc. All rights reserved.