Asset Prices and Consumption in a Model of Perpetual Youth
AbstractI construct a general equilibrium overlapping generations model with heterogeneous agents and obtain analytical solutions to asset prices, consumption, and asset demands. Individuals have constant absolute risk aversion and a constant probability of dying. Agents have three stages in their lives. In the first stage, agents are young and constrained from investing in stocks. In the second stage they work, and in the third they retire. I analyze asset prices numerically and with comparative statics. Changing any exogenous parameter has large effects on asset prices when there are large demographic changes to the population constrained from investing in stocks.
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Bibliographic InfoArticle provided by University of Chicago Press in its journal Journal of Business.
Volume (Year): 79 (2006)
Issue (Month): 6 (November)
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- John Y. Campbell & Yves Nosbusch, 2007.
"Intergenerational Risksharing and Equilibrium Asset Prices,"
FMG Discussion Papers, Financial Markets Group
dp589, Financial Markets Group.
- Campbell, John Y. & Nosbusch, Yves, 2007. "Intergenerational risksharing and equilibrium asset prices," Journal of Monetary Economics, Elsevier, Elsevier, vol. 54(8), pages 2251-2268, November.
- John Y. Campbell & Yves Nosbusch, 2006. "Intergenerational Risksharing and Equilibrium Asset Prices," NBER Working Papers 12204, National Bureau of Economic Research, Inc.
- John Y. Campbell & Yves Nosbusch, 2007. "Intergenerational risksharing and equilibrium asset prices," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24484, London School of Economics and Political Science, LSE Library.
- Nosbusch, Yves & Campbell, John, 2007. "Intergenerational Risksharing and Equilibrium Asset Prices," Scholarly Articles 3196340, Harvard University Department of Economics.
- Huang, Rachel J. & Miao, Jerry C.Y. & Tzeng, Larry Y., 2013. "Does mortality improvement increase equity risk premiums? A risk perception perspective," Journal of Empirical Finance, Elsevier, Elsevier, vol. 22(C), pages 67-77.
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