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A small stochastic model of a pension fund with endogenous saving

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Author Info
Jan Bonenkamp ()
Martijn van de Ven
Abstract

In this paper we investigate whether uncertainty on the real rate of return on capital and productivity growth (labelled as economic uncertainty) is more or less important than mortality and fertility uncertainty (labelled as demographic uncertainty) for a consumer facing a decision how much to save. Furthermore we look at the errors that are made when uncertainty is neglected in consumer behaviour. The results indicate that economic uncertainty is far more important than demographic uncertainty. The welfare costs of neglecting uncertainty in consumer behaviour seem to be small.

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File URL: http://www.cpb.nl/eng/pub/cpbreeksen/memorandum/168/memo168.pdf
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Paper provided by CPB Netherlands Bureau for Economic Policy Analysis in its series CPB Memoranda with number 168.

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Date of creation: Nov 2006
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Handle: RePEc:cpb:memodm:168

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Related research
Keywords: economic uncertainty; demographic uncertainty; certainty equivalent;

Find related papers by JEL classification:
D91 - Microeconomics - - Intertemporal Choice and Growth - - - Intertemporal Consumer Choice; Life Cycle Models and Saving
G23 - Financial Economics - - Financial Institutions and Services - - - Pension Funds; Other Private Financial Institutions

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Lucas, Robert Jr. & Stokey, Nancy L., 1983. "Optimal fiscal and monetary policy in an economy without capital," Journal of Monetary Economics, Elsevier, vol. 12(1), pages 55-93. [Downloadable!] (restricted)
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  2. Engen, Eric M. & Gruber, Jonathan, 2001. "Unemployment insurance and precautionary saving," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 545-579, June. [Downloadable!] (restricted)
  3. Ronald D. Lee & Ryan D. Edwards, 2001. "The fiscal impact of population change," Conference Series ; [Proceedings], Federal Reserve Bank of Boston. [Downloadable!]
  4. Alan J. Auerbach & Kevin A. Hassett, 1999. "Uncertainty and the Design of Long-Run Fiscal Policy," NBER Working Papers 7036, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  5. Zvi Bodie & Robert C. Merton & William F. Samuelson, 1992. "Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model," NBER Working Papers 3954, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  6. Eric M. Engen & Jonathan Gruber, 1995. "Unemployment Insurance and Precautionary Saving," NBER Working Papers 5252, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  7. Glenn R. Hubbard & Jonathan Skinner & Stephen P. Zeldes, . "Precautionary Saving and Social Insurance," Rodney L. White Center for Financial Research Working Papers 3-95, Wharton School Rodney L. White Center for Financial Research.
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  8. Luis M. Viceira, 1999. "Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income," NBER Working Papers 7409, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  9. Bohn, Henning, 1990. "Tax Smoothing with Financial Instruments," American Economic Review, American Economic Association, vol. 80(5), pages 1217-30, December. [Downloadable!] (restricted)
  10. Sandmo, Agnar, 1970. "The Effect of Uncertainty on Saving Decisions," Review of Economic Studies, Blackwell Publishing, vol. 37(3), pages 353-60, July. [Downloadable!] (restricted)
  11. Assar Lindbeck & Mats Persson, 2003. "The Gains from Pension Reform," Journal of Economic Literature, American Economic Association, vol. 41(1), pages 74-112, March.
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Cited by:
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  1. Alex Armstrong & Nick Draper & André Nibbelink & Ed Westerhout, 2007. "Fiscal Prefunding in Response to Demographic Uncertainty," CPB Discussion Papers 85, CPB Netherlands Bureau for Economic Policy Analysis. [Downloadable!]
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This page was last updated on 2009-11-20.


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