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Demography and Equity Premium

  • Wolfgang Kuhle

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    (Munich Center for the Economics of Aging (MEA))

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    This article comprises a tractable two-generations-overlapping, stochastic, neoclassical production economy, where government bonds are in positive net supply. In this framework we show that the entrance of larger (smaller) cohorts into the labor market will lead to an increase (decrease) in the risky and the riskless rate and to an increase (decrease) in the expected equity premium.

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    File URL: http://mea.mpisoc.mpg.de/uploads/user_mea_discussionpapers/b2xkm3um8l7kwsqk_157-08.pdf.pdf
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    Paper provided by Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy in its series MEA discussion paper series with number 08157.

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    Date of creation: 15 Feb 2008
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    Handle: RePEc:mea:meawpa:08157
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    1. Andrew B. Abel, 2000. "The Effects of Investing Social Security Funds in the Stock Market When Fixed Costs Prevent Some Households from Holding Stocks," NBER Working Papers 7739, National Bureau of Economic Research, Inc.
    2. Author-Name: John Geanakoplos & Michael Magill & Martine Quinzii, 2004. "Demography and the Long-Run Predictability of the Stock Market," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 35(1), pages 241-326.
    3. Andrew B. Abel, 2002. "The effects of a baby boom on stock prices and capital accumulation in the presence of Social Security," Working Papers 03-2, Federal Reserve Bank of Philadelphia.
    4. Robin Brooks, 2004. "The Equity Premium and the Baby Boom," Econometric Society 2004 North American Winter Meetings 155, Econometric Society.
    5. Börsch-Supan, Axel & Ludwig, Alexander & Sommer, Mathias, 2005. "Aging and Asset Prices," Sonderforschungsbereich 504 Publications 07-29, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    6. Samuelson, Paul A, 1969. "Lifetime Portfolio Selection by Dynamic Stochastic Programming," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 239-46, August.
    7. Robin Brooks, 2002. "Asset-Market Effects of the Baby Boom and Social-Security Reform," American Economic Review, American Economic Association, vol. 92(2), pages 402-406, May.
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