| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8906 |
| 来源ID | Working Paper 8906 |
| Junior Must Pay: Pricing the Implicit Put in Privatizing Social Security | |
| George M. Constantinides; John B. Donaldson; Rajnish Mehra | |
| 发表日期 | 2002-04-18 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | Proposals that portion of the Social Security Trust Fund assets be invested in equities entail the possibility that a severe decline in equity prices renders the Fund assets insufficient to provide the currently mandated level of benefits. In this event, existing taxpayers may be compelled to act as insurers of last resort. The cost to taxpayers of such an implicit commitment equals the value of a put option with payoff equal to the benefit's shortfall. We calibrate an OLG model that generates realistic equity premia and value the put. With 20 percent of the Fund assets invested in equities, the highest level currently under serious discussion, we value a put that guarantees the currently mandated level of benefits at one percent of GDP, or a temporary increase in Social Security taxation of at most 25 percent. We value a put that guarantees 90 percent of benefits at merely .03 percent of GDP. In contrast to earlier literature, our results account for the significant changes in the distribution of security returns resulting from Trust Fund purchases. We also explore the inter-generational welfare implications of the guarantee. |
| 主题 | Microeconomics ; Behavioral Economics ; Macroeconomics ; Consumption and Investment |
| URL | https://www.nber.org/papers/w8906 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566514 |
| 推荐引用方式 GB/T 7714 | George M. Constantinides,John B. Donaldson,Rajnish Mehra. Junior Must Pay: Pricing the Implicit Put in Privatizing Social Security. 2002. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w8906.pdf（1278KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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