全球智库信息集成服务系统(G2TT): The Murder-Suicide of the Rentier: Population Aging and the Risk Premium

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w26943
来源ID	Working Paper 26943
	The Murder-Suicide of the Rentier: Population Aging and the Risk Premium
	Joseph Kopecky; Alan M. Taylor
发表日期	2020-04-06
出版年	2020
语种	英语
摘要	Population aging has been linked to global declines in real interest rates. A similar trend is seen for equity risk premia, which are on the rise. An existing literature can explain part of the declining trend in safe rates using demographics, but has no mechanism to speak to trends in relative returns on different assets. We calibrate a heterogeneous agent life-cycle model with equity markets and aggregate risk, and we show that aging demographics can simultaneously account for both the majority of a downward trend in the risk free rate, while also increasing the return premium attached to risky assets. This is because the life-cycle savings dynamics that have been well documented exert less pressure on risky assets as older households shift away from risk. Under reasonable calibrations we find declines in the safe rate that are considerably larger than most existing estimates between the years 1990 and 2017. We are also able to account for most of the rise in the equity risk premium. Projecting forward to 2050 we show that persistent demographic forces will continue push the risk free rate further into negative territory, while the equity risk premium remains elevated.
主题	Macroeconomics ; Consumption and Investment ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Labor Economics ; Demography and Aging
URL	https://www.nber.org/papers/w26943
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/584616
推荐引用方式 GB/T 7714	Joseph Kopecky,Alan M. Taylor. The Murder-Suicide of the Rentier: Population Aging and the Risk Premium. 2020.

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
w26943.pdf（541KB）	智库出版物		限制开放	CC BY-NC-SA	浏览