Auflistung LIF-SAFE Working Papers nach Schlagwort "idiosyncratic risk"
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Asset Pricing in OLG Economies With Borrowing Constraints and Idiosyncratic Income Risk
(2018-09-17)This paper analyzes how the combination of borrowing constraints and idiosyncratic risk affects the equity premium in an overlapping generations economy. I find that introducing a zero-borrowing constraint in an economy ... -
Idiosyncratic Risk, Aggregate Risk, and the Welfare Effects of Social Security
(2017-12-01)We ask whether a pay-as-you-go financed social security system is welfare improving in an economy with idiosyncratic productivity and aggregate business cycle risk. We show analytically that the whole welfare benefit from ... -
Optimal Taxes on Capital in the OLG Model with Uninsurable Idiosyncratic Income Risk
(2018-02-09)We characterize the optimal linear tax on capital in an Overlapping Generations model with two period lived households facing uninsurable idiosyncratic labor income risk. The Ramsey government internalizes the general ... -
Social Security in an Analytically Tractable Overlapping Generations Model with Aggregate and Idiosyncratic Risk
(2015-04-13)When markets are incomplete, social security can partially insure against idiosyncratic and aggregate risks. We incorporate both risks into an analytically tractable model with two overlapping generations. We derive the ...