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Idiosyncratic Risk, Aggregate Risk, and the Welfare Effects of Social Security
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 ...
Asset Pricing in OLG Economies With Borrowing Constraints and Idiosyncratic Income Risk
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 ...