Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/278248 
Year of Publication: 
2022
Series/Report no.: 
Center for Mathematical Economics Working Papers No. 672
Publisher: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
Abstract: 
We examine the effect of demographic shifts on asset prices in an overlapping generations model with endogenous population dynamics. We establish a robust inverse relationship between returns and the old dependency ratio. We document the absence of a simple monotonic relationship between asset prices and demographic parameters. Returns depend on the joint evolution of fertility, mortality, and lifetime work in a complex way that we quantify. We carry out an extensive empirical study involving 55 countries. Both theoretical and empirical findings reconcile existing propositions on the population age structure and asset returns for riskless and short-lived risky assets.
Subjects: 
Demography
Asset prices
OLG
Panel cointegration
Granger causality
JEL: 
D9
E44
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Working Paper

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