Demographic changes and asset prices in an overlapping generations model

Beatrice D. Simo-Kengne (), Frank Riedel () and Ghislain H. Demeze-Jouatsa ()
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Beatrice D. Simo-Kengne: University of Johannesburg
Frank Riedel: Bielefeld University
Ghislain H. Demeze-Jouatsa: Bielefeld University

No 32, ERSA Working Paper Series from Economic Research Southern Africa

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.

Keywords: Demography; Asset prices; OLG; Panel Cointegration; Granger causality (search for similar items in EconPapers)
JEL-codes: D9 E44 (search for similar items in EconPapers)
Date: 2024-08
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Published in ERSA Working Paper Series, August 2024

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Persistent link: https://EconPapers.repec.org/RePEc:rza:ersawp:32

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