Jünger Can't Borrow: Demographic Imbalances and Currency Risk Premia
Empirically, countries with relatively old populations have significantly lower interest rates and currency returns. As a first step towards explaining this fact, I develop a two-country overlapping generations model to study the relationship between the global wealth distribution and currency risk...
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| Format: | Thesis |
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Massachusetts Institute of Technology
2022
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| Online Access: | https://hdl.handle.net/1721.1/144667 |
| _version_ | 1826194366537924608 |
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| author | Adams, Patrick Augustine |
| author2 | Verdelhan, Adrien |
| author_facet | Verdelhan, Adrien Adams, Patrick Augustine |
| author_sort | Adams, Patrick Augustine |
| collection | MIT |
| description | Empirically, countries with relatively old populations have significantly lower interest rates and currency returns. As a first step towards explaining this fact, I develop a two-country overlapping generations model to study the relationship between the global wealth distribution and currency risk premia. Relatively wealthy countries in the model have low currency risk premia because their bonds insure wealthy households against increases in the price of their own consumption basket. I discuss how the model can be extended to incorporate demographic heterogeneity across countries. Given observed household savings patterns over the life cycle, differences in population age across countries can potentially generate large differences in financial wealth and currency risk premia. |
| first_indexed | 2024-09-23T09:54:54Z |
| format | Thesis |
| id | mit-1721.1/144667 |
| institution | Massachusetts Institute of Technology |
| last_indexed | 2024-09-23T09:54:54Z |
| publishDate | 2022 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/1446672022-10-25T04:48:12Z Jünger Can't Borrow: Demographic Imbalances and Currency Risk Premia Adams, Patrick Augustine Verdelhan, Adrien Sloan School of Management Empirically, countries with relatively old populations have significantly lower interest rates and currency returns. As a first step towards explaining this fact, I develop a two-country overlapping generations model to study the relationship between the global wealth distribution and currency risk premia. Relatively wealthy countries in the model have low currency risk premia because their bonds insure wealthy households against increases in the price of their own consumption basket. I discuss how the model can be extended to incorporate demographic heterogeneity across countries. Given observed household savings patterns over the life cycle, differences in population age across countries can potentially generate large differences in financial wealth and currency risk premia. S.M. 2022-08-29T16:03:22Z 2022-08-29T16:03:22Z 2022-05 2022-06-09T14:33:29.042Z Thesis https://hdl.handle.net/1721.1/144667 In Copyright - Educational Use Permitted Copyright MIT http://rightsstatements.org/page/InC-EDU/1.0/ application/pdf Massachusetts Institute of Technology |
| spellingShingle | Adams, Patrick Augustine Jünger Can't Borrow: Demographic Imbalances and Currency Risk Premia |
| title | Jünger Can't Borrow: Demographic Imbalances and Currency Risk Premia |
| title_full | Jünger Can't Borrow: Demographic Imbalances and Currency Risk Premia |
| title_fullStr | Jünger Can't Borrow: Demographic Imbalances and Currency Risk Premia |
| title_full_unstemmed | Jünger Can't Borrow: Demographic Imbalances and Currency Risk Premia |
| title_short | Jünger Can't Borrow: Demographic Imbalances and Currency Risk Premia |
| title_sort | junger can t borrow demographic imbalances and currency risk premia |
| url | https://hdl.handle.net/1721.1/144667 |
| work_keys_str_mv | AT adamspatrickaugustine jungercantborrowdemographicimbalancesandcurrencyriskpremia |