Intergenerational Risk Sharing with Market Liquidity Risk

Market liquidity risk : an overview

On optimality of intergenerational risk sharing

This paper defines and studies optimality in a dynamic stochastic economy with finitely lived agents, and investigates the optimality properties of an equilibrium with or without sequentially complete markets. Various Pareto optimality concepts are considered, including interim and ex ante optimality. We show that, at an equilibrium with a productive asset (land) and sequentially complete marke...

Intergenerational Risk Sharing and Fiscal Policy

The paper examines the allocation of macroeconomic risks a stochastic growth model with overlapping generations. For several standard models with CRRA preferences, I find laissez faire ex ante inefficient in the direction of imposing too little productivity risk on the old and too much risk on the young and on future generations. Governments commonly issue safe debt and promise safe public pens...

Essays on Stock Market Liquidity and Liquidity Risk Premium

..............................................................................................................................v Chapter One: Introduction ...................................................................................................1 Chapter Two: Liquidity, Macro Factors and the U.S. Equity Flows to Emerging Markets 3

Measuring Market Liquidity Risk - Which Model Works