Pension systems, demographic change, and the stock market (Q932092)

The book is actually the dissertation of the author in partial fulfillment of the requirements for the degree of Doctor in Economic Sciences. Its goal is to study pension systems and their interactions with real and financial markets in the presence of demographic change and randomness due to a stochastic asset market. The first part of the book comprises the conception and development of a suitable theoretical framework It provides an explicit description of the formation and dynamic evolution of prices and allocations on financial markets and extends the class of rational expectations models by allowing for arbitrary and hence possibly non-rational expectations of investors. The second part of the book is mainly carried out with the help of numerical simulations. To obtain a benchmark scenario, the study first considers the case with a constant population. In a second step this is extended to the case with demographic transitions and a shrinking population. The analysis in both scenarios is carried out by first taking a purely descriptive view that analyzes the qualitative and quantitative impact on pension systems on prices and allocations on real and financial markets. This is followed by a normative part that seeks to judge and compare alternative pension policies in terms of efficiency by analyzing their impact on consumer welfare.