Macro seminar
Time : 12h15 – 13h30
Date : 13 Mai 2023

Salle 3001

Sylvain CATHERINE (University of Pennsylvania) “Interest-rate risk and household portfolios”

Abstract: How are households exposed to interest-rate risk? When rates fall, house-holds face lower future expected returns but those holding long-term assets— disproportionately the wealthy and middle-aged—experience capital gains. We study the hedging demand for long-term assets in a portfolio choice model.
The optimal interest-rate sensitivity of wealth is hump-shaped over the life cy-cle. Within cohorts, it increases with wealth and earnings. These predictions fit observed patterns in the United States, suggesting a relatively efficient dis-tribution of interest-rate risk. By protecting workers from rate fluctuations, Social Security limits the welfare consequences of rising wealth inequality when rates fall.

Joint work : Max Miller (Harvad University), James D. Paron (University of Pennsylvania), Natasha Sarin (Yale Law School).

Jean-Baptiste MICHAU (CREST)