Low safe interest rates: A case for dynamic inefficiency?

IF 2.3 3区 经济学 Q2 ECONOMICS Review of Economic Dynamics Pub Date : 2023-12-01 DOI:10.1016/j.red.2023.06.005
Gaetano Bloise , Pietro Reichlin
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Abstract

We reexamine the tests for dynamic inefficiency in productive overlapping-generations economies with stochastic growth. Contrary to certain claims in the recent literature, we argue that the size of real safe interest rates relative to average GDP growth is an inconclusive test for dynamic inefficiency. A more accurate test should take into account the correlation between growth and the marginal utility of wealth. We provide an exhaustive criterion based on the growth-adjusted dominant root of the stochastic discount factor emerging at the competitive equilibrium. Surprisingly, a preliminary rough empirical application of this criterion uncovers dynamic inefficiency of the US economy for any reasonable degree of risk aversion. We also distinguish capital overaccumulation from an inefficient distribution of consumption risk. The refined test for capital overaccumulation is rather stringent: Capital is not overaccumulated if the net dividend remains positive with some probability, as opposed to always, as in the original Abel et al. (1989)'s formulation.

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低安全利率:动态低效的案例?
我们重新审视了随机增长的生产性世代交替经济体的动态无效率检验。与近期文献中的某些说法相反,我们认为实际安全利率相对于平均 GDP 增长率的大小并不能对动态无效率进行确凿的检验。更准确的测试应考虑增长与财富边际效用之间的相关性。我们根据竞争均衡时出现的随机贴现因子的增长调整主根,提供了一个详尽的标准。令人惊讶的是,对这一标准的初步粗略实证应用发现,在任何合理的风险规避程度下,美国经济都是动态低效的。我们还将资本过度积累与消费风险的无效率分布区分开来。对资本过度积累的细化检验相当严格:如果净红利有一定概率为正,资本就不会过度积累,而不是像阿贝尔等人(1989 年)最初提出的那样始终为正。
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来源期刊
CiteScore
3.30
自引率
0.00%
发文量
69
期刊介绍: Review of Economic Dynamics publishes meritorious original contributions to dynamic economics. The scope of the journal is intended to be broad and to reflect the view of the Society for Economic Dynamics that the field of economics is unified by the scientific approach to economics. We will publish contributions in any area of economics provided they meet the highest standards of scientific research.
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