The equilibrium effects of mortality risk
研究在一般均衡框架下，死亡率风险如何影响家庭的最优决策和资产价格，发现死亡率与风险资产价格存在负相关，且内生价格效应在死亡率剧烈变化时主导福利变化。
In this paper, we investigate how mortality risk affects agents’ optimal decisions and asset prices within a general equilibrium framework. In our model, risk-averse households facing a stochastic mortality rate allocate their net worth among consumption, risky capital production, and risk-free bonds to maximise intertemporal utility. In this setting, we show that a negative and time-varying correlation exists between mortality and risky asset prices, even when production and mortality risks are mutually independent. The correlation arises because higher mortality rates reduce the incentive to save for the future, leading to increased current consumption and decreased capital investment. As a result, higher mortality lowers the prices of risky capital and raises the risk-free rate in equilibrium. Calibrated simulations suggest that endogenous price effects account for the largest share of welfare gains and losses following sharp changes in mortality, such as the COVID-19 pandemic.