Ohtaki, Eisei

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TitleRisk aversion and the value of money in a class of overlappinggenerations models (Mathematical Economics)Author(s)Ohtaki, EiseiCitation数理解析研究所講究録 (2009), 1654: 101-101Issue Date2009-06URL http://hdl.handle.net/2433/140840RightType Departmental Bulletin PaperTextversionpublisherKyoto UniversityRisk aversion and the value of money in a class ofoverlapping generations models*Eisei Ohtaki\daggerFebruary 28, 2009Abstract. This paper studies the function of money to avoid risk. The purposeof this paper is to investigate the relationship between risk aversion and the val-uation of money. Toward this purpose, the paper considers aclass of overlappinggenerations economies with astorage technology that has stochastic constantreturns to scale. The paper then provides both anecessary condition and asuf-ficient condition for the existence of amonetary equilibrium in each economy.One of the main results of this paper is that in acertain class of economies,asufficient condition for the existence of an equilibrium with positively valuedmoney is that people are sufficiently risk averse. We show that this result is notrobust by comparing both Koda [2] and Kitagawa [1]. The paper also presentsan example of economies, each of which garantees the relation between riskaversion and the valuation of money.[1] Kitagawa, A., 1994, “Risky storage and the value of money,” EconomicsLetters 45, 73-77.[2] Koda, K., 1984, “A note on the existence of monetary equilibria in over-lapping generations models with storage,” Joumal of Economic Theory 34,388-395.Keywords: Money; Storage technology; Risk aversion; Portfolio choice; Over-lapping generations economy.JEL Classiflcation Numbers: D50; D81; E40; Gll.$*I$ especially thank Profaesor Hiroyuki Ozaki for providing supervision. I am also grate-ful to Emeritus Professor Kunio Kawamata and Professors Hiroaki Osana, Shuhei Shiozawaand Yasuo Maeda, and participants of Mathematical Economics Monday Seminar of the Rec-seach Center for Mathematical Economics for their valuable comments, and to Yuhki Hosoya,Toshiyuki Hirai and Naoki Aizawa for helpful discussions. I am solely responsible for anyremaining errors.\dagger Graduate School of Economics, Keio University, Mita 2-15-45, Minato-ku, Tokyo, 108-8345, Japan. E-mail address: ohtaki@gs.econ.keio.ac.$ip$1654 2009 p.101 101

Risk aversion and the value of money in a class of overlapping generations models (Mathematical Economics)

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Risk aversion and the value of money in a class of overlapping generations models (Mathematical Economics)

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