The role of credibility and fundamentals in a funded pension system: a Markov switching analysis for Australia and Iceland
Since the turn of the millennium the problem of credibility of the social security system has spread to the private pension funds sector. This is evident for those countries, like Australia and Iceland, that have very large funded pensions assets as a result of strong pension reforms. The problem of...
Main Authors: | , |
---|---|
Format: | Report |
Language: | English |
Published: |
Berlin: Deutsches Institut für Wirtschaftsforschung (DIW)
2007
|
Subjects: | |
Online Access: | https://www.econstor.eu/bitstream/10419/27280/1/557547563.PDF |
id |
ftleibnizopen:oai:oai.leibnizopen.de:65ADyYkBdbrxVwz6KkFX |
---|---|
record_format |
openpolar |
spelling |
ftleibnizopen:oai:oai.leibnizopen.de:65ADyYkBdbrxVwz6KkFX 2023-08-27T04:10:09+02:00 The role of credibility and fundamentals in a funded pension system: a Markov switching analysis for Australia and Iceland Bonasia, Mariangela Napolitano, Oreste 2007 https://www.econstor.eu/bitstream/10419/27280/1/557547563.PDF eng eng Berlin: Deutsches Institut für Wirtschaftsforschung (DIW) http://www.econstor.eu/dspace/Nutzungsbedingungen Alterssicherung Pensionsfonds Rentenreform Glaubwürdigkeit Makroökonomischer Einfluss Australien Island jel:E21 jel:G23 jel:H55 Credibility pension funds Kalman filter Markov switching model Working Paper 2007 ftleibnizopen 2023-08-06T23:36:21Z Since the turn of the millennium the problem of credibility of the social security system has spread to the private pension funds sector. This is evident for those countries, like Australia and Iceland, that have very large funded pensions assets as a result of strong pension reforms. The problem of trust could prevent pension fund investment from continuing to grow, weakening the privatization of the social security system. The objective of this study is to obtain new insights into the determinants of pension funds. We focus our analysis on the Australian and Icelandic experiences to study the credibility of pension fund performance and, as a consequence, of pension reform. Our credibility indicator is derived from a CAPM time-varying model. It can be used to investigate, using a Markov switching model, the linkages between economic fundamentals and the credibility of pension fund investment and the asymmetric effects of the fundamentals in the two regimes of low and hight credibillity. Our findings make a contribution to modelling policy credibility as a non-linear process with two distinct regimes. We also found large differences in the value of the coefficients for all macroeconomic variables between the low and high credibility regimes. This evidence strongly supports the hypothesis that the effects of macroeconomic fundamental variables on the level of credibility are asymmetric in all countries. Report Iceland LeibnizOpen (The Leibniz Association) |
institution |
Open Polar |
collection |
LeibnizOpen (The Leibniz Association) |
op_collection_id |
ftleibnizopen |
language |
English |
topic |
Alterssicherung Pensionsfonds Rentenreform Glaubwürdigkeit Makroökonomischer Einfluss Australien Island jel:E21 jel:G23 jel:H55 Credibility pension funds Kalman filter Markov switching model |
spellingShingle |
Alterssicherung Pensionsfonds Rentenreform Glaubwürdigkeit Makroökonomischer Einfluss Australien Island jel:E21 jel:G23 jel:H55 Credibility pension funds Kalman filter Markov switching model Bonasia, Mariangela Napolitano, Oreste The role of credibility and fundamentals in a funded pension system: a Markov switching analysis for Australia and Iceland |
topic_facet |
Alterssicherung Pensionsfonds Rentenreform Glaubwürdigkeit Makroökonomischer Einfluss Australien Island jel:E21 jel:G23 jel:H55 Credibility pension funds Kalman filter Markov switching model |
description |
Since the turn of the millennium the problem of credibility of the social security system has spread to the private pension funds sector. This is evident for those countries, like Australia and Iceland, that have very large funded pensions assets as a result of strong pension reforms. The problem of trust could prevent pension fund investment from continuing to grow, weakening the privatization of the social security system. The objective of this study is to obtain new insights into the determinants of pension funds. We focus our analysis on the Australian and Icelandic experiences to study the credibility of pension fund performance and, as a consequence, of pension reform. Our credibility indicator is derived from a CAPM time-varying model. It can be used to investigate, using a Markov switching model, the linkages between economic fundamentals and the credibility of pension fund investment and the asymmetric effects of the fundamentals in the two regimes of low and hight credibillity. Our findings make a contribution to modelling policy credibility as a non-linear process with two distinct regimes. We also found large differences in the value of the coefficients for all macroeconomic variables between the low and high credibility regimes. This evidence strongly supports the hypothesis that the effects of macroeconomic fundamental variables on the level of credibility are asymmetric in all countries. |
format |
Report |
author |
Bonasia, Mariangela Napolitano, Oreste |
author_facet |
Bonasia, Mariangela Napolitano, Oreste |
author_sort |
Bonasia, Mariangela |
title |
The role of credibility and fundamentals in a funded pension system: a Markov switching analysis for Australia and Iceland |
title_short |
The role of credibility and fundamentals in a funded pension system: a Markov switching analysis for Australia and Iceland |
title_full |
The role of credibility and fundamentals in a funded pension system: a Markov switching analysis for Australia and Iceland |
title_fullStr |
The role of credibility and fundamentals in a funded pension system: a Markov switching analysis for Australia and Iceland |
title_full_unstemmed |
The role of credibility and fundamentals in a funded pension system: a Markov switching analysis for Australia and Iceland |
title_sort |
role of credibility and fundamentals in a funded pension system: a markov switching analysis for australia and iceland |
publisher |
Berlin: Deutsches Institut für Wirtschaftsforschung (DIW) |
publishDate |
2007 |
url |
https://www.econstor.eu/bitstream/10419/27280/1/557547563.PDF |
genre |
Iceland |
genre_facet |
Iceland |
op_rights |
http://www.econstor.eu/dspace/Nutzungsbedingungen |
_version_ |
1775351975318126592 |