Do Fundamentals and Credibility Matter 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 study focus on the Australian and Icelandic experiences to study the credibility of pension fund performance and pension reform. Our credibility indicator is...

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Bibliographic Details
Main Authors: Mariangela Bonasia, Oreste Napolitano
Format: Article in Journal/Newspaper
Language:unknown
Subjects:
Iceland
Online Access:https://dipot.ulb.ac.be/dspace/bitstream/2013/80291/1/03-Bonasia.pdf
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spelling ftrepec:oai:RePEc:bxr:bxrceb:2013/80291 2024-04-14T08:13:40+00:00 Do Fundamentals and Credibility Matter in a Funded Pension System ?A Markov Switching Analysis for Australia and Iceland Mariangela Bonasia Oreste Napolitano https://dipot.ulb.ac.be/dspace/bitstream/2013/80291/1/03-Bonasia.pdf unknown https://dipot.ulb.ac.be/dspace/bitstream/2013/80291/1/03-Bonasia.pdf article ftrepec 2024-03-19T10:27:03Z Since the turn of the millennium the problem of credibility of the social security system has spread to the private pension funds sector. This study focus on the Australian and Icelandic experiences to study the credibility of pension fund performance and pension reform. Our credibility indicator is a derived from a CAPM time-varying model. We investigate, using the Markov switching model, the linkages between economic fundamentals, the credibility regimes. We found large differences in the value of the coefficients for all macroeconomic variables. Our findings make a contribution to modelling policy credibility as a non-linear process with two distinct regimes. Credibility; Pension funds; Kalman filter; Markow switching model Article in Journal/Newspaper Iceland RePEc (Research Papers in Economics)
institution Open Polar
collection RePEc (Research Papers in Economics)
op_collection_id ftrepec
language unknown
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 study focus on the Australian and Icelandic experiences to study the credibility of pension fund performance and pension reform. Our credibility indicator is a derived from a CAPM time-varying model. We investigate, using the Markov switching model, the linkages between economic fundamentals, the credibility regimes. We found large differences in the value of the coefficients for all macroeconomic variables. Our findings make a contribution to modelling policy credibility as a non-linear process with two distinct regimes. Credibility; Pension funds; Kalman filter; Markow switching model
format Article in Journal/Newspaper
author Mariangela Bonasia
Oreste Napolitano
spellingShingle Mariangela Bonasia
Oreste Napolitano
Do Fundamentals and Credibility Matter in a Funded Pension System ?A Markov Switching Analysis for Australia and Iceland
author_facet Mariangela Bonasia
Oreste Napolitano
author_sort Mariangela Bonasia
title Do Fundamentals and Credibility Matter in a Funded Pension System ?A Markov Switching Analysis for Australia and Iceland
title_short Do Fundamentals and Credibility Matter in a Funded Pension System ?A Markov Switching Analysis for Australia and Iceland
title_full Do Fundamentals and Credibility Matter in a Funded Pension System ?A Markov Switching Analysis for Australia and Iceland
title_fullStr Do Fundamentals and Credibility Matter in a Funded Pension System ?A Markov Switching Analysis for Australia and Iceland
title_full_unstemmed Do Fundamentals and Credibility Matter in a Funded Pension System ?A Markov Switching Analysis for Australia and Iceland
title_sort do fundamentals and credibility matter in a funded pension system ?a markov switching analysis for australia and iceland
url https://dipot.ulb.ac.be/dspace/bitstream/2013/80291/1/03-Bonasia.pdf
genre Iceland
genre_facet Iceland
op_relation https://dipot.ulb.ac.be/dspace/bitstream/2013/80291/1/03-Bonasia.pdf
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