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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ftuninapoliparth:oai:ricerca.uniparthenope.it:11367/704 2024-01-14T10:07:56+01:00 Do fundamentals and credibility matter in a funded pension system? A Markov switching analysis for Australia and Iceland BONASIA, Mariangela NAPOLITANO, Oreste Bonasia, Mariangela Napolitano, Oreste 2007 http://hdl.handle.net/11367/704 eng eng volume:50 (2) firstpage:73 lastpage:100 numberofpages:28 journal:BRUSSELS ECONOMIC REVIEW http://hdl.handle.net/11367/704 info:eu-repo/semantics/article 2007 ftuninapoliparth 2023-12-20T17:42:59Z 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 derived from a CAPM time-varying model. We investigate, using the Markov switching model, the linkages between economic fundamentals, the credibility of pension fund investment and the asymmetric effects of the fundamentals in the low and high 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. Article in Journal/Newspaper Iceland Università degli Studi di Napoli "Parthenope": CINECA IRIS |
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Open Polar |
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Università degli Studi di Napoli "Parthenope": CINECA IRIS |
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ftuninapoliparth |
language |
English |
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 derived from a CAPM time-varying model. We investigate, using the Markov switching model, the linkages between economic fundamentals, the credibility of pension fund investment and the asymmetric effects of the fundamentals in the low and high 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. |
author2 |
Bonasia, Mariangela Napolitano, Oreste |
format |
Article in Journal/Newspaper |
author |
BONASIA, Mariangela NAPOLITANO, Oreste |
spellingShingle |
BONASIA, Mariangela NAPOLITANO, Oreste Do fundamentals and credibility matter in a funded pension system? A Markov switching analysis for Australia and Iceland |
author_facet |
BONASIA, Mariangela NAPOLITANO, Oreste |
author_sort |
BONASIA, Mariangela |
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 |
publishDate |
2007 |
url |
http://hdl.handle.net/11367/704 |
genre |
Iceland |
genre_facet |
Iceland |
op_relation |
volume:50 (2) firstpage:73 lastpage:100 numberofpages:28 journal:BRUSSELS ECONOMIC REVIEW http://hdl.handle.net/11367/704 |
_version_ |
1788062347511726080 |