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...
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ftzbwkiel:oai:econstor.eu:10419/27280 2023-12-24T10:17:49+01:00 The role of credibility and fundamentals in a funded pension system: a Markov switching analysis for Australia and Iceland Bonasia, Mariangela Napolitano, Oreste 2007 http://hdl.handle.net/10419/27280 eng eng Berlin: Deutsches Institut für Wirtschaftsforschung (DIW) Series: DIW Discussion Papers No. 756 gbv-ppn:557547563 http://hdl.handle.net/10419/27280 RePEc:diw:diwwpp:dp756 http://www.econstor.eu/dspace/Nutzungsbedingungen ddc:330 E21 G23 H55 Credibility pension funds Kalman filter Markov switching model Alterssicherung Pensionsfonds Rentenreform Glaubwürdigkeit Makroökonomischer Einfluss Australien Island doc-type:workingPaper 2007 ftzbwkiel 2023-11-27T00:43:57Z 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 EconStor (German National Library of Economics, ZBW) |
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EconStor (German National Library of Economics, ZBW) |
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language |
English |
topic |
ddc:330 E21 G23 H55 Credibility pension funds Kalman filter Markov switching model Alterssicherung Pensionsfonds Rentenreform Glaubwürdigkeit Makroökonomischer Einfluss Australien Island |
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ddc:330 E21 G23 H55 Credibility pension funds Kalman filter Markov switching model Alterssicherung Pensionsfonds Rentenreform Glaubwürdigkeit Makroökonomischer Einfluss Australien Island 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 |
ddc:330 E21 G23 H55 Credibility pension funds Kalman filter Markov switching model Alterssicherung Pensionsfonds Rentenreform Glaubwürdigkeit Makroökonomischer Einfluss Australien Island |
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 |
http://hdl.handle.net/10419/27280 |
genre |
Iceland |
genre_facet |
Iceland |
op_relation |
Series: DIW Discussion Papers No. 756 gbv-ppn:557547563 http://hdl.handle.net/10419/27280 RePEc:diw:diwwpp:dp756 |
op_rights |
http://www.econstor.eu/dspace/Nutzungsbedingungen |
_version_ |
1786206175957614592 |