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International pension swaps

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Author Info
BODIE, ZVI
MERTON, ROBERT C.

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Abstract

During the past twenty years, swap contracts have become key financial adapters linking diverse national financial systems to the global financial network. Today banks and investment companies around the world use swaps extensively to manage their currency, interest-rate, and equity-market risks and to lower their transaction costs. Yet pension funds, which have grown rapidly over that same 20-year period, hardly use swaps at all. This paper suggests how pension funds could use swaps to achieve the risk-sharing benefits of broad international diversification and hedging while avoiding the flight of scarce domestic capital to other countries. The paper also shows how swaps can be used to lower the risks of expropriation and to lower the other transaction costs of investing in other countries.

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File URL: http://journals.cambridge.org/abstract_S1474747201001032
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Publisher Info
Article provided by Cambridge University Press in its journal Journal of Pension Economics and Finance.

Volume (Year): 1 (2002)
Issue (Month): 01 (March)
Pages: 77-83
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:cup:jpenef:v:1:y:2002:i:01:p:77-83_00

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  1. Yoon Sook Kim & Paul S. Mills & Todd Groome & François Haas & John Kiff & Shinobu Nakagawa & Parmeshwar Ramlogan & Oksana Khadarina & Nicolas R. Blancher & William Lee, 2006. "The Limits of Market-Based Risk Transfer and Implications for Managing Systemic Risks," IMF Working Papers 06/217, International Monetary Fund. [Downloadable!]
  2. Ladekarl, Jeppe & Ladekarl, Regitze & Andersen, Erik Brink & Vittas, Dimitri, 2007. "The use of derivatives to hedge embedded options : the case of pension institutions in Denmark," Policy Research Working Paper Series 4159, The World Bank. [Downloadable!]
  3. Carlo Ambrogio Favero & Francesco Giavazzi, . "Why are Brazil´s Interest Rates so High?," Working Papers 224, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
  4. Claessens, Stijn, 2005. "Taking stock of risk management techniques for sovereigns," Policy Research Working Paper Series 3570, The World Bank. [Downloadable!]
  5. Dale F. Gray & Robert C. Merton & Zvi Bodie, 2006. "A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy," NBER Working Papers 12637, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  6. Henry, Peter B., 2007. "Capital Account Liberalization: Theory, Evidence, and Speculation," Research Papers 1974, Stanford University, Graduate School of Business. [Downloadable!]
  7. Dimitri Vittas, 2003. "The use of"asset swaps"by institutional investors in South Africa," Policy Research Working Paper Series 3175, The World Bank. [Downloadable!]
  8. Jorge A. Chan-Lau, 2004. "Pension Funds and Emerging Markets," IMF Working Papers 04/181, International Monetary Fund. [Downloadable!]
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