The role of demographic variables in explaining financial returns in Italy
AbstractThis paper contributes to the ongoing debate on the relationship between asset returns and age-structure by investigating the case of Italy, which is experiencing one of the most pronounced ageing in the world. To this end, time-series regressions are run, in which real returns on different financial assets (stocks, long- and short-term government bonds) are used as dependent variables. The dataset contains annual observations spanning over the period 1958-2004. First, as in Poterba (2001, 2004) only demographic variables are used as explanatory ones. Then, following Davis and Li (2003) the regression specifications are completed with a set of financial variables which have finance-theoretical underpinnings. Results point towards a major effect of demographic dynamics on financial asset returns which appear significantly higher in magnitude than what Poterba (2001, 2004) and Davis and Li (2003) report for US, especially in the stock market.
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Bibliographic InfoPaper provided by Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica in its series Heterogeneity and monetary policy with number 0701.
Length: pages 35
Date of creation: Jan 2007
Date of revision:
population ageing; financial returns; stocks; bonds;
Find related papers by JEL classification:
- D91 - Microeconomics - - Intertemporal Choice - - - Intertemporal Household Choice; Life Cycle Models and Saving
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- J11 - Labor and Demographic Economics - - Demographic Economics - - - Demographic Trends, Macroeconomic Effects, and Forecasts
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-02-17 (All new papers)
- NEP-EEC-2007-02-17 (European Economics)
- NEP-RMG-2007-02-17 (Risk Management)
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