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 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.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Shiu-Sheng Chen, 2007.
"Does Monetary Policy Have Asymmetric Effects on Stock Returns?,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 39(2-3), pages 667-688, 03.
- Shiu-Sheng Chen, 2005. "Does Monetary Policy Have Asymmetric Effects on Stock Returns?," Macroeconomics 0502001, EconWPA, revised 01 Feb 2005.
- Groenewold, Nicolaas & Fraser, Patricia, 1999. "Time-varying estimates of CAPM betas," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 48(4), pages 531-539.
- Allan Timmermann & Gabriel Perez-Quiros, 1999.
"Firm Size and Cyclical Variations in Stock Returns,"
FMG Discussion Papers
dp335, Financial Markets Group.
- Gabriel Perez-Quiros & Allan Timmermann, 2000. "Firm Size and Cyclical Variations in Stock Returns," Journal of Finance, American Finance Association, vol. 55(3), pages 1229-1262, 06.
- Timothy Besley & Andrea Prat, 2004.
LSE Research Online Documents on Economics
24822, London School of Economics and Political Science, LSE Library.
- Hazel Bateman & John Piggott, 1997. "Private Pensions in OECD Countries: Australia," OECD Labour Market and Social Policy Occasional Papers 23, OECD Publishing.
- Andrew Ang & Geert Bekaert, 1998.
"Regime Switches in Interest Rates,"
NBER Working Papers
6508, National Bureau of Economic Research, Inc.
- Hazel Bateman, 2003. "Regulation of Australian Superannuation," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 36(1), pages 118-127.
- Catalan, Mario & Impavido, Gregorio & Musalem, Alberto R., 2000. "Contractual savings or stock market development - Which leads?," Policy Research Working Paper Series 2421, The World Bank.
When requesting a correction, please mention this item's handle: RePEc:bxr:bxrceb:2013/80291. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Benoit Pauwels)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.