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Financial behaviour of Dutch pension funds: a disaggregated approach

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  • Jan Kakes

Abstract

This paper examines the financial behaviour of 77 Dutch pension funds during 2002-2005. Using microdata, we investigate differences across various types of funds. Both the asset mix and the degree of home bias are related to the size of pension funds: large institutions invest more in equity and hold more foreign assets than smaller ones. Especially for industry-wide funds, bonds and equity transactions are consistent with rebalancing a strategically fixed asset mix. Finally, in the case of company-linked funds, a deterioration in the funding ratio is counteracted by a rapid increase in pension contributions. This response cannot be observed for industry-wide funds.

Suggested Citation

  • Jan Kakes, 2006. "Financial behaviour of Dutch pension funds: a disaggregated approach," DNB Working Papers 108, Netherlands Central Bank, Research Department.
  • Handle: RePEc:dnb:dnbwpp:108
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    File URL: https://www.dnb.nl/binaries/Working%20Paper%20No%20108-2006_tcm46-146765.pdf
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    References listed on IDEAS

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    1. Jeremy C. Stein & Anil K. Kashyap, 2000. "What Do a Million Observations on Banks Say about the Transmission of Monetary Policy?," American Economic Review, American Economic Association, vol. 90(3), pages 407-428, June.
    2. Bikker, Jacob A. & Spierdijk, Laura & van der Sluis, Pieter Jelle, 2007. "Market impact costs of institutional equity trades," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 974-1000, October.
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    Cited by:

    1. Jacob A. Bikker & Dirk W.G.A. Broeders & Dirk Jan de Dreu, 2010. "Stock Market Performance and Pension Fund Investment Policy: Rebalancing, Free Float, or Market Timing?," International Journal of Central Banking, International Journal of Central Banking, vol. 6(2), pages 53-79, June.
    2. Musalem, Alberto R. & Pasquini, Ricardo, 2012. "Private pension systems : cross-country investment performance," Social Protection and Labor Policy and Technical Notes 68937, The World Bank.
    3. Zandberg, Eelco & Spierdijk, Laura, 2013. "Funding of pensions and economic growth: are they really related?," Journal of Pension Economics and Finance, Cambridge University Press, vol. 12(02), pages 151-167, April.

    More about this item

    Keywords

    pension funds; ageing;

    JEL classification:

    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • J26 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Retirement; Retirement Policies

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