The role of demographic variables in explaining financial returns in Italy
This 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.
|Date of creation:||Jan 2007|
|Contact details of provider:|| Web page: http://www.economia.unimore.it|
More information through EDIRC
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.:
- R. Mehra & E. Prescott, 2010.
"The equity premium: a puzzle,"
Levine's Working Paper Archive
1401, David K. Levine.
- Andrew Ang & Angela Maddaloni, 2003.
"Do Demographic Changes Affect Risk Premiums? Evidence from International Data,"
NBER Working Papers
9677, National Bureau of Economic Research, Inc.
- Andrew Ang & Angela Maddaloni, 2005. "Do Demographic Changes Affect Risk Premiums? Evidence from International Data," The Journal of Business, University of Chicago Press, vol. 78(1), pages 341-380, January.
- Ang, Andrew & Maddaloni, Angela, 2003. "Do demographic changes affect risk premiums? Evidence from international data," Working Paper Series 0208, European Central Bank.
- Andrew B. Abel, 2002.
"The Effects of a Baby Boom on Stock Prices and Capital Accumulation in the Presence of Social Security,"
NBER Working Papers
9210, National Bureau of Economic Research, Inc.
- Andrew B. Abel, 2003. "The Effects of a Baby Boom on Stock Prices and Capital Accumulation in the Presence of Social Security," Econometrica, Econometric Society, vol. 71(2), pages 551-578, March.
- Andrew B. Abel, 2002. "The effects of a baby boom on stock prices and capital accumulation in the presence of Social Security," Working Papers 03-2, Federal Reserve Bank of Philadelphia.
- James M. Poterba, 2004.
"The impact of population aging on financial markets,"
Proceedings - Economic Policy Symposium - Jackson Hole,
Federal Reserve Bank of Kansas City, issue Aug, pages 163-216.
- James Poterba, 2004. "The Impact of Population Aging on Financial Markets," NBER Working Papers 10851, National Bureau of Economic Research, Inc.
- Peter S. Yoo, 1994. "Age distributions and returns of financial assets," Working Papers 1994-002, Federal Reserve Bank of St. Louis.
- Ivo Welch, 2000.
"Views of Financial Economists on the Equity Premium and on Professional Controversies,"
Yale School of Management Working Papers
ysm122, Yale School of Management.
- Welch, Ivo, 2000. "Views of Financial Economists on the Equity Premium and on Professional Controversies," The Journal of Business, University of Chicago Press, vol. 73(4), pages 501-537, October.
- Luigi Guiso & Tullio Jappelli, 2000.
"Household Portfolios in Italy,"
CSEF Working Papers
43, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Goyal, Amit, 2004. "Demographics, Stock Market Flows, and Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(01), pages 115-142, March.
- Baldini Massimo & Onofri Paolo, 2001. "Transizione demografica e mercati finanziari," Politica economica, Società editrice il Mulino, issue 2, pages 185-208.
- Marianna Brunetti & Costanza Torricelli, 2007.
"The Effect of Population Ageing on Household Portfolio Choices in Italy,"
Department of Economics
0545, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- Marianna Brunetti & Costanza Torricelli, 2007. "The Effect of Population Ageing on Household Portfolio Choices in Italy," Heterogeneity and monetary policy 0702, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica.
- James M. Poterba, 2001. "Demographic Structure And Asset Returns," The Review of Economics and Statistics, MIT Press, vol. 83(4), pages 565-584, November.
- Favero, Carlo A., 2006. "Taylor rules and the term structure," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1377-1393, October.
- Andrew B. Abel, 2001.
"Will bequests attenuate the predicted meltdown in stock prices when baby boomers retire?,"
01-2, Federal Reserve Bank of Philadelphia.
- Andrew B. Abel, 2001. "Will Bequests Attenuate The Predicted Meltdown In Stock Prices When Baby Boomers Retire?," The Review of Economics and Statistics, MIT Press, vol. 83(4), pages 589-595, November.
- Andrew B. Abel, 2001. "Will Bequests Attenuate the Predicted Meltdown in Stock Prices When Baby Boomers Retire?," NBER Working Papers 8131, National Bureau of Economic Research, Inc.
- Whitney K. Newey & Kenneth D. West, 1986.
"A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix,"
NBER Technical Working Papers
0055, National Bureau of Economic Research, Inc.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-708, May.
- Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
- Bellante, Don & Green, Carole A., 2004. "Relative risk aversion among the elderly," Review of Financial Economics, Elsevier, vol. 13(3), pages 269-281.
- Marianna Brunetti & Costanza Torricelli, 2009. "Economic activity and recession probabilities: information content and predictive power of the term spread in Italy," Applied Economics, Taylor & Francis Journals, vol. 41(18), pages 2309-2322.
When requesting a correction, please mention this item's handle: RePEc:mod:modena:0701. 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: (Giuseppe Marotta)
If references are entirely missing, you can add them using this form.