Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives
p. 35–52
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2017
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oai:112.137.131.14:VNU_123-603602017-12-11T08:15:59Z Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives Boubaker, Sabri Gounopoulos, Dimitrios Nguyen, Duc Khuong Paltalidis, Nikos Pension funds Unconventional monetary policy Asset allocation Interest rates p. 35–52 This study quantifies the effects of persistently low interest rates near to the zero lower bound and unconventional monetary policy on pension fund risk incentives in the United States. Using two structural vector autoregressive (VAR) models and a counterfactual scenario analysis, the results show that monetary policy shocks, as identified by changes in Treasury yields following changes in the central bank’s target interest rates, lead to a substantial increase in pension funds’ allocation to equity assets. Notably, the shift from bonds to equity securities is greater during the period where the US Federal Reserve launched unconventional monetary policy measures. Additional findings show a positive correlation between pension fund risk-taking, low interest rates and the decline in Treasury yields across both well-funded and underfunded public pension plans, which is thus consistent with a structural risk-shifting incentive. 2017-11-22T03:31:05Z 2017-11-22T03:31:05Z 2017 Article 0378-4266 http://repository.vnu.edu.vn/handle/VNU_123/60360 en ;Journal of Banking and Finance 77 (2017) application/pdf Elsevier B.V. |
| institution |
Vietnam National University, Hanoi |
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VNU Library & Information Center |
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Vietnam |
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VNU Digital Repository |
| language |
English |
| topic |
Pension funds Unconventional monetary policy Asset allocation Interest rates |
| spellingShingle |
Pension funds Unconventional monetary policy Asset allocation Interest rates Boubaker, Sabri Gounopoulos, Dimitrios Nguyen, Duc Khuong Paltalidis, Nikos Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives |
| description |
p. 35–52 |
| format |
Article |
| author |
Boubaker, Sabri Gounopoulos, Dimitrios Nguyen, Duc Khuong Paltalidis, Nikos |
| author_facet |
Boubaker, Sabri Gounopoulos, Dimitrios Nguyen, Duc Khuong Paltalidis, Nikos |
| author_sort |
Boubaker, Sabri |
| title |
Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives |
| title_short |
Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives |
| title_full |
Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives |
| title_fullStr |
Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives |
| title_full_unstemmed |
Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives |
| title_sort |
assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives |
| publisher |
Elsevier B.V. |
| publishDate |
2017 |
| url |
http://repository.vnu.edu.vn/handle/VNU_123/60360 |
| _version_ |
1680963337738780672 |