Sabri Boubaker
Reprint of: 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
Authors
Dimitrios Gounopoulos
Duc Khuong Nguyen
Dr Nikos Paltalidis nikos.e.paltalidis@durham.ac.uk
Associate Professor
Abstract
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.
Citation
Boubaker, S., Gounopoulos, D., Nguyen, D. K., & Paltalidis, N. (2018). Reprint of: Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives. Journal of Banking and Finance, 92, 340-357. https://doi.org/10.1016/j.jbankfin.2018.03.003
Journal Article Type | Article |
---|---|
Acceptance Date | Dec 13, 2016 |
Online Publication Date | Mar 17, 2018 |
Publication Date | Jul 1, 2018 |
Deposit Date | Jul 13, 2018 |
Publicly Available Date | Sep 17, 2019 |
Journal | Journal of Banking and Finance |
Print ISSN | 0378-4266 |
Publisher | Elsevier |
Peer Reviewed | Peer Reviewed |
Volume | 92 |
Pages | 340-357 |
DOI | https://doi.org/10.1016/j.jbankfin.2018.03.003 |
Public URL | https://durham-repository.worktribe.com/output/1354164 |
Files
Accepted Journal Article
(2.2 Mb)
PDF
Publisher Licence URL
http://creativecommons.org/licenses/by-nc-nd/4.0/
Copyright Statement
© 2018 This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
You might also like
Forward Guidance and Corporate Lending
(2021)
Journal Article
Reaching for Yield and the Diabolic Loop in a Monetary Union
(2020)
Journal Article
Tail Risks in Credit, Commodity, and Shipping Markets
(2018)
Book Chapter
Fiscal Policy Interventions at the Zero Lower Bound
(2018)
Journal Article
Downloadable Citations
About Durham Research Online (DRO)
Administrator e-mail: dro.admin@durham.ac.uk
This application uses the following open-source libraries:
SheetJS Community Edition
Apache License Version 2.0 (http://www.apache.org/licenses/)
PDF.js
Apache License Version 2.0 (http://www.apache.org/licenses/)
Font Awesome
SIL OFL 1.1 (http://scripts.sil.org/OFL)
MIT License (http://opensource.org/licenses/mit-license.html)
CC BY 3.0 ( http://creativecommons.org/licenses/by/3.0/)
Powered by Worktribe © 2024
Advanced Search