The Impact of Minimum Return Guarantees on Management of Mandatory Pension Funds in Croatia
Journal Title: Finance a uver - Year 2017, Vol 67, Issue 4
Abstract
Mandatory pension funds in Croatia are defined contribution funds, meaning the investment risk is transferred to fund members. However, fund members are entitled to a guaranteed relative return: pension companies have to set aside a guarantee deposit that would be activated in case of underperformance. In this article, we quantify the risk of activation of the guarantee scheme and explore the impact of return guarantees on the way pension funds are managed. Findings suggest that the risk of activation of the guarantee scheme is quite low. We also find some evidence of herding among portfolio managers, as pension fund management companies could further reduce the risk of activation of the guarantee scheme by aligning their portfolios with competitors.
Authors and Affiliations
Masa Galic, Petar-Pierre Matek
Keywords
Related Articles
- EP ID EP296997
- DOI -
- Views 145
- Downloads 0
Real and Financial Sector Studies in Central and Eastern Europe: A Review
This survey focuses broadly on real and financial sector studies in former transition economies of Central and Eastern Europe. The survey shows that in the real sector there has been considerable trade and global integra...
Forecasting Inflation with a Simple and Accurate Benchmark: The Case of the US and a Set of Inflation Targeting Countries
We evaluate the ability of several univariate models to predict inflation in the US and in a number of inflation targeting countries at different forecasting horizons. We focus on forecasts coming from a family of ten se...
Monetary Policy and Exchange Rate Dynamics: The Exchange Rate as a Shock Absorber
We analyze the contribution of the real exchange rate to the macroeconomic volatility of Czech economy and its role in cushioning economic disturbances. Results from a two-country structural VAR model do not allow us to...
Historical Analysis of Monetary Policy Reaction Functions: Do Real-Time Data Matter?
This paper investigates the differences between parameter estimates of monetary policy reaction functions using real-time data and those using revised data. The model is a New Keynesian DSGE model of the Czech, Hungarian...
Who Gains More Power in the EU after Brexit?
Brexit implications are analysed in most cases from the macroeconomic, financial or legal point of view while these areas are not the only ones the economists or governments should pay attention to. In this article we fo...