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Browsing by Author Paltalidis, Nikos

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  • Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives

    • Authors: Boubaker, Sabri; Gounopoulos, Dimitrios; Nguyen, Duc Khuong; Paltalidis, Nikos (2017)

  • 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 fin...

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Browsing by Author Paltalidis, Nikos

Jump to: 0-9 A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
or enter first few letters:  
Showing results 1 to 1 of 1
  • Assessing the effects of unconventional monetary policy and low.pdf.jpg
  • Article

  • Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives

    • Authors: Boubaker, Sabri; Gounopoulos, Dimitrios; Nguyen, Duc Khuong; Paltalidis, Nikos (2017)

  • 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 fin...