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Does Regulation Matter? Riskiness and Procyclicality of Pension Asset Allocation

Boon, Ling-Ni; Brière, Marie; Rigot, Sandra (2014-05), Does Regulation Matter? Riskiness and Procyclicality of Pension Asset Allocation, 31st International French Finance Association Conference, AFFI 2014, 2014-05, Aix-en-Provence, France

Type
Communication / Conférence
Lien vers un document non conservé dans cette base
http://dx.doi.org/10.2139/ssrn.2542577
Date
2014-05
Titre du colloque
31st International French Finance Association Conference, AFFI 2014
Date du colloque
2014-05
Ville du colloque
Aix-en-Provence
Pays du colloque
France
Pages
42
Métadonnées
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Auteur(s)
Boon, Ling-Ni
CentER, Netspar, and Tilburg University
Brière, Marie

Rigot, Sandra cc
Centre d'Economie de l'Université Paris Nord [CEPN]
Résumé (EN)
In this paper, we investigate the relative importance of drivers to pension funds’ asset allocation choices. We specifically test if the contrast between regulatory approaches of public and private Defined Benefits (DB) pension funds in the US, Canada and the Netherlands have an impact on the riskiness and procyclicality of their asset allocation. Derived from panel data analysis of a unique database comprising of more than 800 pension funds’ detailed asset allocations, our results underscore the economic importance of regulation in the funds’ asset allocation choices, relative to institutional and individual funds’ characteristics. In particular, quantitative risk-based capital requirements, and to a lesser extent valuation and funding requirements (i.e., the choice of the liability discount rate) or the presence of quantitative investment restrictions, induce pension funds to significantly decrease their asset allocation to risky assets, especially to equities. Allocation to alternatives, which are comparatively treated quite favorably by solvency standards, is higher in the presence of risk-based capital requirements. Contrary to popular conviction that regulatory mechanisms encourage procyclical asset allocation, we find that funds subject to risk-based capital requirements were likely to be less procyclical during the last crisis – an outcome possibly tempered by temporary regulatory slackening in response to the crisis.
Mots-clés
Solvency; Pension funds; Financial stability; Regulation
JEL
G11 - Portfolio Choice; Investment Decisions
G28 - Government Policy and Regulation
H55 - Social Security and Public Pensions

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Affichage des éléments liés par titre et auteur.

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    Regulation and Pension Fund Risk-Taking 
    Boon, Ling-Ni; Brière, Marie; Rigot, Sandra (2018) Article accepté pour publication ou publié
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    Boon, Ling-Ni; Brière, Marie; Gresse, Carole; Werker, Bas J. M. (2014-02) Document de travail / Working paper
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    Boon, Ling-Ni; Brière, Marie; Gresse, Carole; Werker, Bas J. M. (2013-06) Communication / Conférence
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    Longevity Risk: To Bear or to Insure? 
    Boon, Ling-Ni; Brière, Marie; Werker, Bas (2020) Article accepté pour publication ou publié
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    Stakeholders in Pension Finance 
    Boon, Ling-Ni (2017-09-06) Thèse
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