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Does Regulation Matter? Riskiness and Procyclicality of Pension Asset Allocation

hal.structure.identifierCentER, Netspar, and Tilburg University
dc.contributor.authorBoon, Ling-Ni*
hal.structure.identifier
dc.contributor.authorBrière, Marie*
hal.structure.identifierCentre d'Economie de l'Université Paris Nord [CEPN]
dc.contributor.authorRigot, Sandra
HAL ID: 179180
ORCID: 0000-0002-7416-3430		*
dc.date.accessioned2014-06-30T10:11:33Z
dc.date.available2014-06-30T10:11:33Z
dc.date.issued2014-05
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13624
dc.language.isoenen
dc.subjectSolvencyen
dc.subjectPension fundsen
dc.subjectFinancial stabilityen
dc.subjectRegulationen
dc.subject.ddc332en
dc.subject.classificationjelG.G1.G11en
dc.subject.classificationjelG.G2.G28en
dc.subject.classificationjelH.H5.H55en
dc.titleDoes Regulation Matter? Riskiness and Procyclicality of Pension Asset Allocationen
dc.typeCommunication / Conférence
dc.contributor.editoruniversityotherNetspar and Tilburg University;Pays-Bas
dc.contributor.editoruniversityotherUniversité Libre de Bruxelles;Belgique
dc.contributor.editoruniversityotherUniversité Paris XIII;France
dc.description.abstractenIn 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.en
dc.identifier.citationpages42en
dc.identifier.urlsitehttp://dx.doi.org/10.2139/ssrn.2542577
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitle31st International French Finance Association Conference, AFFI 2014en
dc.relation.confdate2014-05
dc.relation.confcityAix-en-Provenceen
dc.relation.confcountryFranceen
dc.relation.forthcomingnonen
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewednon
hal.identifierhal-01492547*
hal.version1*
hal.faultCodeThe supplied format packaging is not supported by the server
hal.update.actionupdateMetadata*
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