Funded and unfunded systems: two ends of the same stick. Angrisani Massimo
|
|
- Edgar Casey
- 5 years ago
- Views:
Transcription
1 unded and unfunded sysems: wo ends of he same sick Angrisani Massimo Universià degli sudi di Roma "a Sapienza" acolà di Economia Diparimeno di maemaica per le Decisioni Economiche, inanziarie ed Assicuraive Via del Casro aurenziano 9, Roma hone: ax: Mail address: SUMMARY he aim of his aricle is o give evidence ha, if a ension und of he defined conribuion ype is brough back o a susainable level of liabiliy uncovered, as regard o he conribuion level, and yields yearly a revenue on he pension savings equalling he asse s ineres rae plus wage s growh rae respecively weighing as is funded and unfunded liabiliy componens on he oal pension deb, hen he und can guaranee susainabiliy hrough ime. Key words: pension sysem pay-as-you go funded sysem, social insurance
2 1. INRODUCION In 1966 Henry Aaron, following an indicaion by rof. Samuelson, proved he paradox of social securiy by which social insurance can increase he welfare of each person if he sum of he raes of growh of populaion and real wage exceeds he rae of ineres. Since hen he rus in he pay-as-you go pension sysem has largely grown, unil a fall in he demographic level ook place in almos all wesern counries, proving he unsusainabiliy, in he medium long erm, of such sysem a he curren benefi levels. he answer o he demographic problem has been he inroducion of new funded sysems hrough a second and hird pillar, permiing he firs pillar o progressively reduce is benefis which would be reinegraed by he new wo-pillar benefis. he aim of he presen aricle is o prove ha in a defined conribuion ension und, of payas-you-go ype, negaive demographic effecs can be opposed hrough he inroducion in he same sysem of a funded componen, and ha i is possible o run pension obligaions hrough a sor of mixed financial managemen capable of securing susainabiliy and more adequae benefis. In his way also he older worker generaions, who will have a good level of benefis, if compared o conribuion amouns, made possible by a favourable demographic facor, will paricipae in refunding. he new scheme will favour inergeneraional equiy in he conribuion o benefi raio, hus fulfilling he ask of solidariy on which he pay as you go pension sysem ress. he funded componen, ha we can define a differenial reserve, mus guaranee he sysem s susainabiliy wih an accepable conribuion level and, besides, providing an ineres rae, may guaranee more adequae pension saving reurns even if he populaion growh rae falls. his aricle highlighs he fac ha boh ypes, he funded and pay-as-you-go financial managemens, are no o be seen aniheical, as i commonly happens, bu working as he wo ends of he same sick, in a coninuum. I poins ou, moreover, ha he prevailing of eiher he one or he oher scheme mus follow a more favourable expeced developmen in wages or in asse ineres rae. he approach o he problem consiss in considering he sysem s oal liabiliy (composed of is laen par owards workers and is curren par owards pensioners) as he resul of wo componens, one covered by he asse, herefore funded, and he remaining par uncovered herefore unfunded. In his respec wo main hypoheses are formulaed. 1
3 he former concerns he liabiliy s unfunded componen which, respec o wages, mus be consisen wih he amoun of he conribuion level. In ha sense we speak of a susainable level of unfunded pension liabiliy. he laer concerns he revenue on he pension savings. e assume ha he revenue in quesion equals each year he convex combinaion of he asse s ineres rae and wage s growh rae which weigh as he funded and unfunded componens of oal liabiliy. e prove ha, if he sysem is brough back o a susainable level of unfunded pension liabiliy by inroducing an adequae funded componen and he revenue on he pensions savings is consisen wih he ypology of he pension liabiliy in he sense specified, hen is asse will never be zeroed and hence he sysem will be solven hrough ime. In Ialy a funded componen, subsanial bu no sufficien, is already presen in he liberal professions social securiy sysems: he arge is o make i srucural also by ransforming he sysems from defined benefis o defined conribuions. 2.SUSAINABIIY HEOREM All he funcions here conained are supposed o be coninuous and, when necessary differeniable in, + e s consider he asse s ), conrol ime inerval of he heorem. evoluion course resuling from is ineres rae a ime, from conribuions (which we consider already free from he und s managemen coss) and from pension obligaions. e indicae by: r = he asse insan ineres rae a ime, (on a yearly basis). C = Insan flow of conribuions a ime, (on a yearly basis) () = Insan flow of pensions a ime, (on a yearly basis) e assume: = () r + C () (1) 2
4 e s wrie he evoluion equaion of he ension und s oal liabiliy. e have: a = + where a = ension liabiliy a ime owards workers (in aciviy), laen deb. = ension liabiliy a ime owards pensioners, curren deb. e indicae: a = Insan flow of pension liabiliy (on a yearly basis) a ime which urns from laen ino curren. r = Insan ineres credied by he und a ime on pension liabiliy (boh curren and laen) on a yearly basis. e observe ha indicaes, as o workers, he revaluaion of oal pension savings while, as o pensioners, i indicaes he revaluaion rae of heir pensions. e s suppose, in fac, ha he iniial pension be compued in conribuion erms on he basis of acuarial equilibrium beween conribuions and pensions a a pre-paid ineres rae, echnical rae, equal o zero. he iniial pension herefore resuls from oal pension savings a reiremen ime divided by he annuiizaion divisor a zero echnical rae which herefore, in case a survivor pension is no paid ou, coincides wih his remaining average life expecancy a ha ime. r e s wrie he evoluion equaion of he pension deb componen relaive o workers: a a a = r + C In a parallel way, as o curren deb owards pensioners, i issues: a = r + () As o oal deb, we have he following evoluion equaion: () = r + C () (2) he above formula (2) provides he evoluion of he und s oal pension liabiliy, apar from accidenal deviaions, herefore un-sysemaic, in a conribuion ype pension scheme based 3
5 on an acuarial conribuion - pension equilibrium, provided ha demographic evaluaions are correc. e poin ou ha, in our assumpions, he whole conribuion amoun urns ino und pension liabiliy, ha is ino pension benefis for subscribers, including, for example, also he conribuions of hose who died in he course of heir working years. e indicae by ν he quoien a ime beween oal pension liabiliy and curren debi, i.c. ν = hence ( ) = ; i issues ν ( ) 1 ν If we furhermore suppose, in order o simplify he maer wihou losing he overall view, ha pension benefis are no exended o survivors 1, we ake: γ = weighed average residual life expecancy a ime relaive o he pensioners populaion. he weigh relaive o each pensioner equals ha of his pension benefi on ha of curren pensions whole number. I issues: 1 = γ and herefore 1 [( γ ) ( ) ] ( ) = ν e define he unds s unfunded pension liabiliy is uncovered par, ha is: AYG = ( ) ( ( ) ( )) If we suppose ha he populaion of he insured is made up of workers wih a wages of heir own, le s pu: β () () AYG = () where = Insan flow of wages a ime (yearly basis), ( ) 0, for e s furhermore define, as o conribuions α = conribuions rae a ime ( α ( ) > 0) >. 4
6 aking ino accoun he hypohesis ( ) > 0, for, we prove he following: heorem e s suppose ha a ime resuls ( ) > 0 and ha he unfunded liabiliy proves susainable, as regard o he conribuion level, in oher erms i saisfies he condiion: a) γ β ( ) ν ( ) α for : he following condiion holds: b) he und pays a pension liabiliy wih an ineres rae equalling: r = r() + for hen, if saring from ime zeroed, i.e. > 0, > Evidence: a conribuion rae ( ) α ( ) α = is applied, he asse can be e s firs verify ha, if saring from ime he insan ineres rae on pension liabiliy is provided by (b), hen i follows: r paid by he und β ( ) β = where > Since AYG β =, e verify ha, for β = e have AYG() = 0 5
7 AYG = ()= (as a resul of (2) and (1)) r + C ( ) ( ) r( ) C( ) + ( ) = = = r ()( r ) e observe ha, from (b), i also issues: for r () r = ( ) As a resul of wha indicaed above, i follows: AYG AYG = 0 and herefore AYG = 0, for for β = for >. and hence β ( ) e reformulae (1) expressing conribuions by means of wage and conribuion rae, ha is C ()= α and, besides, wriing pension benefis saring from he oal pension liabiliy, we have: = () r + C () 1 = () r + α γ ()= = = [ ]= 1 () r + α ( γ ν ( ) ) ( ) [ ] ( ) ( ) 1 1 () r + α ( γ ν ) ( ( ) ( ) ) ( γ ν ) ( ) = [ ] γ ( ) ( ) () r + α ( ) ( γ ( ) ν ( ) ) ( ) = ν Replacing AYG wih β (), we have: [ ] + α() = r ( γ ν ) ( ) ( ) 1 AYG 1 β ( ) () () ν 1 (1 bis) γ 6
8 Considering ha from (b), follows ( ) β ( ) he conribuion rae ( ) α( ) = r() β = for >, and ha, saring from ime, α = is applied, i issues ha: β ( ) () () ν 1 + α( ) for γ ν γ ih iniial condiion, for =, we obain: 1 τ 1 ( ) ( ) r τ dτ r s ds γ( τ) ν( τ) γ( s) ν( s) β( ) ( ) = e ( ) + e ( τ) α( ) dτ γτντ ()() aking ino accoun hypohesis a), formula (3) implies ha he asse ( ), acive in, can be zeroed. e can say he asse ( ) is a differenial reserve, respec o he conribuion level ( ) for he und a ime if hypohesis a) is verified. OBSERVAION In heorem, we can apply a non consan conribuion rae α () ha verifies his condiion γ β ( ) ν α for. In his way, we can eliminae he hypohesis a) and however he heorem hesis works. for (3) α, 3. CONCUSIONS In his paper we prove ha i is possible o ensure he equilibrium of defined conribuion pension sysems wih a componen of pension deb unfunded if, wih respec o wages, he unfunded componen is susainable as regard o he conribuion level and he sysems provide an ineres rae on pensions savings coheren wih he funded and unfunded deb componens. 7
9 γ equals he average weighed remaining life expecancy of all pensions in course a ime, aking ino accoun, as regards primary pensions, also he expeced duraion of he correlaed survivor benefi and is possible inferior amoun wih respec o he primary pension benefi. he weigh relaive o each pension equals ha of his pension benefi on ha of curren pensions whole number. 1 hen also a survivor pension is paid ou in addiion o a primary pension, ( ) 8
10 REERENCES 1) Aaron Henry, he Social Insurance aradox, Canadian Journal of Economics and poliical Science, XXXI, ) Angrisani Massimo, Equilibrium in a ay-as-you-go Sysem and wih Conribuory ension, 27 h Inernaional Congress of Acuaries, ICA2002, Cancùn, Mexico, ) Blake David, Does is maer wha ype o pension Scheme you have?, Economic Journal, 110(461), ) Blake David, inancial Sysems Requiremens for Successful ension, June 2003, firs version presened a he conference olicy Opions for ension Reform in Asia: Challenges in Design and Implemenaions, Manila, hilippines, December ) Brinner, J.K., ransiion from a pay-as-you-go o a fully funded pension sysem, journal of ublic Economics, X, ) Cardoso edro, M.S. van raag Bernard, he Susainabiliy of he ay as You Go Sysem wih falling Birh Raes, inbergen Insiue Discussion aper, ) Comparing ay as You Go Sysem and ully unded Sysems in a Closed Economy 8) Cornwell Dan, ay as You Go Social Securiy, Madison Insiue, December ) De Menil Georges, Sheshinski Eyan lanning for he Opimal Mix of aygo ax and unded Savings, DEA, Dèparemen e aboraoire d Economie héorique e Appliquée May ) Hassler John, indbeck Assar, Opimal Acuarial airness in ension Sysem - a noe, Economics eers, 55 (2), ) Hassler John, indbeck Assar Can and Should a ay as You Go ension Sysem Mimic a unded Sysem? IUI orking aper Series 499\ he Research Insiue of Indusrial Economics, June ) How ension inancing Affecs Reurns o Differen Generaions, Series of Issue Summaries from he Congressional Budge Office, 2004, number ) inera Josè, A ension Reform roposal for Spain SYNOSIS, June ) ollard aricia S., ecchenino Rowena A., he ransiion from a pay-as-you-go o a fully-funded social Securiy sysem: is here a role for Social Insurance? ederal Reserve Bank of S. ouis orking apers, May ) Samuelson aul, Opimum Social Securiy in a life-cycle growh model, Inernaional Economic Review, 71,
11 16) Schnabel Reinhold, Raes of Reurn of he German ay as You Go ension Sysem, Deparmen of Economics, Universiy of Mannheim, orking aper, Ocober ) Siandra Eduardo, Opimal Mix of pension sysems, Economic heory Discussion aper No.1016, Universiy of Cambridge, ) Sieber Hors, ay as You Go ension ace a Bleak uure he inancial imes, Augus ) Sinn Hans-erner, ension Reform and Demographic Crisis: hy a unded Sysem is Needed and hy is no Needed, Sepember 1999, 55 h II congress, Moscow, Augus ) Smih Alasdair, Inergeneraional ransfers as Social Insurance, Journal of ublic Economics, 19, ) Seurer Miriam, Exending he Aaron Condiion for Alernaive ayes as You Go Sysems, School of Economics Universiy of New Souh ales, June ) Viard D. Alan ay as You Go Social Securiy and he Aging of America: an Economic Analysis ederal Reserve Bank of Dallas Economic and inancial olicy Review, vol.1, No 4,
(1 + Nominal Yield) = (1 + Real Yield) (1 + Expected Inflation Rate) (1 + Inflation Risk Premium)
5. Inflaion-linked bonds Inflaion is an economic erm ha describes he general rise in prices of goods and services. As prices rise, a uni of money can buy less goods and services. Hence, inflaion is an
More informationLIDSTONE IN THE CONTINUOUS CASE by. Ragnar Norberg
LIDSTONE IN THE CONTINUOUS CASE by Ragnar Norberg Absrac A generalized version of he classical Lidsone heorem, which deals wih he dependency of reserves on echnical basis and conrac erms, is proved in
More informationA pricing model for the Guaranteed Lifelong Withdrawal Benefit Option
A pricing model for he Guaraneed Lifelong Wihdrawal Benefi Opion Gabriella Piscopo Universià degli sudi di Napoli Federico II Diparimeno di Maemaica e Saisica Index Main References Survey of he Variable
More informationFinal Exam Answers Exchange Rate Economics
Kiel Insiu für Welwirhschaf Advanced Sudies in Inernaional Economic Policy Research Spring 2005 Menzie D. Chinn Final Exam Answers Exchange Rae Economics This exam is 1 ½ hours long. Answer all quesions.
More informationUCLA Department of Economics Fall PhD. Qualifying Exam in Macroeconomic Theory
UCLA Deparmen of Economics Fall 2016 PhD. Qualifying Exam in Macroeconomic Theory Insrucions: This exam consiss of hree pars, and you are o complee each par. Answer each par in a separae bluebook. All
More informationFINAL EXAM EC26102: MONEY, BANKING AND FINANCIAL MARKETS MAY 11, 2004
FINAL EXAM EC26102: MONEY, BANKING AND FINANCIAL MARKETS MAY 11, 2004 This exam has 50 quesions on 14 pages. Before you begin, please check o make sure ha your copy has all 50 quesions and all 14 pages.
More informationProblem Set 1 Answers. a. The computer is a final good produced and sold in Hence, 2006 GDP increases by $2,000.
Social Analysis 10 Spring 2006 Problem Se 1 Answers Quesion 1 a. The compuer is a final good produced and sold in 2006. Hence, 2006 GDP increases by $2,000. b. The bread is a final good sold in 2006. 2006
More informationOPTIMUM FISCAL AND MONETARY POLICY USING THE MONETARY OVERLAPPING GENERATION MODELS
Kuwai Chaper of Arabian Journal of Business and Managemen Review Vol. 3, No.6; Feb. 2014 OPTIMUM FISCAL AND MONETARY POLICY USING THE MONETARY OVERLAPPING GENERATION MODELS Ayoub Faramarzi 1, Dr.Rahim
More informationINSTITUTE OF ACTUARIES OF INDIA
INSIUE OF ACUARIES OF INDIA EAMINAIONS 23 rd May 2011 Subjec S6 Finance and Invesmen B ime allowed: hree hours (9.45* 13.00 Hrs) oal Marks: 100 INSRUCIONS O HE CANDIDAES 1. Please read he insrucions on
More informationCHAPTER CHAPTER26. Fiscal Policy: A Summing Up. Prepared by: Fernando Quijano and Yvonn Quijano
Fiscal Policy: A Summing Up Prepared by: Fernando Quijano and vonn Quijano CHAPTER CHAPTER26 2006 Prenice Hall usiness Publishing Macroeconomics, 4/e Olivier lanchard Chaper 26: Fiscal Policy: A Summing
More informationAppendix B: DETAILS ABOUT THE SIMULATION MODEL. contained in lookup tables that are all calculated on an auxiliary spreadsheet.
Appendix B: DETAILS ABOUT THE SIMULATION MODEL The simulaion model is carried ou on one spreadshee and has five modules, four of which are conained in lookup ables ha are all calculaed on an auxiliary
More informationIJRSS Volume 2, Issue 2 ISSN:
A LOGITIC BROWNIAN MOTION WITH A PRICE OF DIVIDEND YIELDING AET D. B. ODUOR ilas N. Onyango _ Absrac: In his paper, we have used he idea of Onyango (2003) he used o develop a logisic equaion used in naural
More informationYou should turn in (at least) FOUR bluebooks, one (or more, if needed) bluebook(s) for each question.
UCLA Deparmen of Economics Spring 05 PhD. Qualifying Exam in Macroeconomic Theory Insrucions: This exam consiss of hree pars, and each par is worh 0 poins. Pars and have one quesion each, and Par 3 has
More informationEVA NOPAT Capital charges ( = WACC * Invested Capital) = EVA [1 P] each
VBM Soluion skech SS 2012: Noe: This is a soluion skech, no a complee soluion. Disribuion of poins is no binding for he correcor. 1 EVA, free cash flow, and financial raios (45) 1.1 EVA wihou adjusmens
More informationIntroduction. Enterprises and background. chapter
NACE: High-Growh Inroducion Enerprises and background 18 chaper High-Growh Enerprises 8 8.1 Definiion A variey of approaches can be considered as providing he basis for defining high-growh enerprises.
More informationThe impact of demography on financing social expenditure. Motohiro Sato Hitotsubashi Univesity
The impac of demography on financing social expendiure Moohiro Sao Hiosubashi Univesiy 1 Increase in he social insurance expendiure Japan is aging! Social insurance benefi In Japan Aging will increase
More informationEconomic Growth Continued: From Solow to Ramsey
Economic Growh Coninued: From Solow o Ramsey J. Bradford DeLong May 2008 Choosing a Naional Savings Rae Wha can we say abou economic policy and long-run growh? To keep maers simple, le us assume ha he
More informationBUDGET ECONOMIC AND FISCAL POSITION REPORT
BUDGET ECONOMIC AND FISCAL POSITION REPORT - 2004 Issued by he Hon. Miniser of Finance in Terms of Secion 7 of he Fiscal Managemen (Responsibiliy) Ac No. 3 of 1. Inroducion Secion 7 of he Fiscal Managemen
More informationProblem 1 / 25 Problem 2 / 25 Problem 3 / 11 Problem 4 / 15 Problem 5 / 24 TOTAL / 100
Deparmen of Economics Universiy of Maryland Economics 35 Inermediae Macroeconomic Analysis Miderm Exam Suggesed Soluions Professor Sanjay Chugh Fall 008 NAME: The Exam has a oal of five (5) problems and
More informationEmpirical analysis on China money multiplier
Aug. 2009, Volume 8, No.8 (Serial No.74) Chinese Business Review, ISSN 1537-1506, USA Empirical analysis on China money muliplier SHANG Hua-juan (Financial School, Shanghai Universiy of Finance and Economics,
More informationPricing FX Target Redemption Forward under. Regime Switching Model
In. J. Conemp. Mah. Sciences, Vol. 8, 2013, no. 20, 987-991 HIKARI Ld, www.m-hikari.com hp://dx.doi.org/10.12988/ijcms.2013.311123 Pricing FX Targe Redempion Forward under Regime Swiching Model Ho-Seok
More informationMA Advanced Macro, 2016 (Karl Whelan) 1
MA Advanced Macro, 2016 (Karl Whelan) 1 The Calvo Model of Price Rigidiy The form of price rigidiy faced by he Calvo firm is as follows. Each period, only a random fracion (1 ) of firms are able o rese
More informationThe macroeconomic effects of fiscal policy in Greece
The macroeconomic effecs of fiscal policy in Greece Dimiris Papageorgiou Economic Research Deparmen, Bank of Greece Naional and Kapodisrian Universiy of Ahens May 22, 23 Email: dpapag@aueb.gr, and DPapageorgiou@bankofgreece.gr.
More informationPolicyholder Exercise Behavior for Variable Annuities including Guaranteed Minimum Withdrawal Benefits 1
Policyholder Exercise Behavior for Variable Annuiies including Guaraneed Minimum Wihdrawal Benefis 1 2 Deparmen of Risk Managemen and Insurance, Georgia Sae Universiy 35 Broad Sree, 11h Floor; Alana, GA
More informationUzawa(1961) s Steady-State Theorem in Malthusian Model
MPRA Munich Personal RePEc Archive Uzawa(1961) s Seady-Sae Theorem in Malhusian Model Defu Li and Jiuli Huang April 214 Online a hp://mpra.ub.uni-muenchen.de/55329/ MPRA Paper No. 55329, posed 16. April
More informationPRESS RELEASE EURO AREA ECONOMIC AND FINANCIAL DEVELOPMENTS BY INSTITUTIONAL SECTOR - FIRST QUARTER August 2012
1 Augus 212 PRESS RELEASE EURO AREA ECONOMIC AND FINANCIAL DEVELOPMENTS BY INSTITUTIONAL SECTOR - FIRST QUARTER 212 In he firs quarer of 212, he annual growh rae 1 of households gross disposable income
More informationAid, Policies, and Growth
Aid, Policies, and Growh By Craig Burnside and David Dollar APPENDIX ON THE NEOCLASSICAL MODEL Here we use a simple neoclassical growh model o moivae he form of our empirical growh equaion. Our inenion
More informationECON Lecture 5 (OB), Sept. 21, 2010
1 ECON4925 2010 Lecure 5 (OB), Sep. 21, 2010 axaion of exhausible resources Perman e al. (2003), Ch. 15.7. INODUCION he axaion of nonrenewable resources in general and of oil in paricular has generaed
More informationBalance of Payments. Second quarter 2012
Balance of Paymens Second quarer 2012 Balance of Paymens Second quarer 2012 Saisics Sweden 2012 Balance of Paymens. Second quarer 2012 Saisics Sweden 2012 Producer Saisics Sweden, Balance of Paymens and
More informationLi Gan Guan Gong Michael Hurd. April, 2006
Ne Inergeneraional Transfers from an Increase in Social Securiy Benefis Li Gan Guan Gong Michael Hurd April, 2006 ABSTRACT When he age of deah is uncerain, individuals will leave bequess even if hey have
More informationAnalyzing Surplus Appropriation Schemes in Participating Life Insurance from the Insurer s and the Policyholder s Perspective
Analyzing Surplus Appropriaion Schemes in Paricipaing Life Insurance from he Insurer s and he Policyholder s Perspecive AFIR Colloquium Madrid, Spain June 22, 2 Alexander Bohner and Nadine Gazer Universiy
More informationECONOMIC GROWTH. Student Assessment. Macroeconomics II. Class 1
Suden Assessmen You will be graded on he basis of In-class aciviies (quizzes worh 30 poins) which can be replaced wih he number of marks from he regular uorial IF i is >=30 (capped a 30, i.e. marks from
More informationCHAPTER CHAPTER18. Openness in Goods. and Financial Markets. Openness in Goods, and Financial Markets. Openness in Goods,
Openness in Goods and Financial Markes CHAPTER CHAPTER18 Openness in Goods, and Openness has hree disinc dimensions: 1. Openness in goods markes. Free rade resricions include ariffs and quoas. 2. Openness
More informationPortfolio investments accounted for the largest outflow of SEK 77.5 billion in the financial account, which gave a net outflow of SEK billion.
BALANCE OF PAYMENTS DATE: 27-11-27 PUBLISHER: Saisics Sweden Balance of Paymens and Financial Markes (BFM) Maria Falk +46 8 6 94 72, maria.falk@scb.se Camilla Bergeling +46 8 6 942 6, camilla.bergeling@scb.se
More informationModels of Default Risk
Models of Defaul Risk Models of Defaul Risk 1/29 Inroducion We consider wo general approaches o modelling defaul risk, a risk characerizing almos all xed-income securiies. The srucural approach was developed
More informationAn Introduction to PAM Based Project Appraisal
Slide 1 An Inroducion o PAM Based Projec Appraisal Sco Pearson Sanford Universiy Sco Pearson is Professor of Agriculural Economics a he Food Research Insiue, Sanford Universiy. He has paricipaed in projecs
More informationTechnological progress breakthrough inventions. Dr hab. Joanna Siwińska-Gorzelak
Technological progress breakhrough invenions Dr hab. Joanna Siwińska-Gorzelak Inroducion Afer The Economis : Solow has shown, ha accumulaion of capial alone canno yield lasing progress. Wha can? Anyhing
More informationReconciling Gross Output TFP Growth with Value Added TFP Growth
Reconciling Gross Oupu TP Growh wih Value Added TP Growh Erwin Diewer Universiy of Briish Columbia and Universiy of New Souh Wales ABSTRACT This aricle obains relaively simple exac expressions ha relae
More informationOFFICIAL INFORMATION OF THE CZECH NATIONAL BANK of 24 October 2017
OFFICIAL INFORMATION OF THE CZECH NATIONAL BANK of 24 Ocober 2017 regarding Aricles 23, 24 and 25 of Ac No. 6/1993 Coll., on he Czech Naional Bank, as amended, and regarding Decree No. 253/2013 Coll.,
More informationAn Incentive-Based, Multi-Period Decision Model for Hierarchical Systems
Wernz C. and Deshmukh A. An Incenive-Based Muli-Period Decision Model for Hierarchical Sysems Proceedings of he 3 rd Inernaional Conference on Global Inerdependence and Decision Sciences (ICGIDS) pp. 84-88
More informationBond Prices and Interest Rates
Winer erm 1999 Bond rice Handou age 1 of 4 Bond rices and Ineres Raes A bond is an IOU. ha is, a bond is a promise o pay, in he fuure, fixed amouns ha are saed on he bond. he ineres rae ha a bond acually
More informationEconomics 301 Fall Name. Answer all questions. Each sub-question is worth 7 points (except 4d).
Name Answer all quesions. Each sub-quesion is worh 7 poins (excep 4d). 1. (42 ps) The informaion below describes he curren sae of a growing closed economy. Producion funcion: α 1 Y = K ( Q N ) α Producion
More informationOption Valuation of Oil & Gas E&P Projects by Futures Term Structure Approach. Hidetaka (Hugh) Nakaoka
Opion Valuaion of Oil & Gas E&P Projecs by Fuures Term Srucure Approach March 9, 2007 Hideaka (Hugh) Nakaoka Former CIO & CCO of Iochu Oil Exploraion Co., Ld. Universiy of Tsukuba 1 Overview 1. Inroducion
More informationMacroeconomics II THE AD-AS MODEL. A Road Map
Macroeconomics II Class 4 THE AD-AS MODEL Class 8 A Road Map THE AD-AS MODEL: MICROFOUNDATIONS 1. Aggregae Supply 1.1 The Long-Run AS Curve 1.2 rice and Wage Sickiness 2.1 Aggregae Demand 2.2 Equilibrium
More informationThe Mathematics Of Stock Option Valuation - Part Four Deriving The Black-Scholes Model Via Partial Differential Equations
The Mahemaics Of Sock Opion Valuaion - Par Four Deriving The Black-Scholes Model Via Parial Differenial Equaions Gary Schurman, MBE, CFA Ocober 1 In Par One we explained why valuing a call opion as a sand-alone
More informationAn Analytical Implementation of the Hull and White Model
Dwigh Gran * and Gauam Vora ** Revised: February 8, & November, Do no quoe. Commens welcome. * Douglas M. Brown Professor of Finance, Anderson School of Managemen, Universiy of New Mexico, Albuquerque,
More informationEquivalent Martingale Measure in Asian Geometric Average Option Pricing
Journal of Mahemaical Finance, 4, 4, 34-38 ublished Online Augus 4 in SciRes hp://wwwscirporg/journal/jmf hp://dxdoiorg/436/jmf4447 Equivalen Maringale Measure in Asian Geomeric Average Opion ricing Yonggang
More informationSession 4.2: Price and Volume Measures
Session 4.2: Price and Volume Measures Regional Course on Inegraed Economic Saisics o Suppor 28 SNA Implemenaion Leonidas Akriidis Office for Naional Saisics Unied Kingdom Conen 1. Inroducion 2. Price
More informationOptimal Early Exercise of Vulnerable American Options
Opimal Early Exercise of Vulnerable American Opions March 15, 2008 This paper is preliminary and incomplee. Opimal Early Exercise of Vulnerable American Opions Absrac We analyze he effec of credi risk
More informationSuggested Template for Rolling Schemes for inclusion in the future price regulation of Dublin Airport
Suggesed Templae for Rolling Schemes for inclusion in he fuure price regulaion of Dublin Airpor. In line wih sandard inernaional regulaory pracice, he regime operaed since 00 by he Commission fixes in
More informationMacroeconomics. Part 3 Macroeconomics of Financial Markets. Lecture 8 Investment: basic concepts
Macroeconomics Par 3 Macroeconomics of Financial Markes Lecure 8 Invesmen: basic conceps Moivaion General equilibrium Ramsey and OLG models have very simple assumpions ha invesmen ino producion capial
More informationCENTRO DE ESTUDIOS MONETARIOS Y FINANCIEROS T. J. KEHOE MACROECONOMICS I WINTER 2011 PROBLEM SET #6
CENTRO DE ESTUDIOS MONETARIOS Y FINANCIEROS T J KEHOE MACROECONOMICS I WINTER PROBLEM SET #6 This quesion requires you o apply he Hodrick-Presco filer o he ime series for macroeconomic variables for he
More informationGovernment Expenditure Composition and Growth in Chile
Governmen Expendiure Composiion and Growh in Chile January 2007 Carlos J. García Cenral Bank of Chile Saniago Herrera World Bank Jorge E. Resrepo Cenral Bank of Chile Organizaion of he presenaion:. Inroducion
More informationAggregate Demand Aggregate Supply 1 Y. f P
ublic Aairs 974 Menzie D. Chinn Fall 202 Social Sciences 748 Universiy o Wisconsin-Madison Aggregae Demand Aggregae Supply. The Basic Model wih Expeced Inlaion Se o Zero Consider he hillips curve relaionship:
More informationMarket and Information Economics
Marke and Informaion Economics Preliminary Examinaion Deparmen of Agriculural Economics Texas A&M Universiy May 2015 Insrucions: This examinaion consiss of six quesions. You mus answer he firs quesion
More informationHow Risky is Electricity Generation?
How Risky is Elecriciy Generaion? Tom Parkinson The NorhBridge Group Inernaional Associaion for Energy Economics New England Chaper 19 January 2005 19 January 2005 The NorhBridge Group Agenda Generaion
More informationDescription of the CBOE S&P 500 2% OTM BuyWrite Index (BXY SM )
Descripion of he CBOE S&P 500 2% OTM BuyWrie Index (BXY SM ) Inroducion. The CBOE S&P 500 2% OTM BuyWrie Index (BXY SM ) is a benchmark index designed o rack he performance of a hypoheical 2% ou-of-he-money
More informationAvailable online at ScienceDirect
Available online a www.sciencedirec.com ScienceDirec Procedia Economics and Finance 8 ( 04 658 663 s Inernaional Conference 'Economic Scienific Research - Theoreical, Empirical and Pracical Approaches',
More informationOrigins of currency swaps
Origins of currency swaps Currency swaps originally were developed by banks in he UK o help large cliens circumven UK exchange conrols in he 1970s. UK companies were required o pay an exchange equalizaion
More informationRisk Management of a DB Underpin Pension Plan
Risk Managemen of a DB Underpin Pension Plan Kai Chen upervisor: Mary Hardy Acknowledge he UW Insiue for Quaniaive Finance and Insurance CKER ARC Travel Gran for heir uppor Ouline Inroducion and Background
More informationAn Analysis of Trend and Sources of Deficit Financing in Nepal
Economic Lieraure, Vol. XII (8-16), December 014 An Analysis of Trend and Sources of Defici Financing in Nepal Deo Narayan Suihar ABSTRACT Defici financing has emerged as an imporan ool of financing governmen
More informationConstructing Out-of-the-Money Longevity Hedges Using Parametric Mortality Indexes. Johnny Li
1 / 43 Consrucing Ou-of-he-Money Longeviy Hedges Using Parameric Moraliy Indexes Johnny Li Join-work wih Jackie Li, Udiha Balasooriya, and Kenneh Zhou Deparmen of Economics, The Universiy of Melbourne
More informationMacroeconomics. Typical macro questions (I) Typical macro questions (II) Methodology of macroeconomics. Tasks carried out by macroeconomists
Macroeconomics Macroeconomics is he area of economics ha sudies he overall economic aciviy in a counry or region by means of indicaors of ha aciviy. There is no essenial divide beween micro and macroeconomics,
More informationProblem 1 / 25 Problem 2 / 25 Problem 3 / 30 Problem 4 / 20 TOTAL / 100
Deparmen of Economics Universiy of Maryland Economics 325 Inermediae Macroeconomic Analysis Final Exam Professor Sanjay Chugh Spring 2009 May 16, 2009 NAME: TA S NAME: The Exam has a oal of four (4) problems
More informationActuarial Neutrality across Generations Applied to Public Pensions under Population Ageing: Effects on Government Finances and National Saving
The Second Inernaional Workshop on The Balance Shee of Social Securiy Pensions Acuarial Neuraliy across Generaions Applied o Public Pensions under Populaion Ageing: Effecs on Governmen Finances and Naional
More informationFinancial Econometrics Jeffrey R. Russell Midterm Winter 2011
Name Financial Economerics Jeffrey R. Russell Miderm Winer 2011 You have 2 hours o complee he exam. Use can use a calculaor. Try o fi all your work in he space provided. If you find you need more space
More informationBalance of Payments. Third quarter 2009
Balance of Paymens Third quarer 2009 Balance of Paymens Third quarer 2009 Saisics Sweden 2009 Balance of Paymens. Third quarer 2009 Saisics Sweden 2009 Producer Saisics Sweden, Balance of Paymens and
More informationECO 301 MACROECONOMIC THEORY UNIVERSITY OF MIAMI DEPARTMENT OF ECONOMICS PRACTICE FINAL EXAM Instructor: Dr. S. Nuray Akin
ECO 301 MACROECONOMIC THEORY UNIVERSITY OF MIAMI DEPARTMENT OF ECONOMICS PRACTICE FINAL EXAM Insrucor: Dr. S. Nuray Akin Name: ID: Insrucions: This exam consiss of 12 pages; please check your examinaion
More informationDescription of the CBOE Russell 2000 BuyWrite Index (BXR SM )
Descripion of he CBOE Russell 2000 BuyWrie Index (BXR SM ) Inroducion. The CBOE Russell 2000 BuyWrie Index (BXR SM ) is a benchmark index designed o rack he performance of a hypoheical a-he-money buy-wrie
More informationOnline Appendix. Using the reduced-form model notation proposed by Doshi, el al. (2013), 1. and Et
Online Appendix Appendix A: The concep in a muliperiod framework Using he reduced-form model noaion proposed by Doshi, el al. (2013), 1 he yearly CDS spread S c,h for a h-year sovereign c CDS conrac can
More informationActuarial Neutrality across Generations Applied to Public Pensions under Population Ageing: Effects on Government Finances and National Saving
The Second Inernaional Workshop on he Balance Shee of Social Securiy Pensions, Hiosubashi Collaboraion Cener, Tokyo, 15 December, 2005 Acuarial Neuraliy across Generaions Applied o Public Pensions under
More informationPricing Vulnerable American Options. April 16, Peter Klein. and. Jun (James) Yang. Simon Fraser University. Burnaby, B.C. V5A 1S6.
Pricing ulnerable American Opions April 16, 2007 Peer Klein and Jun (James) Yang imon Fraser Universiy Burnaby, B.C. 5A 16 pklein@sfu.ca (604) 268-7922 Pricing ulnerable American Opions Absrac We exend
More informationSupplement to Models for Quantifying Risk, 5 th Edition Cunningham, Herzog, and London
Supplemen o Models for Quanifying Risk, 5 h Ediion Cunningham, Herzog, and London We have received inpu ha our ex is no always clear abou he disincion beween a full gross premium and an expense augmened
More informationMacroeconomics II A dynamic approach to short run economic fluctuations. The DAD/DAS model.
Macroeconomics II A dynamic approach o shor run economic flucuaions. The DAD/DAS model. Par 2. The demand side of he model he dynamic aggregae demand (DAD) Inflaion and dynamics in he shor run So far,
More informationThe Concept of Generational Accounts (GA) in Comparison with National Transfer Accounts (NTA)
The Concep of Generaional Accouns (GA) in Comparison wih Naional Transfer Accouns (NTA) The GA is defined as he presen value of ne ax paymen (=ax paid minus benefi received from he governmen) for he remaining
More informationSTATIONERY REQUIREMENTS SPECIAL REQUIREMENTS 20 Page booklet List of statistical formulae New Cambridge Elementary Statistical Tables
ECONOMICS RIPOS Par I Friday 7 June 005 9 Paper Quaniaive Mehods in Economics his exam comprises four secions. Secions A and B are on Mahemaics; Secions C and D are on Saisics. You should do he appropriae
More informationa) No constraints on import- export, no limit on reservoir, all water in the first period The monopoly optimisation problem is:
Monopoly and rade Monopoly conrol impors, bu akes expor price as given. a No consrains on impor- expor, no limi on reservoir, all waer in he firs period he monopoly opimisaion problem is: Max p ( x x +
More informationOutput: The Demand for Goods and Services
IN CHAPTER 15 how o incorporae dynamics ino he AD-AS model we previously sudied how o use he dynamic AD-AS model o illusrae long-run economic growh how o use he dynamic AD-AS model o race ou he effecs
More informationMonetary Instrument Problem Revisited: The Role of Fiscal Policy. Abstract. Soyoung Kim University of Illinois at Urbana Champaign
Moneary Insrumen Problem Revisied: The Role of Fiscal Policy Soyoung Kim Universiy of Illinois a Urbana Champaign Absrac The moneary insrumen problem is examined in an endowmen economy model wih various
More information1. To express the production function in terms of output per worker and capital per worker, divide by N: K f N
THE LOG RU Exercise 8 The Solow Model Suppose an economy is characerized by he aggregae producion funcion / /, where is aggregae oupu, is capial and is employmen. Suppose furher ha aggregae saving is proporional
More informationIf You Are No Longer Able to Work
If You Are No Longer Able o Work NY STRS A Guide for Making Disabiliy Reiremen Decisions INTRODUCTION If you re forced o sop working because of a serious illness or injury, you and your family will be
More informationJarrow-Lando-Turnbull model
Jarrow-Lando-urnbull model Characerisics Credi raing dynamics is represened by a Markov chain. Defaul is modelled as he firs ime a coninuous ime Markov chain wih K saes hiing he absorbing sae K defaul
More informationSpring 2011 Social Sciences 7418 University of Wisconsin-Madison
Economics 32, Sec. 1 Menzie D. Chinn Spring 211 Social Sciences 7418 Universiy of Wisconsin-Madison Noes for Econ 32-1 FALL 21 Miderm 1 Exam The Fall 21 Econ 32-1 course used Hall and Papell, Macroeconomics
More informationExam 1. Econ520. Spring 2017
Exam 1. Econ520. Spring 2017 Professor Luz Hendricks UNC Insrucions: Answer all quesions. Clearly number your answers. Wrie legibly. Do no wrie your answers on he quesion shees. Explain your answers do
More informationThe Impact of Interest Rate Liberalization Announcement in China on the Market Value of Hong Kong Listed Chinese Commercial Banks
Journal of Finance and Invesmen Analysis, vol. 2, no.3, 203, 35-39 ISSN: 224-0998 (prin version), 224-0996(online) Scienpress Ld, 203 The Impac of Ineres Rae Liberalizaion Announcemen in China on he Marke
More informationECONOMIC IMPLICATIONS OF AN AGING POPULATION: THE CASE OF FIVE ASIAN ECONOMIES
ESRI Discussion Paper Series No.117 ECONOMIC IMPLICATIONS OF AN AGING POPULATION: THE CASE OF FIVE ASIAN ECONOMIES by Manabu SHIMASAWA and Hideoshi HOSOYAMA Sepember 2004 Economic and Social Research Insiue
More informationNon-Stationary Processes: Part IV. ARCH(m) (Autoregressive Conditional Heteroskedasticity) Models
Alber-Ludwigs Universiy Freiburg Deparmen of Economics Time Series Analysis, Summer 29 Dr. Sevap Kesel Non-Saionary Processes: Par IV ARCH(m) (Auoregressive Condiional Heeroskedasiciy) Models Saionary
More informationINSTITUTE OF ACTUARIES OF INDIA
INSTITUTE OF ACTUARIES OF INDIA EXAMINATIONS 05 h November 007 Subjec CT8 Financial Economics Time allowed: Three Hours (14.30 17.30 Hrs) Toal Marks: 100 INSTRUCTIONS TO THE CANDIDATES 1) Do no wrie your
More informationA Note on Missing Data Effects on the Hausman (1978) Simultaneity Test:
A Noe on Missing Daa Effecs on he Hausman (978) Simulaneiy Tes: Some Mone Carlo Resuls. Dikaios Tserkezos and Konsaninos P. Tsagarakis Deparmen of Economics, Universiy of Cree, Universiy Campus, 7400,
More informationPension System and Fiscal Policy in an Economy with Heterogeneous Agents 1
Pension Sysem and Fiscal Policy in an Economy wih Heerogeneous Agens 1 Mariam Mamedli 2 Absrac Fiscal disress worsened by demographic rends inensifies he urgency of carrying ou pension reforms in order
More informationSynthetic CDO s and Basket Default Swaps in a Fixed Income Credit Portfolio
Synheic CDO s and Baske Defaul Swaps in a Fixed Income Credi Porfolio Louis Sco June 2005 Credi Derivaive Producs CDO Noes Cash & Synheic CDO s, various ranches Invesmen Grade Corporae names, High Yield
More informationManagement Science Letters
Managemen Science Leers 2 (2012 2863 2868 Conens liss available a GrowingScience Managemen Science Leers homepage: www.growingscience.com/msl An empirical sudy on marke iming heory: A case sudy of Tehran
More informationLecture: Autonomous Financing and Financing Based on Market Values I
Lecure: Auonomous Financing and Financing Based on Marke Values I Luz Kruschwiz & Andreas Löffler Discouned Cash Flow, Secion 2.3, 2.4.1 2.4.3, Ouline 2.3 Auonomous financing 2.4 Financing based on marke
More informationAn Indian Journal FULL PAPER. Trade Science Inc. The principal accumulation value of simple and compound interest ABSTRACT KEYWORDS
[Type ex] [Type ex] [Type ex] ISSN : 0974-7435 Volume 0 Issue 8 BioTechnology 04 An Indian Journal FULL PAPER BTAIJ, 08), 04 [0056-006] The principal accumulaion value of simple and compound ineres Xudong
More informationOn the Impact of Inflation and Exchange Rate on Conditional Stock Market Volatility: A Re-Assessment
MPRA Munich Personal RePEc Archive On he Impac of Inflaion and Exchange Rae on Condiional Sock Marke Volailiy: A Re-Assessmen OlaOluwa S Yaya and Olanrewaju I Shiu Deparmen of Saisics, Universiy of Ibadan,
More informationPricing formula for power quanto options with each type of payoffs at maturity
Global Journal of Pure and Applied Mahemaics. ISSN 0973-1768 Volume 13, Number 9 (017, pp. 6695 670 Research India Publicaions hp://www.ripublicaion.com/gjpam.hm Pricing formula for power uano opions wih
More informationProvide a brief review of futures markets. Carefully review alternative market conditions and which marketing
Provide a brief review of fuures markes. Carefully review alernaive marke condiions and which markeing sraegies work bes under alernaive condiions. Have an open and ineracive discussion!! 1. Sore or Wai
More informationValuing Real Options on Oil & Gas Exploration & Production Projects
Valuing Real Opions on Oil & Gas Exploraion & Producion Projecs March 2, 2006 Hideaka (Hugh) Nakaoka Former CIO & CCO of Iochu Oil Exploraion Co., Ld. Universiy of Tsukuba 1 Overview 1. Inroducion 2. Wha
More informationQuestion 1 / 15 Question 2 / 15 Question 3 / 28 Question 4 / 42
Deparmen of Applied Economics Johns Hopkins Universiy Economics 602 Macroeconomic Theory and olicy Final Exam rofessor Sanjay Chugh Fall 2008 December 8, 2008 NAME: The Exam has a oal of four (4) quesions
More informationFundamental Basic. Fundamentals. Fundamental PV Principle. Time Value of Money. Fundamental. Chapter 2. How to Calculate Present Values
McGraw-Hill/Irwin Chaper 2 How o Calculae Presen Values Principles of Corporae Finance Tenh Ediion Slides by Mahew Will And Bo Sjö 22 Copyrigh 2 by he McGraw-Hill Companies, Inc. All righs reserved. Fundamenal
More information