| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13742 |
| DP13742 Unhedgeable Inflation Risk within Pension Schemes | |
| Damiaan Chen; Roel Beetsma; Sweder van Wijnbergen | |
| 发表日期 | 2019-05-19 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | Pension schemes generally aim to protect the purchasing power of their participants, but cannot completely do this when due to market incompleteness inflation risk cannot be fully hedged. Without a market price for inflation risk the value of a pension contract depends on the investor's risk appetite and inflation risk exposure. We develop a valuation framework to deal with two sources of unhedgeable inflation risk: the absence of instruments to hedge general consumer price inflation risk and differences in group-specific consumption bundles from the economy-wide bundle. We find that the absence of financial instruments to hedge inflation risks may reduce lifetime welfare by up to 6% of certainty-equivalent consumption for commonly assumed degrees of risk aversion. Regulators face a dilemma as young (workers) and old participants (retirees) have different capacities to absorb losses from unhedgeable inflation risks and as a consequence have a different risk appetite. |
| 主题 | Financial Economics |
| 关键词 | Unhedgeable inflation risk Welfare loss Incomplete markets Pension contract Valuation |
| URL | https://cepr.org/publications/dp13742 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542606 |
| 推荐引用方式 GB/T 7714 | Damiaan Chen,Roel Beetsma,Sweder van Wijnbergen. DP13742 Unhedgeable Inflation Risk within Pension Schemes. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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