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Public and private pension systems and macroeconomic volatility in OECD countries
Author(s) -
Holzner Mario,
Jestl Stefan,
Pichler David
Publication year - 2022
Publication title -
scottish journal of political economy
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.4
H-Index - 46
eISSN - 1467-9485
pISSN - 0036-9292
DOI - 10.1111/sjpe.12278
Subject(s) - economics , volatility (finance) , pension , per capita , panel data , monetary economics , consumption smoothing , volatility swap , macroeconomics , unemployment , econometrics , finance , implied volatility , population , demography , sociology
Abstract This paper analyses the impact of public pension expenditures and pension funds' assets as well as its paid‐out benefits on macroeconomic volatility. We use panel data for 35 OECD countries for the period 1980–2018 and apply a set of state‐of‐the‐art econometric estimators. Our results suggest a smoothing effect of public pension expenditures on per capita consumption growth volatility and overall macroeconomic volatility. We however do not find such effects coming from pension funds' paid‐out benefits. In contrast, the effect of pension funds' assets depends crucially on the level of economic development: there is a dampening effect on per capita investment growth volatility in less developed countries; while a volatility‐boosting effect in most developed countries.