Suchergebnisse

This thesis examines various types of financial risk in the context of empirical economic research and discusses the potential interrelationship between these risks and various aspects of social or economic inequality. In particular, the need for appropriate risk management measures is emphasized to prevent or minimize negative effects of the two variables on each other. Exemplarily, important transmission channels between risk and inequality at micro- and macroeconomic levels are presented and positive effects through risk management measures at the individual, institutional, and governmental level are discussed. This cumulative dissertation contributes a total of eleven research papers on risk management issues -- ten empirical essays and a literature review. The geographical scope of this thesis is predominantly on highly developed industrialized countries. For this reason, sub-analyses are conducted for some of the world's leading economies: the United States, Germany, the United Kingdom, and selected European Monetary Union 'core' and 'non-core' member countries. Basically, the eleven modules are organized into four research clusters, based on different financial risks at micro- and macroeconomic levels: The first cluster shows linkages of risk and inequality within the German pension system. In particular, the invalidity risk and impending funding problems within the statutory pension system will be examined. (Module 1-2) The second cluster highlights inequality as a major driver of the Global Financial Crisis and emphasizes, in particular, the importance of a forward-looking risk management in the real estate sector. (Module 3-6) The third cluster discusses aspects of inequality in the European Economic Union, caused by different credit risks of the member countries in a simultaneous single monetary policy, focusing mainly on the period around the European Sovereign Debt Crisis. (Module 7-9) The fourth cluster presents some thoughts on the linkage between private insurance activity and inequality. (Module 10-11) In summary, this thesis illustrates the need for appropriate risk management to prevent inequality from rising due to higher financial risks (or vice versa). Since those dynamic developments are difficult to control by politics and regulatory authorities alone, the importance of research on risk management issues further increases -- in particular in times of deepening economic inequality.

AbstractThis empirical study examines the dividend policy of insurance companies in Italy after the Global Financial Crisis. There is clear evidence for dividend signaling in this period of time. Moreover, the relationship between stock prices and dividend payments is analyzed in more detail. Additionally, the paper also discusses macroeconomic and regulatory issues that could be of relevance for the dividend policy of the Italian insurance industry. In this context the study exemplarily discusses the possible role of inflation and of regulatory restrictions on dividend payouts in the financial services industry.

Industrialised economies are experiencing a decline in mortality alongside low fertility rates - a situation that puts social security systems under severe pressure. Population ageing is associated not only with longer periods of pension claims but also smaller cohorts eventually entering the labour market. This threatens the sustainability of pay-as-you-go social security systems for implementing or further improving appropriate reform measures; adequate forecasts of the future population structure are needed. We propose a probabilistic approach to forecast the number of pensions in Germany up to 2040. Our model considers trends in population development, labour force participation, and early retirement, as well as the effects of pension reforms. Principal component analysis is used to manage the high degree of complexity involved in forecasting trends in old-age and disability pension claims, which arises because of cross-correlations between old-age and disability pension rates, different age groups, and gender. Time series methods enable the inclusion of autocorrelations of the pension rate time series in the model. Monte Carlo simulation is used to quantify future risk. The latter is an important feature of our model, as the future development of the population and, eventually, the pension claims and the financial burden resulting from those claims, are highly stochastic. The model predicts that, in the median trajectory, the number of old-age pensions will increase by almost 5 million between 2017 and 2036, alongside increases in the number of disability pensions by 2036. These numbers take account of the increase in legal retirement ages as part of the 2007 pension reform. After the mid-2030s, however, a moderate decrease can be expected. The results show a clear need for further reforms, especially in the medium term.

AbstractWe study yield spreads between government bonds in the European Monetary Union. This segment of the global fixed income market is of particular importance for insurance companies in Europe. Our empirical research strategy is inspired by Gunay (2020) who has analyzed the relationship between credit and liquidity risk in the United States using Granger causality tests. More specifically, we employ the procedure developed by Toda and Yamamoto (1995) to test for Granger causality among yield spreads in five different member countries of the European Monetary Union (namely Austria, Belgium, France, Italy and Ireland) relative to Germany. We examine interest rate data from bonds with three different maturities (5, 10 and 30 years). Given the importance of long-term bonds as asset class for European life insurers and pension funds, the empirical results from the often ignored market for government bonds with a maturity of 30 years should be of interest. With regard to long-term sovereign debt, there is no evidence for Granger causality among the time series examined here. Consequently, the risk premia required by investors to hold government bonds of one specific member country of the EMU do not help to forecast the risk premia that have to be paid by other countries. Given the structure of their liabilities, this empirical finding should be of high relevance for portfolio and risk managers in the European life insurance industry and in pension funds. With regard to the yield spreads to be observed in the market for 10-year government bonds, there seems to be no clear picture. Focusing on fixed income securities with a maturity of 5 years, there is one very interesting empirical finding. The test results reported here seem to imply that there is unidirectional Granger causality running from the yield spreads in all other four countries to Austria. Given that Austria is a comparably small country which is assumed to be in a fiscally stable position, this result could be interpreted as evidence for credit risk premia as being helpful to forecast liquidity risk premia in the market for medium-term government bonds issued by member states of the European Monetary Union.

We study yield spreads between government bonds in the European Monetary Union. This segment of the global fixed income market is of particular importance for insurance companies in Europe. Our empirical research strategy is inspired by Gunay (2020) who has analyzed the relationship between credit and liquidity risk in the United States using Granger causality tests. More specifically, we employ the procedure developed by Toda and Yamamoto (1995) to test for Granger causality among yield spreads in five different member countries of the European Monetary Union (namely Austria, Belgium, France, Italy and Ireland) relative to Germany. We examine interest rate data from bonds with three different maturities (5, 10 and 30 years). Given the importance of long-term bonds as asset class for European life insurers and pension funds, the empirical results from the often ignored market for government bonds with a maturity of 30 years should be of interest. With regard to long-term sovereign debt, there is no evidence for Granger causality among the time series examined here. Consequently, the risk premia required by investors to hold government bonds of one specific member country of the EMU do not help to forecast the risk premia that have to be paid by other countries. Given the structure of their liabilities, this empirical finding should be of high relevance for portfolio and risk managers in the European life insurance industry and in pension funds. With regard to the yield spreads to be observed in the market for 10-year government bonds, there seems to be no clear picture. Focusing on fixed income securities with a maturity of 5 years, there is one very interesting empirical finding. The test results reported here seem to imply that there is unidirectional Granger causality running from the yield spreads in all other four countries to Austria. Given that Austria is a comparably small country which is assumed to be in a fiscally stable position, this result could be interpreted as evidence for credit risk premia as ...