Low for Long
This research analyses the response of pension funds to the prolonged low-interest rate environment. This was achieved by;
- Looking at what different pensions have actually done since 2008;
- Determining what the response should have been based on strategic asset allocation models that acknowledge possible changes in the interest rate regime;
- Examining the effectiveness of hedging interest rate liabilities using dynamic factor models that take into account the time-varying and uncertain nature of the behaviour of interest rates.
|Project Lead:||Peter Schotman|
publications and links
Peter Schotman is a Professor of Empirical Finance at Maastricht University School of Business and Economics. He studied econometrics at Erasmus University Rotterdam, where he also obtained his PhD at the Econometric Institute. His current research focuses on long-term investments in relation to retirement provision, both from the perspective of pension funds as well as households. Most of his work uses methods from financial econometrics. He is a senior research fellow of Netspar (Network for Studies on Pensions, Aging and Retirement) and often works together with practitioners in the pension industry.