Edmund Cannon

Euro-illusion: a natural experiment

We collect and analyse data on church collections to assess whether the introduction of Euro notes and coins had real effects on giving. Data for Italy suggests that money is not completely neutral while Irish data suggests a lower degree of money illusion. A smaller data set from continental Europe suggests different sorts of money illusion.

Integration in the English wheat market 1770-1820

Cointegration analysis has been used widely to quantify market integration through price arbitrage. We show that total price variability can be decomposed into: (i) magnitude of price shocks; (ii) correlation of price shocks; (iii) between-period arbitrage. All three measures depend upon data frequency, but between-period arbitrage is most affected. We measure variation of these components across time and space using English weekly wheat price data, 1770-1820. We show that conclusions about arbitrage are sensitive to the precise form of cointegration model used; different components behave differently; and different factors – in terms of transport and information – explain behaviour of different components. Previous analyses should be interpreted with caution.

Economic Growth and Geographic Proximity

Abstract Using data on 92 countries, 90 European regions, and 48 US states we present results suggesting that physical distance between economies has little role to play in explaining the spatial correlation of growth rates.

Price Efficiency in the Dutch Annuity Market

We provide the first analysis of annuity rates in the Netherlands for the period 2001-2012. During this period, the number of annuity providers was high and stable and we find that falls in annuity rates can be explained entirely by changes in yields and life expectancy. We show that annuitants could have increased their annuity income by about 5%, by shopping around and purchasing their annuities from alternative providers. Money’s worth calculations show that the market is efficient by international standards, with a money’s worth above 0.9 for the whole period and close to unity by the end of the period. We present conflicting evidence on the existence of adverse selection because although we find money’s worths are inversely related to age of purchase, we find they are positively related to size of purchase.

UK annuity price series, 1957 2002

The UK annuity market is one of the largest in the world and of considerable importance for research on pensions, and understanding the decumulation phase in defined-contribution pension schemes. Time-series data for UK annuity rates has hitherto been unavailable. This article presents data for the period 1957 to 2002 and describes how the data were constructed.

The Value and Risk of Defined Contribution Pension Schemes: International Evidence

Using data on historical returns on international financial assets, the paper simulates pension fund and pension replacement ratios, building up frequency distributions of these ratios for individuals saving in a defined contribution pension plan in different countries. These frequency distributions illustrate the risk in the pension replacement ratio faced by an individual who saves in a typical defined contribution pension scheme.

Estimation and Pricing with the Cairns-Blake-Dowd Model of Mortality

Parametric forecasts of future mortality improvements can be based on models with a small number of factors which summarise both the improvement in mortality and changes in the relationship between mortality and age. I extend the analysis of the two‐factor model of Cairns, Blake and Dowd (2006) to a more general dynamic process for the factors and also consider the problems arising from modelling estimated rather than observed factors. The methods are applied to mortality data for sixteen countries and are used to estimate the value of an annuity and measures of risk. The consequences for the moneys worth of an annuity and reserving are also considered.

The Effect of the Reforms to Compulsion on Annuity Demand

This paper investigates the effect of recent regulatory changes to the compulsory annuitisation of tax-privileged pension savings, on the demand for annuities and other retirement products. We find that the demand for annuities has fallen by almost 75 per cent from its peak in 2012, and the demand for income drawdown products has increased. There is some evidence that people at younger ages and with smaller pension pots are choosing not to annuitise, and hence the average size of an annuity purchase has increased.

Comment on Chen and Lin ‘Does Downloading Power-Point Slides Before the Lecture Lead to Better Student Achievement?’

Chen and Lin (2008) is an interesting attempt to measure the effect of students having access to PowerPoint slides before a lecture. They argue that such access leads to better learning outcomes as measured by higher exam marks. While their empirical results shed some light on students’ use of PowerPoint slides, I argue that they have not succeeded in isolating the treatment effect and the correlations cannot be interpreted as causal.