Nikos Paltalidis

Assessing the effects of unconventional monetary policy on pension funds risk incentives

US public pension funds deficits remain stubbornly high even though market conditions have improved in the post-crisis period. This article examines the role of lower short- and long-term interest rates imposed by the use of unconventional monetary policy on pension funds risk taking and asset allocation behavior. We quantify the effects of the Zero Lower Bound policy and the launch of unconventional monetary policy measures by using two structural Vector AutoRegression (VAR) models, a Bayesian VAR and a Markov switching-structural VAR. We provide the first comprehensive evidence showing that persistently low interest rates and falling Treasury yields cause a substantial increase in pension funds risk and portfolios beta. Additionally, we document that the severe funding shortfall in many pension schemes is, to a large extent, associated with and prompted by changes in the monetary policy framework.

Credit, Stock, Commodity and Shipping Market Interactions in a Three State Boom – Bust Cycle

We introduce a three-regime boom-bust cycle model which captures short-term transmission of shocks to the shipping market during the recent financial turmoil. Market, financial and commodity – based variables are employed as shipping sentiment proxies that capture volatility spikes and market expectations for the dry bulk, and the tanker shipping markets. The results indicate that these variables behave as channels which spread risk, and act as an indicator for the shipping cycle phase. Additional findings suggest that higher risk premium required by investors for holding financial assets, depresses substantially the shipping market. Shipowners embarked upon a building boom fuelled by easy credit during the boom phase of the cycle, and hence during the post-crisis period fleet seize overcapacity depresses rates further. JEL Classification: C51, G01, G15, G17.

Shipping Market Sentiment and Fluctuations in a Three State Boom-Bust Cycle

We introduce a three-regime boom-bust cycle model which captures short-term transmission of shocks to the shipping market during the recent financial turmoil. Market, financial and commodity – based variables are employed as shipping sentiment proxies that capture volatility spikes and market expectations for the dry bulk, and the tanker shipping markets. The results indicate that these variables behave as channels which spread risk, and act as an indicator for the shipping cycle phase. Additional findings suggest that higher risk premium required by investors for holding financial assets, depresses substantially the shipping market. Shipowners embarked upon a building boom fuelled by easy credit during the boom phase of the cycle, and hence during the post-crisis period fleet seize overcapacity depresses rates further. JEL Classification: C51, G01, G15, G17.

Determinants of Shipping Market Fluctuations: A Bayesian Markov Switching Three State Approach

We introduce a three-regime boom-bust cycle model which captures short-term transmission of shocks to the shipping market during the recent financial turmoil. Market, financial and commodity – based variables are employed as shipping sentiment proxies that capture volatility spikes and market expectations for the dry bulk, and the tanker shipping markets. The results indicate that these variables behave as channels which spread risk, and act as an indicator for the shipping cycle phase. Additional findings suggest that higher risk premium required by investors for holding financial assets, depresses substantially the shipping market. Shipowners embarked upon a building boom fuelled by easy credit during the boom phase of the cycle, and hence during the post-crisis period fleet seize overcapacity depresses rates further. JEL Classification: C51, G01, G15, G17.