Pension Systems, Demographic Change, and the Stock Market
Due to the accelerating demographic change of the population the reform of the existing pension systems constitutes one of the greatest political challenges in most European countries. A theoretical discussion of different pension reforms must incorporate
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Marten Hillebrand
Pension Systems, Demographic Change, and the Stock Market
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Dr. Marten Hillebrand Department of Economics Bielefeld University Universitätsstraße 25 33615 Bielefeld Germany [email protected]
ISBN 978-3-540-77971-1
e-ISBN 978-3-540-77972-8
DOI 10.1007/978-3-540-77972-8 Lecture Notes in Economics and Mathematical Systems ISSN 0075-8442 Library of Congress Control Number: 2008921374 © 2008 Springer-Verlag Berlin Heidelberg This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable to prosecution under the German Copyright Law. The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Production: le-tex Jelonek, Schmidt & Vöckler GbR, Leipzig Cover design: WMX Design GmbH, Heidelberg Printed on acid-free paper 987654321 springer.com
To my father
Preface
The goal of this thesis is to study pension systems and their interactions with real and financial markets in the presence of demographic change and randomness due to a stochastic asset market. Most existing contributions in the literature are confined to a deterministic or simplified stochastic setting. This type of approach precludes the incorporation of randomness and uncertainty typically observed in stock markets. It also does not facilitate a discerning study of the feedback structure between asset markets and the pension system within a stochastic dynamic model. The aim of this dissertation is therefore twofold. The first goal is the conception and development of a suitable theoretical framework that complements the existing approaches. The second goal is to present a simulation study which employs the previously developed framework to analyze the role of a pension system and the impact of demographic change on the dynamic behavior of real and financial markets as well as on the welfare of consumers. The Department of Business Administration and Economics at Bielefeld University, Germany, has accepted this work as dissertation in partial fulfillment of the requirements for the degree of Doctor in Economic Sciences (Doktor der Wirtschaftswissenschaften, Dr. rer. pol.). The final oral examination was held on December 18, 2006 and passed successfully. I am deeply indebted to my advisor Volker B¨ ohm who has not only inspired this research but has also made numerous suggestions and valuable comments. I greatly benefitted from the fruitful research atmo
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