This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

The role of demographic variables in explaining financial returns in Italy

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Marianna Brunetti ()
Costanza Torricelli ()

Additional information is available for the following registered author(s):

Abstract

This paper contributes to the ongoing debate on the relationship between asset returns and age-structure by investigating the case of Italy, which is experiencing one of the most pronounced ageing in the world. To this end, time-series regressions are run, in which real returns on different financial assets (stocks, long- and short-term government bonds) are used as dependent variables. The dataset contains annual observations spanning over the period 1958-2004. First, as in Poterba (2001, 2004) only demographic variables are used as explanatory ones. Then, following Davis and Li (2003) the regression specifications are completed with a set of financial variables which have finance-theoretical underpinnings. Results point towards a major effect of demographic dynamics on financial asset returns which appear significantly higher in magnitude than what Poterba (2001, 2004) and Davis and Li (2003) report for US, especially in the stock market.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://merlino.unimo.it/web_dep/materiali_discussione/0551.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica in its series Heterogeneity and monetary policy with number 0701.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: pages 35
Date of creation: Jan 2007
Date of revision:
Handle: RePEc:mod:modena:0701

Contact details of provider:
Web page: http://www.economia.unimore.it
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Giuseppe Marotta).

Related research
Keywords: population ageing financial returns stocks bonds

Other versions of this item:

Find related papers by JEL classification:
D91 - Microeconomics - - Intertemporal Choice and Growth - - - Intertemporal Consumer Choice; Life Cycle Models and Saving
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
J11 - Labor and Demographic Economics - - Demographic Economics - - - Demographic Trends and Forecasts

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May. [Downloadable!] (restricted)
    Other versions:
  2. James M. Poterba, 2004. "The impact of population aging on financial markets," Proceedings, Federal Reserve Bank of Kansas City, issue Aug, pages 163-216. [Downloadable!]
    Other versions:
  3. Favero, Carlo A., 2006. "Taylor rules and the term structure," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1377-1393, October. [Downloadable!] (restricted)
  4. Luigi Guiso & Tullio Jappelli, 2000. "Household Portfolios in Italy," CSEF Working Papers 43, Centre for Studies in Economics and Finance (CSEF), University of Salerno, Italy. [Downloadable!]
    Other versions:
  5. Andrew B. Abel, 2001. "Will Bequests Attenuate The Predicted Meltdown In Stock Prices When Baby Boomers Retire?," The Review of Economics and Statistics, MIT Press, vol. 83(4), pages 589-595, November. [Downloadable!] (restricted)
    Other versions:
  6. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March. [Downloadable!] (restricted)
  7. Andrew Ang & Angela Maddaloni, 2005. "Do Demographic Changes Affect Risk Premiums? Evidence from International Data," Journal of Business, University of Chicago Press, vol. 78(1), pages 341-380, January. [Downloadable!]
    Other versions:
  8. Andrew B. Abel, 2003. "The Effects of a Baby Boom on Stock Prices and Capital Accumulation in the Presence of Social Security," Econometrica, Econometric Society, vol. 71(2), pages 551-578, March. [Downloadable!] (restricted)
    Other versions:
  9. Peter S. Yoo, 1994. "Age distributions and returns of financial assets," Working Papers 1994-002, Federal Reserve Bank of St. Louis. [Downloadable!]
  10. Bellante, Don & Green, Carole A., 2004. "Relative risk aversion among the elderly," Review of Financial Economics, Elsevier, vol. 13(3), pages 269-281. [Downloadable!] (restricted)
  11. Ivo Welch, 2000. "Views of Financial Economists on the Equity Premium and on Professional Controversies," Yale School of Management Working Papers ysm122, Yale School of Management. [Downloadable!]
    Other versions:
  12. Marianna Brunetti & Costanza Torricelli, 2007. "The Effect of Population Ageing on Household Portfolio Choices in Italy," Heterogeneity and monetary policy 0702, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica. [Downloadable!]
  13. James M. Poterba, 2001. "Demographic Structure And Asset Returns," The Review of Economics and Statistics, MIT Press, vol. 83(4), pages 565-584, November. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? IDEAS was launched in September 1997.

This page was last updated on 2008-11-16.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.