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Lee-Carter and the macroeconomy

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  • Hanewald, Katja

Abstract

Using data for six OECD countries, this paper studies the effect of macroeconomic conditions on the mortality index kt in the well-known Lee-Carter model. Significant correlations are found with real GDP growth rates in Australia, Canada, and the United States, and with unemployment rate changes in Japan, for the period 19502005. In recent years, the relationship between the state of the economy and mortality is found to change from procyclical to countercyclical in all six countries. Based on these findings, variants of the Lee-Carter model are proposed that capture a substantial fraction of the variation in the mortality index.

Suggested Citation

  • Hanewald, Katja, 2009. "Lee-Carter and the macroeconomy," SFB 649 Discussion Papers 2009-008, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    • Handle: RePEc:zbw:sfb649:sfb649dp2009-008
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    References listed on IDEAS

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    2. Strausz, Roland, 2009. "The political economy of regulatory risk," SFB 649 Discussion Papers 2009-040, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Michał Grajek & Lars-Hendrik Röller, 2012. "Regulation and Investment in Network Industries: Evidence from European Telecoms," Journal of Law and Economics, University of Chicago Press, vol. 55(1), pages 189-216.
    4. Choroś, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2009. "CDO and HAC," SFB 649 Discussion Papers 2009-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    5. Njenga Carolyn N & Sherris Michael, 2011. "Longevity Risk and the Econometric Analysis of Mortality Trends and Volatility," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 5(2), pages 1-54, July.
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    7. Dowd, Kevin & Cairns, Andrew J.G. & Blake, David & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa, 2010. "Evaluating the goodness of fit of stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 255-265, December.
    8. Michał Grajek & Lars-Hendrik Röller, 2012. "Regulation and Investment in Network Industries: Evidence from European Telecoms," Journal of Law and Economics, University of Chicago Press, vol. 55(1), pages 189-216.
    9. repec:hum:wpaper:sfb649dp2009-041 is not listed on IDEAS
    10. Vékás, Péter & Bajkó, Attila & Maknics, Anita & Tóth, Krisztián, 2015. "A magyar nyugdíjrendszer fenntarthatóságáról [On the sustainability of the Hungarian pension system - the long-term effects of demographic trends]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(12), pages 1229-1257.
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    More about this item

    Keywords

    Demography; Lee-Carter; business cycle; time series model;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • I12 - Health, Education, and Welfare - - Health - - - Health Behavior
    • J11 - Labor and Demographic Economics - - Demographic Economics - - - Demographic Trends, Macroeconomic Effects, and Forecasts

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