Abstract
Chopra and Ziemba (J. Portf. Manag. 19: 6–11, 1993) show that for asset only allocations the return forecasts are more important than assumptions about the variance-covariance matrix of the returns. Following Basse et al. (ZVersWiss 96: 617–648, 2007) the same holds true for the asset liability management (ALM) of insurance companies. Given the high quotas of bonds in the real as well as optimized insurance portfolios, interest rate forecasts are of exceptional importance. Therefore this paper examines some of these estimates for the European market using techniques of time series analysis. A set of criteria for the evaluation of the forecasts is presented. While some results seem to be quite favorable for forecasters, others indicate that none of the analyzed forecasts seems to provide relevant information about the future development. There is lot of evidence showing that interest rates are very difficult to predict. Some hints clearly point towards herd behavior among forecasters.
Zusammenfassung
Chopra und Ziemba (J. Portf. Manag. 19:6–11, 1993) zeigen, dass für die reine Kapitalallokation die Renditeprognosen wichtiger sind, als Annahmen über die Varianz-Kovarianz-Matrix der Renditen. Nach Basse et al. (ZVersWiss 96:617–648, 2007) gilt dies ebenfalls für das Asset-Liability-Management (ALM) von Versicherungsunternehmen. Angesichts des hohen Anleiheanteils sowohl in den realen als auch in den optimierten Versicherungsportfolios kommt der Zinsprognose eine herausragende Bedeutung zu. Die vorliegende Arbeit untersucht daher verschiedene Zinsprognosen für den europäischen Kapitalmarkt auf Basis von Zeitreihenanalysen. Zur Bewertung der Prognosen werden eigene Kriterien vorgestellt. Während einige Ergebnisse recht positiv für die Vorhersagenden sind, zeigen andere, dass die untersuchten Prognosen keine relevanten Informationen über die künftige Zinsentwicklung bereitstellen. Zudem finden sich viele Anhaltspunkte dafür, dass Zinssätze nur schwer vorhersagbar sind. Weiterhin gibt es deutliche Hinweise auf Effekte des Herdenverhaltens unter den Erstellern der Prognosen.
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Schwarzbach, C., Kunze, F., Rudschuck, N. et al. Asset management in the German insurance industry: the quality of interest rate forecasts. ZVersWiss 101, 693–703 (2012). https://doi.org/10.1007/s12297-012-0218-y
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DOI: https://doi.org/10.1007/s12297-012-0218-y