Abstract
Pension system in Slovakia has been transformed from a single-pillar system to a three-pillar system since 2004. Following outbreak of financial crisis between years 2008 and 2009, pension sector has been subjected to several regulatory changes in order to protect retirement savings. Bond pension funds are currently the most dominant element in pension system with 70% of total assets allocated in this kind of pension funds. Aim of this manuscript is to analyse the structure of assets owned by bond pension funds and to identify key portfolio components that impact returns of these funds. This relationship has been analysed on sample of all five bond pension funds operating in Slovakia for period from 2009 to 2017. Relationship between individual components of portfolio and portfolio returns has been described by two linear regression models with mixed effects. Statistically significant variables have been identified as bonds evaluated at fair value with maturity less than 3 months and bonds evaluated at fair value with maturity longer than 5 years, both denominated in Euros. This manuscript has showed that bond pension portfolios, that are evaluated mainly at fair value and with long maturity, are prone to increased interest rate risks in than in the past. Higher interest rate risk could have negative impact on pension’s savings in the future.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Amendment no. 137/2009: ktorým sa mení a dopĺňa zákon č. 43/2004 Z. z. o starobnom dôchodkovom sporení a o zmene a doplnení niektorých zákonov v znení neskorších predpisov. Retrieved February 26, 2020, from http://www.socpoist.sk/ext_dok-137-2009-z-zp-32911/54480c
Amendment no. 252/2012: ktorým sa mení a dopĺňa zákon č. 461/2003 Z. z. o sociálnom poistení v znení neskorších predpisov a ktorým sa menia a dopĺňajú niektoré zákony. Retrieved February 26, 2020, from http://www.socpoist.sk/ext_dok-12-z252/56750c
Amir, E., & Benatzi, S. (1998). The expected rate of return on pension funds and asset allocation as predictors of portfolio performance. The Accounting Review.
Amir, E., Guan, Y., & Oswald, D. (2010). The effect of pension accounting on corporate pension asset allocation. Review of Accounting Studies, 15, 345. https://doi.org/10.1007/s11142-009-9102-y
Anantharaman, D., & Chuk, E. (2017). The economic consequences of accounting standards: Evidence from risk-taking in pension plans. The Accounting Review. https://doi.org/10.2139/ssrn.2629277
Burke, Q. L., Chen, P. C., & Eaton, T. V. (2016). An empirical examination of mark-to-market accounting for corporate pension plans. Journal of Accounting and Public Policy., 36, 34. https://doi.org/10.1016/j.jaccpubpol.2016.11.001
Chovancová, B., Hudcovský, J., & Kotasková, A. (2019). The impact of stocks and bonds on pension fund performance. Journal of Competitiveness, 11(2), 22–35. https://doi.org/10.7441/joc.2019.02.02
Draženović, B. O., Hodžić, S., & Maradin, D. (2019). Efficiency of mandatory pension funds: Case of Croatia. South East European Journal of Economics and Business, 14(2), 82–94.
Field, A., Miles, J., & Field, Z. (2012). Discovering statistics using R. United Kingdom. London: Sage.
Li, Y., & Klumpes, P. J. (2013). Determinants of expected rate of return on pension assets: Evidence from the UK. Accounting and Business Research, 43, 3. https://doi.org/10.1080/00014788.2012.685286
Louton, D., McCarthy, J., Rush, S., Saraouglu, H., & Sosa, O. (2015). Tactical asset allocation for US pension investors: How tactical should the plan be? Journal of Asset Management, 16, 427.
Mitková, L. (2016). Europe’s ageing population and the gender pension gap. In Európska ekonomická integrácia v kontexte aktuálneho vývoja a výziev pre členské štáty Európskej únie (pp. 68–80). Wolter Kluver.
Naczyk, M., & Domonkos, S. (2016). The financial crisis and varieties of pension privatization reversals in Eastern Europe. Governance, 29, 167. https://doi.org/10.1111/gove.12159
National Bank of Slovakia. (2010). Analýza slovenského finančného sektora za rok 2009. Bratislava: Národná banka Slovenska.
National Bank of Slovakia. (2018). Analýza slovenského finančného sektora za rok 2017. Bratislava: Národná banka Slovenska.
OECD. (2019). Pension markets in focus 2019. Retrieved from www.oecd.org/daf/fin/private-pensions/pensionmarketsinfocus.htm
Papík, M. (2017). Composition of equity and mixed pension funds in Slovakia. In Oeconomia Copernicana. Faculty of Economic Sciences and Management. Toruń: University in Toruń.
Saxunová, D., & Chorvatovičová, L. (2018). Management of labour force movement applied in Slovakia. Social and Economic Revue, 16(2), 35–43.
Witkowska, D., Kompa, K., & Mentel, G. (2019). The effect of government decisions on the efficiency of the investment funds market in Poland. Journal of Business Economics and Management, 20(3), 573–594. https://doi.org/10.3846/jbem.2019.9861
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2021 The Author(s), under exclusive license to Springer Nature Switzerland AG
About this paper
Cite this paper
Papík, M. (2021). Structure of Bond Pension Funds During Decreasing Yield Curves. In: Tsounis, N., Vlachvei, A. (eds) Advances in Longitudinal Data Methods in Applied Economic Research. ICOAE 2020. Springer Proceedings in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-030-63970-9_7
Download citation
DOI: https://doi.org/10.1007/978-3-030-63970-9_7
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-030-63969-3
Online ISBN: 978-3-030-63970-9
eBook Packages: Economics and FinanceEconomics and Finance (R0)