Browsing by Author "Šafár, Leoš"
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- ItemIMPACT OF DIFFERENT LIFE-CYCLE SAVING STRATEGIES AND UNEMPLOYMENT ON INDIVIDUAL SAVINGS IN DEFINED CONTRIBUTION PENSION SCHEME IN SLOVAKIA(Technická Univerzita v Liberci, ) Mešťan, Michal; Králik, Ivan; Šafár, Leoš; Šebo, Ján; Ekonomická fakultaSearching for the optimal saving strategy is often tied with the life-cycle strategies where only the age of a saver is considered for setting the allocation profile between equities and bonds. Our article contributes to the debate by looking at the performance and adequacy risks arising from applying age-based saving strategies for savers in funded pension schemes. As many studies have proven the shift of the risk onto savers in defined contribution pension schemes under various saving strategies, we contribute to the debate by providing simulations of expected accumulated savings via funded pension scheme under the various life-cycle income profiles and existence of unemployment risk. Using the resampling simulation technique, we compare the fixed and age-based strategies of three different agents with various life-cycle income paths and different unemployment risk. We compare the expected amount of savings and calculate relative indicators comparing the expected monthly benefits, income replacement rate. We look closely on the impact of unemployment on the value of savings and calculate the unemployment factor explaining the value of savings lost due to the periods of unemployment. By combining life-cycle income functions of individuals with different education level and unemployment risk, we show that decisions of implementing low risk saving strategies are suboptimal and lead to a substantial decrease in replacement ratios not only for higher income cohorts but especially for the lowest ones. At the same time, we prove that employing low risk saving strategy leads to the increase of adequacy risk especially driven by the unemployment risk that is higher for lower education individuals. We conclude that age-based life-cycle saving strategies, where the remaining saving horizon is the only factor defining the allocation profile is not the optimal saving strategy and other factors should be considered as well when searching for optimal saving strategy.
- ItemQuantitative easing effects on equity markets – event study evidence from the US(Technická Univerzita v Liberci, ) Šafár, Leoš; Siničáková, Marianna; Ekonomická fakultaIn this paper we examine effects of the QE related statements made by the FED on major equity indices in the US. We consider days, when announcements had been made, as events for the event-study. We approach this methodology with aim to calculate excess returns on particular announcement day for Dow Jones Industrial Average, Standard´s & Poor´s 500, NASDAQ and Russell2000. Admitting complexity of those statements, and difficulty to isolate effects linked only to QE related information, we analysed statements individually, to be able to extrapolate deviations more accurately. Results indicate positive excess returns (above average performance over previous 60 days) on each index from 2008 to 2017 in average, while on some specific announcements, excess returns fell to negative range, which could be explained as misunderstanding of reaction function or active portfolio rebalancing towards assets directly influenced by the programme mentioned in the particular announcement. Considering also multiplicity, for DJIA, NASDAQ and S&P500 we conclude, that positive reactions follow especially information linked to prolongation or expansion of existing QE programme, while on the other hand initial information about QE cause mentioned portfolio rebalancing from equities towards other assets (RUSSEL2000 did not signal particular direction in line with announcement days´ information). We can also conclude that even if tapering linked information are considered as a part of the QE programmes, we did not find significant evidence of neither positive nor negative reaction on particular tapering-linked announcements. We add on, that the tapering and balance sheet unwinding are unprecedented to some extent, and therefore require further research, especially in current environment where such policy normalization is widely discussed.