Contractual Savings, Stock, and Asset Markets

Impavido, Gregorio ; Musalem, Alberto R.

World Bank, Washington, DC

关键词: AGENTS;    ANNUITY;    ARBITRAGE;    ASSETS;    AUDITING;   

DOI  :  10.1596/1813-9450-2490
RP-ID  :  WPS2490

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

The authors study the relationshipbetween the development of insurance, and contractualsavings, (the assets and portfolio composition of pensionfunds, and life and non-life insurance companies) and thedevelopment of stock markets (market capitalization andvalue traded). Their contribution lies in providingcross-country, and time-series on a hypothesis that is verypopular - but had not been substantiated - among supportersof funded pension systems, and insurance in which reservesare largely invested in tradable securities (equities andbonds). The authors present a three-assets model (money,quasi money, and shares) to study the effects of thedevelopment of contractual savings (pension funds and lifeinsurance companies) and non-life insurance companies onassets market equilibrium, and on stock market development.They use an unbalanced panel of 21 OECD, and 5 developingcountries, and an error components two-stage least squares(EC2SLS) estimator, including a test for endogeneity ofthese institutional investors. The results support thehypothesis that contractual savings, and non-life insurancecompanies can be treated as exogenous to the development ofstock markets; that contractual savings and non-lifeinsurance companies, as well as their portfolio policies,promote stock market development as measured by stock marketcapitalization, and value traded as a share of GDP. Theresults show that stock market capitalization is positivelycorrelated with the return on stocks, the assets ofcontractual savings and non-life insurance companies, theshares of stocks in the portfolios of contractual savingsand non-life insurance companies, and the value tradedstocks. Stock market capitalization is negatively correlatedwith the real interest rate, the real return on money(measured by the inverse of inflation), and stock marketvolatility. Stock market value traded is positivelycorrelated with the shares of stocks in the portfolios ofcontractual savings and non-life insurance companies, andthe real return on money. It is negatively correlated withthe real interest rate. The authors conclude that insuranceand contractual savings are powerful instruments fordeveloping stock markets, providing depth and liquidity.Higher liquidity, in turn, further promotes market capitalization.