Theoretical and empirical essays in econometrics and finance related to structural changes, volatility and pension fund management.

摘要

This dissertation involves theoretical and empirical work covering three themes: testing for structural changes, optimal pension plan management, and the declining equity premium.;The first chapter provides a comprehensive treatment of the problem of testing jointly for structural changes in both the regression coefficients and the variance of the errors in a single equation system involving stationary regressors. The framework is quite general in that it allows for general mixing-type regressors and the assumptions on the errors are quite mild. Their distribution can be non-Normal and conditional heteroskedasticity is permitted. Extensions to the case with serially correlated errors are also treated. Applications to US macroeconomic time series reinforce the prevalence of changes in both their mean and variance and the fact that for most series an important reduction in variance occurred in the 80s. In many cases, however, the so-called "great moderation" can instead be viewed as a "great reversion".;The second chapter develops a dynamic asset-liability management model for defined-benefit pension plans. The plan sponsor exhibits features of loss aversion and tolerance for limited shortfalls in assets under management relative to the liability due. The optimal contribution policy, the optimal dividend policy and the associated asset allocation rule are derived and analyzed. Sound asset-liability management is shown to entail future withdrawals from as well as future contributions to the pension fund, even if the current funding shortfall is large.;The third chapter investigates an alternative justification for the declining equity premium in the United States: changes in macroeconomic risks. Both theoretical and empirical linkages between the stock market and macroeconomic variables are examined. The analysis suggests that the fall in macroeconomic risks plays a role in the declining equity premium. Moreover, lower inflation after the oil shock period might also contribute to the lower equity premium. However, there is little evidence that interest rates and GDP growth have anything to do with the decline in the equity premium.