巴黎银行-全球-宏观策略-人口老龄化对产出的影响评估：中性利率的生命周期模型-20190801.pdf

《巴黎银行-全球-宏观策略-人口老龄化对产出的影响评估：中性利率的生命周期模型-20190801.pdf》由会员上传分享，免费在线阅读，更多相关内容在行业资料-天天文库。

1、ASSESSINGTHEIMPACTOFAGEINGPOPULATIONSONYIELDSLIFE-CYCLEMODELLINGOFTHENEUTRALRATEOFINTERESTMACROQUANT&DERIVATIVES

2、G10INTERESTRATES

3、MARKETECONOMICSPleaserefertoimportantinformationattheendofthisreport1August2019MACROQUANT&DERIVATIVES

4、G10INTERESTRATES

5、MARKETECONOMICSModelling

6、theimpactofdemographicsonyields•10yand30ybondyieldstendtotracktheR*KEYMESSAGESestimatesoverlongperiods.TherelationshiphasbeenstrongestintheUS,whileinGermanytheWefocusonthestructuraldriversofbondyieldsandrelationshipbrokedownduringtheeurozonefiscaldevelopamodelforassessingt

7、heimpactofageingcrisisandtheintroductionofECBQE.populationsonbondyieldsinrecentdecades.•Ouranalysissuggeststhatthelowyieldson10yWebuildonexistingliteraturefortheneutralrateofTreasuriescanbeexplainedbystructuraldynamicsinterest,alsoknownasR*.WeuseamacroeconomicintheUS(growt

8、h,inflationanddemographics),rathermodellingapproach,basedonlife-cycleconsumptionthanbythesizeoftheFederalReserve’sbalancetheorytocalculatetheimpactofdemographicsonsheetandpastQE.bondyields.•InJapan,therewasabreakdownbetweenbondWehaverunouranalysisbackto1980andprojectyields

9、andR*whenourR*estimatefellbelowzero.forwardto2030.WeconcludethatthedemographicsThisperiodcorrespondswithJapaneseinvestorsprofilesuggeststhatbondyieldsarelikelytocontinueincreasingtheirpurchasesofforeignassets.tofalloverthenextdecade,especiallyintheUS.•Wehaveusedourmodeltoa

10、nalysetheimpactofdemographicsonassetallocationbetweenbondsInsummary,ouranalysishasprovideduswiththeandequities.Retirementsavingsfromageingfollowingresults:populationssuggestthatflowsintobothbondsand•AgeingpopulationsintheUS,JapanandGermanyequitiesarelikelytopersist.appeart

11、ohavehadasubstantialimpactonyields.We•Wetestfortheimpactofrebalancingonequityanalysetwodifferentchannels;theeffectontrendmarketflowsasportfoliosareadjustedawayfromgrowthandeffectonsavings.Ourestimateoftheequitiesinfavourofbonds,asanindividual’sagesavingschannelsuggestsadec

12、linetheneutralrateofincreases.Wefindthattheinflowsintoequitiesfrominterestof1.8pp,1.5ppan