Public Sector Economics

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Long-term cash flows of mandatory and voluntary pension funds in Croatia and their impact on asset allocation



Eva Horvat*
   
Mladen Latković*
Article   |   Year:  2021   |   Pages:  229 - 255   |   Volume:  45   |   Issue:  2
Received:  October 26, 2020   |   Accepted:  January 22, 2021   |   Published online:  June 6, 2021
Download citation        https://doi.org/10.3326/pse.45.2.3       


Table 1
Main characteristics of different mandatory pension funds’ categories
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Table 2
The expected returns and volatilities for fixed income and equity asset classes on Croatian (HR) and developed (DM) capital markets (in %, annualized)
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Table 3
Assumptions for correlations between asset classes
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Table 4
Expected asset allocation of MPFs in equity and fixed income asset classes (in % of funds’ assets)
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Table 5
Expected asset allocation of MPFs to Croatian (HR) and developed market (DM) asset classes (in % of funds’ assets)
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Table 6
The expected returns and volatilities of MPFs (in %, annualized)
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Figure 1
Realized and expected long-term membership dynamic (number of members at the end of period) for 2nd pillar proxy life-cycle scheme in Croatia
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Figure 2
Realized and expected long-term net inflows (in mn HRK) to 2nd pillar proxy life-cycle scheme in Croatia
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Figure 3
Realized and expected net asset values (in mn HRK) for 2nd pillar proxy life-cycle scheme in Croatia
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Table 7
Expected liquidity implied asset allocation of MPFs in asset classes (in % of funds’ assets)
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Table 8
The expected returns and volatilities of MPFs after liquidity implied reallocations (in %, annualized)
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Figure 4
OVPFs membership base (left axis, in 000), AuM (left axis, in mn euro) and new members growth rate (right axis, in %)
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Figure 5
Trend in age structure of OVPFs in Croatia – growth rate of members under 50 years and members over 50 years old in %
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Table 9
Expected asset allocation of OVPFs in equity and fixed income asset classes (in % of funds’ assets)
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Table 10
Expected asset allocation of OVPFs in Croatian and developed market asset classes (in % of funds’ assets)
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Table 11
The expected returns and volatilities of OVPFs (in %, annualized)
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Figure 6
VPFs net inflow (left axis, in EUR mn), VPFs net inflow pessimistic (left axis, in EUR mn), VPFs net asset value (right axis, in EUR bn) and VPFs net asset value pessimistic (right axis, in EUR bn)
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Figure 7
VPFs Liquidity requirement (left axis, in € mn), VPFs Liquidity requirement pessimistic (left axis, in € mn), share of liquidity requirement in AuM (right axis, in %), share of liquidity requirement pessimistic in AuM (right axis, in %)
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Table 12
Expected liquidity implied asset allocation of OVPFs in asset classes (in % of funds’ assets)
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Table 13
The expected returns and volatilities of OVPFs after liquidity implied reallocations (in %, annualized)
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  June, 2021
II/2021
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