Does Risk Aversion Matter for Foreign Asset Holdings of Pension Funds – The Case of Poland

In this study we explore the issue of foreign assets in mandatory pension funds portfolios. First we provide an overview of the regulatory policies regarding international assets and indicate the externalitieswhich may account for the observed differences among the CEE states. Then, taking the perspective of portfolio theory, we run a simulation study to measure the diversification benefits that may be achieved by greater international asset allocation. By applying the specific constraints and exchange rate volatility to our optimization procedure, the study reflects the perspective of the Polish pensioner. However, the findings regarding risk aversion intensity and the discussed directions of further research should be of a universal character.W artykule podjęto zagadnienie inwestycji w aktywa zagraniczne dokonywanych przez fundusze emerytalne. W części pierwszej opracowania dokonano przeglądu polityk nadzorczych oraz wskazano efekty zewnętrzne inwestycji zagranicznych, które mogą odpowiadać za obserwowane różnice w regulacjach pomiędzy krajami Europy Środkowo-Wschodniej. Następnie wykorzystując teorię portfela przeprowadzono symulacje mające na celu oszacowanie korzyści dywersyfikacyjnych, jakie mogłyby zostać osiągnięte poprzez wyższy udziałaktywów zagranicznych. Stosując specyficzne ograniczenia oraz biorąc pod uwagę zmienność kursu walutowego, zaprezentowane badanie oddaje perspektywę członka polskiego funduszu emerytalnego. Z drugiej strony, wnioski dotyczące stopnia awersji do ryzyka oraz wskazane kierunki dla dalszych badań powinny mieć charakter uniwersalny

Stocks, Commodities and Business Cycle Fluctuations – Seeking the Diversification Benefits

In this study we empirically verify the diversification potential of different commodity sectors for equity portfolios. We also try to find the explanation of varying cross-sectoral diversification benefits by verifying the relationship between macroeconomic variables and commodity indices. We employ correlation analysis for our purposes. The obtained results indicate that Precious Metal and Livestock are valuable equity portfolio diversifiers, while Industrial Metals volatility has much in common with the fluctuations of broad stock market

Do they beat the market in the new regulatory environment–the case of Polish pension funds

In this study, we attempt to verify if the funds constituting the (quasi)mandatory capital pillar of the Polish pension system outperformed the market in the 2014–2016 period. This research objective was raised a few times in the past, but nowadays it gains a new context. In our research the sample starts at the moment when a set of regulations was implemented to facilitate competition among funds, which should further translate into improved portfolio results. Analysing the monthly data, we employ the Performance Change Measurement approach of Grinblatt and Titman (1993) to address the question of the investment outcomes. Despite the fact that the relatively short period is verified, we do not find any convincing proof of the superior portfolio performance under the new regulatory framework. Consequently, we argue that further changes should be oriented toward fund fee reduction rather than motivating managers to greater analytical effort

Monetary Union Accession and the Severity of Potential Asymmetric Shocks - the Case of Lithuania and Poland

Monetary union accession generates benefits and costs for the entering countries. According to the seminal paper by Mundell (1961), the possible costs are usually associated with the asymmetric shocks that might take place. Under the currency union regime, these asymmetric shocks can be no longer neutralized by the countryspecific monetary policy tools, hence the flexibility of the economy is desirable.In this article, we employ the measure of business cycles correlation proposed by Artis and Zhang (1995) as well as labor market statistics to examine how easy the economies of Lithuania and Poland can adjust to asymmetric shocks in comparison to some other EU countries. Discussing the empirical results, we propose recommendations for economic policy that might help to fulfil the conditions of the Optimum Currency Area