Primena ALM (Asset-liability management) investicionog okvira u penzijskim fondovima
Автор: Luković Stevan, Fedajev Aleksandra
Журнал: Ekonomski signali @esignali
Статья в выпуске: 1 vol.14, 2019 года.
Бесплатный доступ
Penzijski fondovi se, u savremenim uslovima poslovanja, suočavaju sa mnogobrojnim rizicima u vođenju investicione politike. U takvim uslovima, u upravljanju portfolijom penzijskog fonda je neophodno korišćenje integrisanog pristupa, uz uvažavanje preuzetih penzijskih obaveza kao ključnog elementa finansijske stabilnosti penzijskog fonda. U radu je izvršena analiza ALM (Asset-liability management) investicionog okvira kao jednog od mehanizama za upravljanje finansijskim rizicima. Primenom ALM investicionog okvira menadžeri penzijskih fondova mogu da sagledaju moguće efekte implementacije različitih politika iz različitih perspektiva što pruža osnovu za donošenje adekvatnih strateških investicionih odluka.
ALM investicioni okvir, penzijski fondovi, strateška alokacija sredstava, investicione strategije
Короткий адрес: https://sciup.org/170204095
IDR: 170204095 | DOI: 10.5937/ekonsig1901023L
Список литературы Primena ALM (Asset-liability management) investicionog okvira u penzijskim fondovima
- Arize, A.C., Malindretos, J., Nam, K. (2005) Inflation and structural change in 50 developing countries. Atlantic Economic Journal, 33, 461-71
- Arize, A.C., Malindretos, J. (2012) Nonstationarity and nonlinearity in inflation rate: Some further evidence. Int. Rev. Econ. Financ, 24, 224-234
- Bos, C.S., Franses, P.H., Ooms, M. (1999) Long memory and level shifts: Re-analyzing inflation rates. Empirical Economics, 24, 427-49
- Brunner, A.D., Hess, G.D. (1993) Are higher levels of inflation less predictable?: A state-dependent conditional heteroscedasticity approach. Journal of Business & Economic Statistics, 11(2): 187-97
- Cecchetti, S., Debelle, G. (2006) Has the inflation process changed?. Econ. Policy, 21, 311-352
- Charemza, W.W., Hristova, D., Burridge, P. (2005) Is inflation stationary?. Applied Economics, 37, 901-3
- Culver, S.E., Papell, D.H. (1997) Is there a unit root in the inflation rate?: Evidence from sequential break and panel data models. J. Appl. Econ, 12, 435-444
- Dickey, D.A., Fuller, W.A. (1981) Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, Vol. 49, No. 4, 1057-1072
- Harvey, D.I., Leybourne, S.J., Xiao, B. (2008) A powerful test for linearity when the order of integration is unknown. Studies in Nonlinear Dynamics and Econometrics: Regime-Switching Models in Economics and Finance, 12(3), 1-24
- Henry, O.T., Shields, K. (2004) Is there a unit root in inflation?. Journal of Macroeconomics, 26, 481-500
- Huang, K., Liu, Z. (2005) Inflation targeting: What inflation rate to target?. Journal of Monetary Economics, 52(8), 1435-62
- International Monetary Fund (2019) IMF International Financial Statistics. Washington, DC, https://data.imf.org
- Kapetanios, G., Shin, Y., Snell, A. (2003) Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112(2): 359-379
- Lee, H.Y., Wu, J.L. (2001) Mean reversion of inflation rates: Evidence from 13 OECD countries. Journal of Macroeconomics, 23, 477-87
- Lee, J., Strazicich, M.C. (2003) Minimum Lagrange multiplier unit root test with two structural breaks. Review of Economics and Statistics, 85(4): 1082-1089
- Narayan, P.K., Popp, S. (2011) An application of a new seasonal unit root test to inflation. Int. Rev. Econ. Financ, 20, 707-716
- Nelson, C.R., Plosser, C.I. (1982) Trends and random walks in macroeconomic time series: Some evidence and implications. Journal of Monetary Economics, 10, 139-162
- Nymoen, R., Swensen, A.R., Tveter, E. (2012) Interpreting the evidence for New Keynesian models of inflation dynamics. J. Macroecon, 34, 253-263
- Omay, T., Hasanov, M. (2010) The effects of inflation uncertainty on interest rates: A nonlinear approach. Appl. Econ, 42, 2941-2955
- Perron, P. (1989) The great crash, the oil price shock, and the unit root hypothesis. Econometrica, vol. 57, (6), 1361-1401
- Romero-Ávila, D., Usabiaga, C. (2009) The hypothesis of a unit root in OECD inflation revisited. J. Econ. Bus, 61, 153-161
- Sollis, R. (2009) A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries. Economic Modelling, Vol. 26, No. 1, 118-125
- Yoon, G. (2003) The time series behaviour of Brazilian inflation rate: New evidence from unit root tests with good size and power. Applied Economics Letters, 10, 627-31
- Zivot, E., Andrews, D.W.K. (1992) Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business & Economic Statistics, 10(3): 251-270
