Corporate Cross‐Holdings of Equity, Leverage and Pensions: Simulation and Empirical Evidence from the UK
研究固定收益型公司养老金如何放大股票市场共同冲击的影响，识别并评估了养老金资产中的股权交叉持股和养老金负债导致的杠杆这两个放大渠道，利用英国FTSE 350公司的周度数据证实了这些效应的统计显著性。
This article examines the role of defined benefit company pensions in amplifying the effect of common shocks to companies' stock market valuations. It identifies and evaluates the significance of two channels of amplification: cross-holdings of equities in pension scheme assets and leverage induced by pension liabilities. Econometric analysis of weekly stock market data for a sample of FTSE 350 UK companies confirm that these effects are statistically significant and robust to outlying observations. Copyright 2006 Bank of England.