The relationship between financial asset returns and demographic variables:evidence from international data

• Ano de defesa: 2024
• Autor(a) principal: Arantes, Manuel Vieira Siqueira de
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: eng
• Instituição de defesa: Biblioteca Digitais de Teses e Dissertações da USP
• Palavras-chave em Português: Asset meltdown; Correlações de longo prazo; Demografia; Demographics; Derretimento de ativos; Hipótese do ciclo de vida; Life cycle hypothesis; Long-run correlations
• Link de acesso: https://www.teses.usp.br/teses/disponiveis/12/12138/tde-14052024-161752/

In this study, our objective is to empirically explore the relationship between demographic variables and the returns of short-term treasury bills, long-term government bonds, and equity. We have access to a panel dataset covering 21 developed economies, spanning, for most countries, from 1900 to 2018. Utilizing both the original data and the low-frequency filter developed by Muller and Watson (Econometrica, 2018), we estimate the above-mentioned relationship through long-term correlations and fixed-effects regressions. Both the correlations and regressions suggest a negative relationship between short-term treasury bill returns and the proportion of the population aged 40 to 64 years old, between 1950 and 2018. The relationship between the middle-aged population and government bonds exhibits inconclusive results. The middle-aged population also does not seem to be correlated with equity returns. There are no significant results for the elderly population. Finally, for the long sample period (1900 - 2018), there are no jointly significant results for correlations and regressions.