Outstanding paper award for Prof. Annette Vissing-Jørgensen

Prof. Annette Vissing-Jørgensen has been honored by the Swiss Finance Institute with its Outstanding Paper Award 2019 for “The Impact of Pensions and Insurance on Global Yield Curves”.

The prize recognizes an unpublished research paper expected to make an outstanding contribution to the field of finance. The paper, co-authored by Robin Greenwood of Harvard Business School, investigates the destabilizing impact that pension discount rules have on bond markets. 

The researchers used the dramatic impact that the global financial crisis had on the solvency of pension funds and insurance companies around the world as a starting point to investigate the impact of reduction in interest rates on the present value of pension and insurance companies. Empirical results, using data from 26 countries, show that countries with larger private pension systems tend to have lower yield spreads on long maturity bonds, the spread between the yield on 30-year and 10-year government debt, and that these results hold despite vast differences in the structure of pension systems around the world. Their results suggest that pension discount rules can have a destabilizing impact on bond markets that reverses once rules are changed.

The researchers are invited to present their paper in Switzerland in June.