Pension Research Centre (PeRCent)

Publications

Publications by PeRCent members

 

Journal articles

 

2019

Housing Decision with Divorce Risk, Marcel Fischer; Natalia Khorunchina, International Economic Review, forthcoming
DOI: https://doi.org/10.1111/iere.12385

Betting Against Correlation: Testing Theories of the Low-Risk Effect, Clifford S. Asness; Andrea Frazzini; Niels Joachim Gormsen; Lasse Heje Pedersen, Journal of Financial Economics, fortcoming
DOI: 
http://dx.doi.org/10.2139/ssrn.2913508

Generational Differences in Managing Personal Finances, Bruce Carlin; Arna Olufsson; Michaela Pagel, American Economic Review, 109, 54-59
DOI: 10.1257/pandp.20191011

Predictors and Portfolios over the Life Cycle, Holger Kraft; Claus MunkFarina Weiss, Journal of Banking and Finance, 100, 1-27
DOI: 
http://dx.doi.org/10.2139/ssrn.2787568

Fiscal Frameworks in Europe: Editorial Introduction, Svend E. Hougaard Jensen, European Journal of Political Economy, 57, 1-2
DOI: https://doi.org/10.1016/j.ejpoleco.2019.02.008

2018

Global Economic Growth and Expected Returns Around the World: The End-of-the-Year Effect, Stig V. Møller; Jesper Rangvid, Management Science, 64(2), 573-591
DOI: https://doi.org/10.1287/mnsc.2016.2589

Buffett's Alpha, Andrea Franzzini; David Kabiller; Lasse Heje Pedersen, Financial Analyst Journal, 74(4), 35-55
DOI: http://dx.doi.org/10.2139/ssrn.3197185

Sharpening the Arithmetic of Active Management, Lasse Heje Pedersen, Financial Analyst Journal, 74, 21-36
DOI: http://dx.doi.org/10.2139/ssrn.2849071

The Liquid Hand-to-Mouth: Evidence From Personal Finance Management Software, Bruce Carlin; Arna Olufsson; Michaela Pagel, The Review of Financial Studies, 31(11), 4398-4446
DOI: https://doi.org/10.1093/rfs/hhy055

Sustainable Fiscal Strategies under Changing Demographics, Andrew Hughes Hallett; Thorsteinn Sigurdur Sveinsson; Filipe Vieira; Svend E. Hougaard Jensen, European Journal of Political Economy, 57, 34-52
DOI: https://doi.org/10.1016/j.ejpoleco.2018.07.003

The Golden Rule of Longevity, Marias H. Gestsson; Gylfi Zoega, Maroeconomic Dynamics, 23, 384-419
DOI: https://doi.org/10.1017/S1365100516001371

Micro-level Estimation of Optimal Comsumption Choice with Intertemporal Nonseparability in Preferences and Measurement Errors, Waine-Roy Gayle; Natalia Khorunchina, Journal of Business and Economic Statistics, 36, 227-238
DOI: http://dx.doi.org/10.2139/ssrn.1431093

Total Factor Productivity Convergence in German States Since Reunification: Evidence and Explanations, Michael C. Burda; Battista Severgnini, Journal of Comparative Economics, 46, 192-211
DOI: https://doi.org/10.1016/j.jce.2017.04.002

European Policy and Markets: Did Policy Initiatives Stem the Sovereign Debt Crisis in the Euro Area?, Michael Bergman, Svend E. Hougaars Jensen; Michael M. Hutchison, European Journal of Political Economy, 57, 3-21
DOI: https://doi.org/10.1016/j.ejpoleco.2018.06.003

Intergenerational Conflict and Public Sector Size and Structure: A Rationale for Debt Limits, Torben M. AndersenEuropean Journal of Political Economy, 57, 70-88
DOI: https://doi.org/10.1016/j.ejpoleco.2018.07.005

Do Tax Incentives for Saving in Pension Accounts Cause Debt Accumulation? Evidence from Danish Register Data, Henrik Yde AndersenEuropean Economic Review, 106, 35-53
DOI: https://doi.org/10.1016/j.euroecorev.2018.04.007

The debt tax shield in general equilibrium, Marcel Fischer; Bjarne Astrup Jensen, Journal of Banking & Finance, 100, 151-166
DOI: https://doi.org/10.1016/j.jbankfin.2018.12.014

Housing Habits and Their Implications for Life-Cycle Consumption and Investment, Claus Munk; Holger Kraft; Sebastian Wagner, Review of Finance, 22(5), 1737-1762
DOI: http://dx.doi.org/10.2139/ssrn.2568518

Efficiently Inefficient Markets for Assets and Asset Management, Nicolae Garleanu; Lasse Heje Pedersen, Journal of Finance, 73(4), 1663-1712
DOI: http://dx.doi.org/10.2139/ssrn.2641770

2017

The Intergenerational Welfare State and the Rise and Fall of Pay-As-You-Go Pensions, Torben M. Andersen; Joydeep Bhattacharya, The Economic Journal, 127, 896-923
DOI: http://dx.doi.org/10.2139/ssrn.2651160

The First Difference Property of the Present Value Operator, Stephen A. Buser; Bjarne Astrup Jensen, Quarterly Journal of Finance, 7(4)
DOI: https://doi.org/10.1142/S2010139217500124

Taxable and tax-deferred investing with the limited use of losses, Marcel Fischer; Michael Gallmeyer, Review of Finance, 21(5), 1847-1873
DOI: http://dx.doi.org/10.1093/rof/rfw047

The First Difference Property of the Present Value Operator, Stephen A. Buser; Bjarne Astrup Jensen, Quarterly Journal of Finance, 7(4)
DOI: https://doi.org/10.1142/S2010139217500124

Consumption Habits and Humps, Claus Munk; Holger Kraft; Frank Seifried; Sebastian Wagner, Economic Theory, 64(2), 305-330
DOI: 
http://dx.doi.org/10.2139/ssrn.2259613

2016

Promoting Sustainable Public Finances in the European Union: The Role of Fiscal Rules and Government Efficiency, Michael Bergman; Svend E. Hougaard Jensen; Michael M. Hutchison, European Journal of Political Economy, 44, 1-19
DOI: https://doi.org/10.1016/j.ejpoleco.2016.04.005

Longevity, Growth, and Intergenerational Equity: The Deterministic Case, Torben M. Andersen; Marias H. Gestsson, Maroeconomic Dynamics, 20(4), 985-1021
DOI: https://doi.org/10.1017/S1365100514000716

Robustness of the Danish Pension System, Torben M. Andersen, CESifo DICE Report, 13, 25-30
Link: www.ifo.de/DocDL/dice-report-2015-2-andersen-pension-june.pdf

Heuristic Portfolio Trading Rules with Capital Gain Taxes, Marcel Fischer; Michael Gallmeyer, Journal of Financial Economics, 119(3), 611-625
DOI: https://doi.org/10.1016/j.jfineco.2016.01.024

How suboptimal are linear sharing rules?, Bjarne Astrup Jensen; Jørgen Aase Nielsen, Annals of Finance12(2), 221-243
DOI: http://dx.doi.org/10.1007/s10436-016-0279-3

Growth-Maximizing Public Debt under Changing Demographics, Nikola Bokan; Andrew Hughes HalletSvend E. Hougaard JensenMacroeconomic Dynamics, 20(6), 1640-1651
DOI: http://dx.doi.org/10.1017/S1365100514000947

Dynamic Portfolio Choice with Frictions, Nicolae Garleanu; Lasse Heje Pedersen, Journal of Economic Theory, 165, 487-516
DOI: https://doi.org/10.1016/j.jet.2016.06.001

 

2015

Taxation, Transfer Income and Stock Market Participation, Marcel Fischer; Bjarne Astrup JensenReview of Finance, 19(2), 823-863
DOI: http://dx.doi.org/10.1093/rof/rfu008

The Fiscal Framework in a Currency Union: Lessons from Comparison between the Euro Area and the Eastern Caribbean Currency Union, Svend E. Hougaard Jensen; Andrew Hughes Hallett, The World Economy, 39(6), 803-823
DOI: http://dx.doi.org/10.1111/twec.12359

Real Business-cycle Model with Habits: Empirical Investigation, Natalia KhorunzhinaEconomic Modelling, 46(4) , 61-69
DOI: http://dx.doi.org/10.1016/j.econmod.2014.12.020

Ambiguity Aversion, Asset Prices, and the Welfare Costs of Aggregate Fluctuations, Irasema Alonso; Mauricio PradoJournal of Economic Dynamics and Control, 51(2), 78-92
DOI: http://dx.doi.org/10.1016/j.jedc.2014.09.039

End-of-the-Year Economic Growth and Time-varying Expected Returns, Stig V. Møller; Jesper RangvidJournal of Financial Economics, 115(1), 136-154
DOI: http://dx.doi.org/10.1016/j.jfineco.2014.08.006

Product-Marketing Innovation, Skills, and Firm Productivity Growth, Martin Junge; Battista Severgnini; Anders Sørensen, Review of Income and Wealth, 62(4), 724-754
DOI: http://dx.doi.org/10.1111/roiw.12192

The Impact of Classroom Peers in a Streaming System, Arna VardardottirEconomics of Education Review, 49, 110–128
DOI: http://dx.doi.org/10.1016/j.econedurev.2015.09.002

Competing Risks Copula Models for Unemployment Duration: An Application to a German Hartz Reform, Simon M. S. Lo; Gesine Stephan; Ralf WilkeJournal of Econometric Methods, 6(1)
DOI: http://dx.doi.org/10.1515/jem-2015-0005

2014

Understanding the Effects of Marriage and Divorce on Financial Investments: The Role of Background Risk Sharing. Charlotte Christiansen; Juanna Schröter Joensen; Jesper Rangvid, Economic Inquiry, 53(1), 431-447
DOI: http://dx.doi.org/10.1111/ecin.12113

Books and book chapters

 

2018

How Should Pensions be Taxed? Theoretical Considerations and the Scandinavian Experience, Torben M. Andersen. In: The Taxation of Pensions. MIT Press, 2018
Link: 
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2719518

2017

Fiscal Policy in the Scandinavian Countries, Michael Bergman; Svend E. Hougaard Jensen; Øystein Thøgersen. In: The Routledge Handbook of Scandinavian Politics. Taylor & Francis/Routledge, 2017

Arbejdsmarkedpensioner og (U)lighed, Torben M. Andersen. In: Økonomisk ulighed i Danmark. Djøf Forlag, 2017

2016

Measurement and Effectiveness of National Fiscal Rules and Governance in the European Union, Michael Bergman; Svend E. Hougaard Jensen; Michael M. Hutchison. In: Makropolitik i Kris. Knut Wicksells Centrum för Finansvetenskap, Lunds Universitet, 2016
Link: https://www.researchgate.net/publication/313658879_Measurement_and_Effectiveness_of_National_Fiscal_Rules_and_Governance_in_the_European_Union

2015

What Scope for Monetary Policy? Experiences from the Nordic Countries After the Financial Crisis, Jesper RangvidIn: Reform Capacity and Macroeconomic Performance in the Nordic Countries. Oxford: Oxford University Press 2015, p. 131-135
Link: http://research.cbs.dk/en/publications/uuid(2309f7e3-5532-4a90-a33f-19e97e02727a).html

How to Avoid a Darkening Debt Storm in the Caribbean: Lessons From the Banking Union Framework in the Euro Area, Andrew Hughes Hallett; Svend E. Hougaard Jensen. In: Fiscal Policy: International Aspects, Short and Long-Term Challenges and Macroeconomic Effects. ed. /Charles Amo-Yartey. New York: Nova Science Publishers, Incorporated 2015, pp. 173-195
Link: research.cbs.dk/en/publications/how-to-avoid-a-darkening-debt-storm-in-the-caribbean(11970cd2-f5d8-4221-93f0-f4ac014b9035).html

Reform Capacity and Macroeconomic Performance in the Nordic Countries, Torben M. Andersen; Ulf Michael Bergman; Svend E. Hougaard Jensen. Oxford: Oxford University Press 2015, 365 p.
Link: http://research.cbs.dk/en/publications/reform-capacity-and-macroeconomic-performance-in-the-nordic-countries(49945af0-8f5f-4942-aecf-a209a9a8f060).html

Macroeconomic Perspectives on the Nordic Economies: Past, Present, and Future, Torben M. Andersen; Ulf Michael Bergman; Svend E. Hougaard JensenIn: Reform Capacity and Macroeconomic Performance in the Nordic Countries. Oxford: Oxford University Press 2015, p. 1-25
Link: http://research.cbs.dk/en/publications/uuid(b0371aa0-178a-4999-a168-69762cfac468).html

Shaping the Fiscal Policy Framework: Lessons from Fiscal Consolidations in Denmark and Sweden, Ulf Michael Bergman; Michael M. Hutchison; Svend E. Hougaard JensenIn: Reform Capacity and Macroeconomic Performance in the Nordic Countries. Oxford : Oxford University Press 2015, p. 219-242
Link: http://research.cbs.dk/en/publications/uuid(24dff066-bf53-4cb1-bcb4-c6ccd20e6e29).html

Iceland. How Could This Happen?, Søren Bo NielsenIn: Reform Capacity and Macroeconomic Performance in the Nordic Countries. Oxford : Oxford University Press 2015, p. 349-352
Link: http://research.cbs.dk/en/publications/uuid(d7012e82-2e21-404e-b432-de076b96c5d3).html

Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined, Lasse Heje PedersenPrinceton, NJ: Princeton University Press 2015, 348 p.
Link: http://research.cbs.dk/en/publications/uuid(122bf48f-7452-472e-a922-8c59bf908d51).html

Genoa and Venice : Traders of Prosperity, Growth, and Death. Lars Boerner; Battista SevergniniIn: Union in Separation Diasporic Groups and Identities in the Eastern Mediterranean (1100-1800). Rome: Viella 2015, p. 105-122 (Viella Historical Research, No. 1)
Link: research.cbs.dk/en/publications/uuid(74352deb-f9c7-4b5e-b1b5-e12a346b4f5b).html 

Quantile Regression Methods, Bernd Fitzenberger; Ralf Andreas WilkeIn: Emerging Trends in the Social and Behavioral Sciences: An Interdisciplinary, Searchable, and Linkable Resource. Wiley 2015
DOI: http://dx.doi.org/10.1002/9781118900772.etrds0269

Publications (Danish)

 

2018

Nye samfundsforudsætninger: Baggrund, niveau og konsekvenser for pensionsprognoser, Claus Munk; Jesper Rangvid; Finans/Invest, 6, 6-14

2017

Boligkøb, låne- og indskudsrenter samt forbrugsplanlægning, Michael Møller; Niels C. Nielsen, Finans/Invest, 5, 25-31

2015

Supplerende pensionsopsparing: Anbefalinger og gode råd til, hvordan du sammensætter din supplerende pensionsopsparing, Tom Engsted; Michael Møller; Mogens Steffensen, October 2015
PDF: http://www.raadtilpenge.dk/~/media/PPP/Forskerrapporter/Anbefalinger%20om%20supplerende%20pensionsopsparing.ashx

Den nordjyske bankkrigBjarne Florentsen; Michael Møller; Claus Parum, Finans/Invest, No. 1, 2015, p. 5-12, 20
Link: http://research.cbs.dk/en/publications/uuid(f128ebdb-59c0-41fd-8453-b27e22f1c2bb).html

Presset på kronen: En højst usædvanlig situation som rejser højst usædvanlige spørgsmål. Jesper RangvidFinans/Invest, No. 2, 2015, p. 6-9, 23
Link: research.cbs.dk/en/publications/uuid(217dfe9d-44f3-4a22-bd81-eefc3dc3eaef).html

The page was last edited by: Department of Finance // 07/10/2019