Pension Liquidity Risk

• 成果类型: Article; Early Access
• 署名作者: Jansen, Kristy A. E.; Klingler, Sven; Ranaldo, Angelo; Duijm, Patty
• 署名单位: University of Southern California; Centre for Economic Policy Research - UK; Frankfurt School Finance & Management; University of Basel; Swiss Finance Institute (SFI); European Central Bank; De Nederlandsche Bank NV
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhag068
• 发表日期: 2026-08-17
• 关键词: E43; G12; G18; demand curves; Investment behavior; asset allocation; CRISIS; stocks; liabilities; duration; prices

摘要

Pension funds use interest rate swaps to hedge the interest rate risk arising from their liabilities. Analyzing regulatory data on Dutch pension funds, we show that pension funds with worse funding ratios, indicating greater fragility, use swaps more aggressively. These swap positions expose pension funds to the risk of margin calls, which can exceed 6% of their total assets, when interest rates rise. Pension funds respond to realized margin calls by selling safe government bonds with medium-term maturities. This procyclical selling behavior adversely affects the prices of the sold bonds and thereby exposes pension funds to market liquidity risk.