However,sincetheseanticipatedreturnsarelong-term,theyshouldhavesmallvariationovertime.27 Moreover,weinclude
yearfixedeffectsinallofourspecifications,whichreducetheinfluenceofnotallowingforinter-temporalvariation.In
robustnesstests,weuseanalternativemeasurebasedontheaverageexpectedreturnassumptionforcorporatepension
plans toallowforinter-temporaldifferencesintheexpectedinvestmentreturnassumptions.Theresultsofthesetestsare
similar tothosereportedinthepaper.
The secondelementofourdecomposition,ASSET_OVSTMT,isequaltothedifferencebetweenthesmoothedvalueof
pension assetsusedintheactuarialvaluationandthemarketvalueofpensionassets.TheGASBrules,whichallowforthe
amortization ofinvestmentgainsandlossesovertime,providestateswiththeabilitytochangeamortizationapproachesto
provideimmediatebudgetrelief.Wenotethatthesediscretionarychangesareusuallyconfinedtoperiodsimmediately
followingasignificantstockmarketboomordecline,28 and thusarelikelytohavethemostimpactduringperiodsoffiscal
distressorwellbeing.
The finalelement,LIAB_UNDSTMT_RULE,isequaltothedifferencebetweenourestimateofthediscretion-freepension
liability andthepensionliabilitycalculatedusingtheTreasuryyields.UsingtheTreasuryyieldstodiscountthepension
liability isreasonableinthatpromisedpensionbenefitsareprotectedbystateconstitutionsanditislegallydifficult(ifnot
impossible) tobreakthispromise.However,inrobustnesstests,weinvestigatewhetherourresultsaresensitivetotheuse
of eitherAacorporatebondratesorstategeneralobligation(GO)bondyieldsasalternativediscountrates.Tocalculatethe
appropriaterateforeachplan,wematchthediscountratetothedurationofthepensionplan.29 When wecannotfinda
perfect match,weinterpolatetheyieldsbetweenthetwoclosestmaturities.30
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Maar sincetheseanticipatedreturnsarelong termyn, theyshouldhavesmallvariationovertime.27. Tothosereportedinthepaper. Die Secondelementofourdecomposition, ASSET_OVSTMT, Isequaltothedifferencebetweenthesmoothedvalueof Pension. en Thusarelikelytohavethemostimpactduringperiodsoffiscal Distressorwellbeing. Die Tobreakthispromise.However, Inrobustnesstests, Weinvestigatewhetherourresultsaresensitivetotheuse van Wanneer Wecannotfinda Perfect Match, Weinterpolatetheyieldsbetweenthetwoclosestmaturities.30
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