Page 340 - Contributed Paper Session (CPS) - Volume 7

CPS2120 Grażyna Trzpiot et al.
Real Estate Fund -0.91
LE65 0.85
LE birth 0.94
IBEX35 0.96
EUR/PLN -0.65
EUR/USD - - -
Cumulative Var 0.44 0.68 0.82
Source: own calculations
For Spain (tab. 2) the first component has been the highest loadings with
variables that reflect elderly needs and longevity. Thus, this component has
been identified as long-term standard of living. This can be supported by
noting that the factor loadings associated with long-term care expenditures,
REER and real estate fund are negative. The second component has shown to
be a strong indicator of longevity risk related with GDP, gross savings,
unemployment rate and long-tern expenditures. This component has been
clustered with standard of living and long-term investments risk factors. The
last component explains 14% of total variance and has been positively loaded
with IBEX35 returns and negatively – with EUR to PLN exchange rate. It would
be associated with financial market risk.

Table 3. Risk factor loads of principal components: Poland
Variable F1 F2 F3
Old Age Dependence Ratio 0.86
GDP 0.89
Gross Saving 0.77
CPI 0.72
Long-term Care Expenditures -0.84
Long-term Government Bond Yields -0.91
REER 0.80
Unemployment Rate - - -
Dividend Fund 0.92
Real Estate Fund -0.97
LE65 0.95
LE birth 0.95
WIG20 0.88
EUR/PLN -0.81
EUR/USD - - -
Cumulative Var 0.54 0.77 0.87
Source: own calculations
For Poland (tab. 3) the first component has been loaded with variables related
with increasing life expectancy as well as economic well-being and explains

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