[discount_rates_problem] [base_data]

For UK alone, I have looked at 8 different financial statistics series, covering all-share equities, long conventional gilts and long index-linked gilts. Each had a return over 1 year and a yield, making 6 so far. In addition, I have 2 inflation series, over 1 year and over 15 years, making 8 in all. As RPI has a longer true data series than for CPI or CPIH, I have stuck with RPI.

The financials have been modelled annually from end-1953 until end-2014 and until end-2018. For the latter, I have split the values between “early [<1985]” and “later [> 1984]”. More details are here.

The attached PDF file (extracted from the SIAS presentation on 03 December 2019) shows that the impact from adding 4 years to the experience was not huge. However, the two periods were markedly different.