DEFINED CONTRIBUTION PLANS, DEFINED BENEFIT PLANS, AND THE ACCUMULATION OF RETIREMENT WEALTH

The private pension structure in the United States, once dominated by defined benefit (DB) plans, is currently divided between defined contribution (DC) and DB plans. Wealth accumulation in DC plans depends on a participant's contribution behavior and on financial market returns, while accumulation in DB plans is sensitive to a participant's labor market experience and to plan parameters. This paper simulates the distribution of retirement wealth under representative DB and DC plans. It uses data from the Health and Retirement Study (HRS) to explore how asset returns, earnings histories, and retirement plan characteristics contribute to the variation in retirement wealth outcomes. We simulate DC plan accumulation by randomly assigning individuals a share of wages that they and their employer contribute to the plan. We consider several possible asset allocation strategies, with asset returns drawn from the historical return distribution. Our DB plan simulations draw earnings histories from the HRS, and randomly assign each individual a pension plan drawn from a sample of large private and public defined benefit plans. The simulations yield distributions of both DC and DB wealth at retirement. Average retirement wealth accruals under current DC plans exceed average accruals under private sector DB plans, although DC plans are also more likely to generate very low retirement wealth outcomes. The comparison of current DC plans with more generous public sector DB plans is less definitive, because public sector DB plans are more generous on average than their private sector DB counterparts.     

THE DISSAVING OF ANNUITY WEALTH AND MARKETABLE WEALTH IN RETIREMENT

This paper compares the automatic dissaving of annuity wealth with the discretionary dissaving of marketable wealth that would result from life-cycle consumption behavior by retired persons. In simulations of a life-cycle model based on the isoelastic utility function and realistic parameter values, we find that marketable wealth normally would be dissaved more rapidly than annuity wealth. This suggests that empirical findings that show the opposite relation-slow dissaving of marketable wealth being accompanied by faster dissaving of annuity wealth (or total wealth)-should not be interpreted as evidence that supports the life-cycle theory.     

景气循环下不动产市场对金融控股 公司股价回报之影响*

本文主要目的在于调查中国台湾地区景气循环变化对于金融产业股价回报的影响,同时引入不动产市场因子进行分析,研究对象将2003年1月至2011年6月中国台湾证券交易市场所有上市银行类股作为研究样本。与过去研究不同,本文进一步划分公司群体为金控与非金控公司进行探讨。实证结果显示在景气扩张时期,因为投资人普遍追求短期房价获利的投机心理,因此,呈现出不动产市场活动效果不显著的现象。反之,在资金成本与房市购买意愿变化下,不动产市场状况与金控公司具有反向的关联。此外,当市场处于景气扩张时期时,金融产业的动量效应较为明显,显现市场投资人较易存在不理性的投资行为,倾向于持有现货进行投机行为,故动量效应在景气扩张时期较衰退时期的效果大。在货币市场方面,当市场处景气扩张时,非金控公司具有负向的利率敏感性,但金控公司则未达统计的显著水平。     

THE EFFECTS OF MACROECONOMIC FLUCTUATIONS ON THE DISTRIBUTION OF INCOME*

This study develops a microanalytic simulation model to examine the effects of macroeconomic fluctuations on the distribution on the distribution of income. A representational sample of the population of the United States is linked with equations determining the variability of various types of factor income. Each family's income experience is simulated under alternative aggregate conditions, and the income distributions arising under these conditions are compared. The main results are similar for alternative specifications of the model. The incidence of a downturn in economic activity, whether accompanied by changes in the rate of inflation or not, and measured in terms of the loss of factor income, leaves the upper middle class relatively better off than before and leaves most others relatively worse off. The very rich bear the heaviest burden.     

THE WEALTH EFFECTS OF INCOME INSURANCE

Precautionary savings models suggest that wealth should rise with income risk. Risk is reduced by means-tested transfers, however, which implies that transfer programs should discourage private wealth accumulation. We offer a comprehensive empirical assessment based on variation across states in the generosity of a number of programs, specifically unemployment insurance and means-tested transfers (Aid to Families with Dependent Children and Food Stamps). We use monthly data on married couples from the Survey of Income and Program Participation (SIPP) to regress wealth on income, income risk, and various measures of transfer generosity. The results support the precaution-ary savings model and reveal moderate negative wealth effects of both unemployment insurance and means-tested transfers, with an elasticity of about −0.18.     

EFFICIENCY OF THE TAIWAN STOCK MARKET*

This study uses two popular technical trading rules to assess whether the gradual liberalization of Taiwan's securities markets has improved the efficiency of its stock market. The results show that the two rules have considerable predictive power for 1983–1990, they become less predictive for 1991–1997, and they cannot predict the market for 1998–2005. These results indicate that the efficiency of Taiwan stock market has been greatly enhanced by the liberalization measures implemented over the last 20 years.     

非流通股对股票市场和上市公司的影响

本文构造了一个股票市场均衡模型来分析非流通股的存在对中国股票市场和上市公司的影响。我们发现非流通股的存在,使得股票市场价格发现机制扭曲,一方面使得股票价格不能真实地反映上市公司的经营绩效,另一方面使得流通股市场的股价波动与流通股比例密切相关。而且从我们的实证分析证实,非流通股比例越高,流通股市场的股价波动就越大,股票价格中含有的非流通股的放大作用越大,非流通股的存在也会影响经理人员的激励和报酬水平。     

RETIREMENT INCOME RIGHTS AS A COMPONENT OF WEALTH IN THE UNITED STATES*

Americans have accumulated a considerable amount of future purchasing power in the form of Social Security and employer pension rights. These rights are a form of wealth. In this paper, we ask how their inclusion alters the wealth portfolios of a sample of Americans at or nearing normal retirement age. Data from the 1973 wave of the longitudinal Retirement History Study suggest that, for many Americans, retirement income rights are the dominant component of wealth, and are often more important than all other entries combined, including home equity. We also find that this wealth can be seriously eroded during times of high inflation. Because of differences in marketability, pension and Social Security rights are not perfect substitutes for more liquid assets. Nonetheless, since they are so large in magnitude, and have been shown to be key determinants of the behavior of older workers, they should not be ignored.     

THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*

It is shown that the reaction of U.S. real stock returns to an oil price shock differs greatly depending on whether the change in the price of oil is driven by demand or supply shocks in the oil market. The demand and supply shocks driving the global crude oil market jointly account for 22% of the long‐run variation in U.S. real stock returns. The responses of industry‐specific U.S. stock returns to demand and supply shocks in the crude oil market are consistent with accounts of the transmission of oil price shocks that emphasize the reduction in domestic final demand.     

A NEW LOOK AT THE WEALTH ADEQUACY OF OLDER U.S. HOUSEHOLDS

We examine the current wealth adequacy of older U.S. households using the 1998–2006 waves of the Health and Retirement Study (HRS). We find that the median older U.S. household is reasonably well situated, with a ratio of comprehensive net wealth to present value poverty‐line wealth of about 3.9 in 2006. About 18 percent of households, however, have less wealth than would be needed to generate 150 percent of poverty‐line income over their expected future lifetimes. We see similar patterns of wealth adequacy when we examine ratios of annualized comprehensive wealth to pre‐retirement earnings. Comparing the leading edge of the baby boomers in 2006 to households of the same age in 1998, we find that the baby boomers show slightly less wealth, in real terms, than their elders did, but still appear to have adequate resources at the median. Moreover, we find a rising age profile of annualized wealth, even within households over time and after controlling for other factors, suggesting that older households are not spending their wealth as quickly as their survival probabilities are falling.     

THE ACCUMULATION OF HOUSEHOLD WEALTH OVER THE LIFE-CYCLE: A MICRODATA ANALYSIS*

In this paper, I investigate the validity of the Modigliani-Brumberg (M-B) model as an explanation of the variation of wealth holdings among households. The model as such, even with the inclusion of estimates of household lifetime earnings, explains only a minute portion of the variation in household wealth. Indeed, for certain groups such as non-white, rural residents, and the low educated, the coefficients of the regression model are insignificant. Moreover, when the top wealth holders are removed from the sample and when non-cash financial and business assets are eliminated from the household portfolios, the explanatory power of the M-B model increases markedly. Essentially, the validity of life-cycle wealth accumulation models must be restricted to the white, urban, educated middle classes and their accumulation of housing, durables, and cash. The rich have very different motives for saving and very different sources of saving, while the poor do not earn sufficient income over their lifetime to accumulate any non-negligible wealth.     

THE IMPACT OF BEQUESTS ON LIFETIME WEALTH ACCUMULATION: AN ECONOMETRIC STUDY OF TWO GENERATIONS OF RURAL HOUSEHOLDS IN INDIA

Using retrospective data on bequest receipts and wealth over two generations of rural Indian households, we have estimated the effect of bequest receipts on the lifetime wealth accumulation of recipients. We exploit the availability of data on two generations of the same household by estimating a family fixed effects model that controls for unobserved, intergenerationally-persistent household endowments. Our results suggest an adverse impact of bequest receipts on the wealth accumulation of recipients. This effect is much more negative for the current generation of household heads than for the previous generation, indicating that the disincentive effects associated with bequest receipts have increased substantially over a generation. Such disincentive effects are consistent with the commonly-observed phenomenon of "regression to the mean." The empirical results also show that the positive association between schooling and wealth accumulation has strengthened substantially over the course of a generation, implying rising returns to schooling.     

中国农民工消费市场解读——金字塔底层的财富

理解、把握并满足中国农民工消费市场的需求对于经济发展方式的转变、商业模式的创新、贫困人口的消除、城乡二元结构的缓解都具有重要意义。本文认为,农民工消费决定于"经济效应"和"身份效应"两种机制,前者主要影响他们的私人消费,后者则影响他们的集体消费或福利消费状况。依据2010年上海农民工的调查情况,笔者描述了该消费市场的人群特征、消费结构和消费种类,并总结出相应的消费特征。文章最后指出商业机构应该重视这些金字塔底层的消费者和规模巨大的财富。     

我国股票发行制度变迁及若干思考

股票发行是资本市场的核心环节之一。本文从制度变迁的角度考察了我国股票市场发展的特定背景,总结分析了股票发行制度从额度制到核准制的演变、相关制度的特点、利弊及其市场化改革的成效。研究发现,我国转轨经济环境、市场文化和市场流动性问题是进一步改革股票发行制度需要重点考虑的因素。     

全流通进程中的中国股市全收益率研究

全流通作为现阶段中国股市结构调整的核心,对股市整体收益有负面冲击,然而调整越早,负面冲击越小。交易税费、公司分红和新筹资金对全收益率的贡献随着全流通的推进有所变化,但是新筹资金对于收益分布始终具有决定性影响。     

中国股票市场对政策信息的不平衡性反应研究

本文将影响股票市场的政策信息区分为"好消息"和"坏消息"。通过 EGARCH 模型研究中国股票市场对"好消息"与"坏消息"的不平衡性反应,指出"好消息"对我国股票市场的影响大于"坏消息"的影响,这与国外股票市场的情况正好相反。根据这一结果本文创建了"信息效应曲线",具体分析我国股票市场对"好消息"与"坏消息"的不平衡性反应的特征,提出现有交易机制下的股价波动模式。     

THE DISTRIBUTIONAL EFFECTS OF THE 1969–75 INFLATION ON HOLDINGS OF HOUSEHOLD WEALTH IN THE UNITED STATES*

Using a simple simulation model, this paper assesses the impact of relative movements in asset prices on the distribution of wealth during the 1969–75 period. Because of the strong negative correlation between wealth level and the ratio of debt to wealth, this particular inflation induced a substantial drop in the overall level of wealth inequality. Moreover, comparing the portfolios of different demographic groups, we found that middle-aged households gained relatively to younger and older ones, married couples gained relatively to singles, whites gained relatively to non-whites, and home-owners gained relatively to renters. The biggest gainers from this inflation were home-owners with large mortgages and the biggest losers the large stock holders.     

THE WELFARE EFFECTS OF PAY-AS-YOU-GO RETIREMENT PROGRAMS: THE ROLE OF TAX AND BENEFIT TIMING

It is well known that pay-as-you-go retirement programs reduce steady-state welfare and the capital stock in dynamically efficient overlapping generation (OLG) economies. The common two-period OLG model obscures, however, the relationship between the magnitude of these effects and the ages at which taxes are paid and benefits received. Program changes that shift taxes to older workers or benefits to younger retirees have effects similar to reductions in program size, yielding steady-state welfare gains and increases in capital accumulation while imposing transition costs on current generations. This analysis has policy implications for both tax and benefit timing . ( JEL H55, E62)