The Pension Protection Fund*

We develop a model of the Pension Protection Fund (PPF), a defined benefit pension guarantee system for the UK, based on an analogy between pension liabilities and corporate debt obligations. We show that the PPF is likely to face many years of low claims interspersed irregularly with periods of very large claims. There is a significant chance that these claims will be so large that the PPF will default on its liabilities, leaving the government with no option but to bail it out. The cause of this problem is the double impact of a fall in equity prices on the PPF: it makes sponsor firms more likely to default and it makes defaulted plans more likely to be underfunded. We use our model to derive a fair premium for PPF insurance under different circumstances, to estimate the extent of cross‐subsidies in the PPF between strong and weak sponsors, and to show that risk‐rated premiums are unlikely to have a substantial effect on either the size or the lumpiness of claims. We argue that for the PPF to operate effectively, it should be introduced in tandem with strong minimum funding requirements and a lower level of benefit guarantee than at present.     

CalPERS基金运作机制及对我国企业年金的借鉴

本文研究了美国最大的公共养老基金——加利福尼亚州公共雇员养老基金（CalPERS）的运作机制，包括治理横式、参与公司治理以及投资组台构成等，分析了CalPERS的改革动向及其含义，提出了强化我国企业年金理事会职责，改革企业年金理事会成员构成、引入外部独立理事、积极参与公司治理、投资组合多样化等政策主张。     

Correlation and the Pension Protection Fund*

In this paper, I use a stochastic approach to model the effect that correlations between pension scheme assets and firm values should have on the premiums chargeable by the Pension Protection Fund. In particular, I look at the effect on the aggregate premium that should be charged considering a representative universe of companies and their pension schemes. I find that ignoring the correlations, even if the volatility of pension scheme assets is allowed for, leads to potentially serious underestimation of the aggregate premium due.     

Pension Wealth Uncertainty

Using a representative sample of Italian investors, we measure the uncertainty of social security benefits by eliciting for each individual the subjective distribution of the replacement rate as a summary indicator of pension uncertainty. We find that pension uncertainty varies across individuals in a way that is consistent with what one would expect a priori, given different information sets and pension schemes. In particular, individuals who are a long way from retirement, and thus face more career uncertainty, report more subjective pension uncertainty. Since expectations reveal information about people's understanding of pension reforms, our findings suggest that they should also be an important determinant of how people respond to reforms.     

基于行业差异的企业年金最优个人缴费率研究

借助于两期叠代模型,构建个人效用函数以及政府社会福利函数,测算满足个人生命周期效用最大化和社会福利最大化的最优企业年金个人缴费率.研究表明:全社会最优的年金个人缴费率为6.40％,当前费率水平还有较大提升空间;按各行业最优缴费率征缴年金费用,可以提高年金制度的养老保障程度;把过剩的年金缴费能力转移给个人账户,可以实现帕累托优化效果;给予年金个人缴费5％的税收优惠,可以鼓励和加快年金制度发展.     

The Impact of DC Pension Systems on Population Dynamics

Abstract

This study investigates the risk inherent in defined contribution (DC) pension plans on an individual and aggregate basis, based on U.S. data. Our aim is to gain insight into the consequences of a DC pension scheme becoming the predominant pillar of retirement income for an entire society. Using the stochastic simulated output of a DC flexible age-of-retirement model, we first determine the optimal investment strategies. We then examine the demographic retirement dynamics of an entire population of DC pension plan participants.

We observe that even for the most risk-averse plan members there is a high level of uncertainty in an individual’s age at retirement. At the aggregate population level, we find that this uncertainty does not get dampened to any great extent by a diversification effect. Instead, the central role played by the market in determining retirement dates results in significant variation in the dependency ratio (the ratio of retirees to workers) over time. In addition, an attempt to ameliorate the outcome by introducing additional realistic features in the DC population modeling did little to dampen this volatility, which suggests that countries dominated by DC schemes of this type may, over time, be exposed to significant risk in the size of its labor force.     

Pension Benefit Security: A Comparison of Solvency Requirements,a Pension Guarantee Fund,and Sponsor Support

Developed countries apply different security mechanisms in regulation to protect pension benefits: solvency requirements, a pension guarantee fund (PGF), and sponsor support. We compare these mechanisms for a generalized form of hybrid pension schemes. We calculate the expected log return for the beneficiaries, the shortfall probability, that is, the likelihood of the pension payment falling below the promised level and the expected loss given shortfall. Comparing solvency requirements to a pension guarantee system or sponsor support involves trading off risk and return. Additional spending on default insurance reduces the shortfall probability and the expected loss given shortfall but also lowers the probability of high positive returns as are feasible under solvency requirements.     

Income Drawdown Schemes for a Defined-Contribution Pension Plan

In retirement a pensioner must often decide how much money to withdraw from a pension fund, how to invest the remaining funds, and whether to purchase an annuity. These decisions are addressed here by introducing a number of income drawdown schemes, which are relevant to a defined-contribution personal pension plan. The optimal asset allocation is defined so that it minimizes the expected loss of the pensioner as measured by the performance of the pension fund against a benchmark. Two benchmarks are considered: a risk-free investment and the price of an annuity. The fair-value income drawdown rate is defined so that the fund performance is a martingale under the objective measure. Annuitization is recommended if the expected fair-value drawdown rate falls below the annuity rate available at retirement. As an illustration, the annuitization age is calculated for a Gompertz mortality distribution function and a power law loss function.     

对当前我国缓征遗产税的思考

近年来,随着我国经济的迅速发展,富人阶层队伍逐步壮大,贫富差距不断扩大,征收遗产税的呼声不绝于耳。最近财政部表示,近期没有征收遗产税的计划。但这一话题远未尘埃落定,各方的争论仍在进行。本文具体分析了开征遗产税的利弊,并从美国近年来关于遗产税的争议中得到一些启示,认为开征该税种的确应审慎进行,只有具备好相应的条件,才能发挥遗产税的社会经济功能。     

浅析我国衍生金融工具所得性质、数量、时间的认定

衍生金融工具所得课税问题是一个国际难题。本文分别从衍生金融工具所得性质的认定、所得数量的认定、所得时间的认定三个方面展开阐述,分析了国际通行的做法,并联系我国实际对衍生金融工具所得课税进行了探讨。     

Restructuring economic and financial power : The potential role of a foreign exchange-transaction levy

National fiscal and monetary policies are dominated by financial markets, and the obsession of these markets with inflation is forcing governments to neglect other crucial economic and social goals such as growth of employment and reduction of poverty. Exchange rate volatility also adds to business costs and risk. Introduction of a small international levy on foreign exchange transactions would reduce short-term speculation and so the power of the markets to influence interest rates and to destabilize exchange rates. Revenue from the levy would be of benefit to both national governments and the UN for disaster relief, development and strengthened security programmes. Support for the levy is growing.     

The Long-run Effects of the Italian Pension Reforms

The paper analysesthe reforms of the Italian mandatory pension scheme for employeeslegislated in the 1990s. To assess the effects of the reforms,a microsimulation model calibrated on cross-section data is developed.The model is aimed at estimating the average income of a memberof a cohort, as well as the average per capita income of allindividuals alive in a given year. The long-run effects of thereform are analysed, comparing the characteristics of alternativefinancing schemes. A substantial improvement of the equity aswell as the long-run sustainability of the Italian public pensionschemes emerges. However, the dreary demographic scenario callsfor further tightening of eligibility rules sometime in the nextdecades if long-run sustainability of public debt is to be achieved.On the basis of sensitivity analysis, some changes aimed at hedgingthe system against unexpected shocks are suggested.     

The Cost of Pension Insurance

This article estimates the cost of the federal pension insurance program. Pension insurance claims have an important market‐risk component, which means that the cost of the exposure cannot be estimated by discounting future claims by the risk‐free rate. Moreover, owing to the complexity of the insurance contract, its price cannot be estimated with known options formulas without introducing an error of nonquantifiable magnitude. To circumvent these problems, we model the insurance program in its full complexity and use a Monte Carlo method. By hedging the exposure with a dynamic premium policy that offloads the market risk to the insureds, one can calculate the risk‐free, or actuarial, cost of that policy. One can also characterize the nature of the subsidy and its structure across insured plans. Finally, we provide an estimate of the implicit cost of the hedge function that taxpayers currently are providing for zero remuneration. The model shows that simple contingent claims models of pension insurance result in a price that is about triple the true market cost of the insurance, and that pension insurance models that ignore market risk understate the cost by half. The solution demonstrates the broad characteristics that might characterize a credible private‐sector version of pension insurance.     

Supplementary Pension Coverage in Britain

The 1986 Social Security Act introduced far-reaching changes to the supplementary pension environment in Britain, encouraging the growth of defined contribution pension plans and especially personal pensions. This paper examines the pattern of supplementary pension coverage of employees in Britain five years after the implementation of the Act, using cross-sectional data from the Family Resources Survey 1993–94. Two-thirds of employees in Britain are covered by private contracted-out pension scheme. Employer-provided defined benefit pension schemes remain the dominant type of supplementary pension scheme. The growth of personal pension plans is more marked among manual, less-skilled, workers in smaller establishments. The paper concludes that, in the absence of further pension reform, adverse labour market conditions will exert downward pressure on private pension coverage. JEL classification:I38, J32, J38.     

物业税开征的先决条件之一:房地产产权制度的改革与完善

明晰的房地产产权关系以及相应完善的管理制度是开征物业税不可缺少的重要条件。本文探讨了物业税与房地产产权管理的一般关系,针对我国房地产产权管理现状存在的问题,提出了开展房地产产权登记普查、逐步统一城乡房地产产权管理制度等政策建议。     

A Wealth Tax on the Rich to Bring Down Public Debt? Revenue and Distributional Effects of a Capital Levy in Germany

The idea of higher wealth taxes to finance the mounting public debt in the wake of the financial crisis is gaining ground in several OECD countries. We evaluate the revenue and distributional effects of a one‐time capital levy on personal net wealth that is currently on the political agenda in Germany. We use survey data from the German Socio‐Economic Panel (SOEP) and estimate the net wealth distribution at the very top, based on publicly‐available information about very rich Germans. Since net wealth is strongly concentrated, the capital levy could raise substantial revenue, even if relatively high personal allowances are granted. We also analyse the compliance and administrative costs of the capital levy.     

开征社会保障税需要继续推进工资制度的货币化改革

开征社会保障税是完善我国社会保障制度、加速我国全面建设小康社会进程的有效途径。继续推进现行工资制度的货币化改革是有效地开征社会保障税的前提。应从以下几方面进行工资制度货币化改革:统一思想,提高认识;将公务员特别是领导干部的职务消费作为推进工资货币化的突破口;将现行工资性收入中的非货币性奖金、福利、实物转化为货币。     

Pension Funds and the U.K. Economy

Abstract

The paper considers the impact of U.K. defined benefit (DB) pension plan unding and investment on the U.K. economy. It suggests that many conventional theories are based on incomplete or inconsistent economics. In particular, the author suggests that:

? An economy cannot really gain competitive advantage from high returns on the domestic assets in which pension funds invest.

? DB liabilities are essentially similar for most schemes and can be closely matched with bonds.

? Funding pension liabilities has no primary impact on individuals’ consumption and saving or on firms’ capital investment.

? Pension funds are not natural investors in the equity of new ventures.

The conclusion of the paper is that the most significant impact of pension funds on the U.K. economy relates to the costs imposed by extreme mismatching between their financial assets and liabilities. The author argues that such risks can, in essence, “crowd out” entrepreneurial risk. He asserts that the U.K. economy would gain from greater focus on the matching of these assets and liabilities, and that the best way to stimulate enterprise is by eliminating the frictional costs in the economy arising from current practices.     

Public pension fund ownership and firm performance

Equity ownership by public pension funds (PPFs) is widely used in the literature (see, e.g., Cremers and Nair 2005; Dittmar and Mahrt-Smith 2007) as a measure of the strength of shareholder monitoring/governance. This paper raises caution on such practices by illustrating an inverted-U shape relationship between PPF ownership and firms’ future performance, measured by stock returns and operating performance: during 1985–2005, future performance first increases, then declines in aggregate equity ownership by PPFs. Our results suggest that PPFs’ presence is consistent with shareholder value maximization when they have moderate influence on firm management, whereas excessive PPF ownership may facilitate PPF managers’ pursuits of political interests and destroy shareholder value. Therefore, it is important to impose an upper bound to PPF ownership when measuring the strength of shareholder monitoring/governance.     

Local Taxes and Capital Structure Choice

This paper investigates the question of taxation and capital structure choice in Germany. Germany represents an excellent case study for investigating the question of whether and to what extent taxes influence the debt-equity decision of firms, because the relative tax burdens on debt and equity vary greatly across communities. German communities levy local taxes on profits and long-term debt payments in addition to personal and corporate taxes on the federal level. A stylized model is presented incorporating these taxes. The model shows that local taxes create substantial incentives for firms to use debt financing. Furthermore, the paper empirically investigates the effect of local business taxes on the share of debt used to finance incremental investments by German firms. I find that local taxes significantly influence the capital structure choice of firms, controlling for a large number of other factors. In an extensive sensitivity analysis the tax effect are found to be robust across several different specifications.