Public Pension Fund Management: Best Practice and International Experience

As Japan's policymakers strive to reform the Government Pension Investment Fund, this paper reviews the core principles and best practices of public pension fund management, with a particular focus on governance and investment philosophy, as distilled from the experience of some of the largest and most advanced institutional investors. It proceeds to compare and contrast three distinct models of institutional fund management: the Norway model, the Yale/Australia Future Fund model, and the Canada model. The paper concludes by making some preliminary recommendations for the Government Pension Investment Fund reform.     

Public Versus Private Savings Rates in LDCs: Please Effects in recent development

Please Effects, first noted in the 1950s, refer to more vigorous tax efforts having an adverse effect on overall savings in LDCs. It is argued here that, by the 1980s, the reforms imposed by conditionality combined with a less forgiving world economy should have led to significant improvements in public savings performances such that Please Effects would no longer be a widely observed phenomenon, and that perhaps even 'reverse' Please Effects might now be observed. Based on a broadly specified cross-country life cycle regression model, and samples ranging from 89 to 93 LDCs, no evidence whatsoever was found for Please Effects in both the 1980s and the 1990s. In fact, our results provided clear evidence for just the opposite, although for tax policy purposes the reverse Please Effects were not found to be especially large. Savings rates would typically rise about 3% for a 10% rise in the tax/GDP ratio. It was concluded that those who would argue for a greater public role in economies that are clearly savings deficient may once again have a case if, as our results indicate, increased taxation to fund social capital accumulation is not at the expense of savings overall.     

Sovereign Wealth in Abu Dhabi

By the turn of the century, oil had already made the tiny emirate of Abu Dhabi rich beyond anyone's wildest dreams. A sovereign wealth fund, the Abu Dhabi Investment Authority (ADIA), has invested extra oil revenues abroad for more than thirty years and amassed a still-growing portfolio worth approximately $750–900 billion. ADIA is widely believed to be the world's largest sovereign wealth fund – indeed the world's largest institutional investor. But Abu Dhabi is not yet a “developed” economy. So, in 2002, the Mubadala Development Company was established as a government-owned investment vehicle. Unlike ADIA's mandate to build and manage a financial portfolio, Mubadala's charge was to develop Abu Dhabi. According to some observers, ADIA was a “sovereign savings fund,” while Mubadala was a government-owned investment firm. Mubadala is supposed to invest the wealth of the emirate in activities that would diversify the economy away from energy and into industry and services. Although each Mubadala investment is supposed to earn large returns, the strategy balances financial against “strategic” returns. ADIA and Mubadala are the institutional architecture to manage the wealth of the Abu Dhabi sovereign.     

Risk aversion and portfolio allocation to mutual fund classes

The major factors affecting fund flows allocated to a range of mutual fund classes bearing different risk–return profiles are studied. The flexible functional form of the Almost Ideal Demand System (AIDS) is applied to identify the major drivers of Greek investors' demand patterns for equity, bond, balanced and money market funds, given the strong growth rates of the domestic fund market and the economy's latest entry into the EMU. An increase in household expenditure is shown to have a positive impact on mutual fund flows. An adverse price impact, however, may erode budget benefits towards a fund class, as the price factor appears to be important. The cross-price effects provide insight on complementarity and substitutability among the mutual fund classes. Variations in investors' risk aversion attitudes affect demand for mutual funds and can result in asset reallocation between the asset classes. The conclusions have useful policy implications particularly to asset fund management and portfolio allocation strategies and can be compared with established mutual fund markets.     

Constant Consumption and the Economic Depreciation of Natural Capital: The Nonautonomous Case

We investigate economic depreciation of natural capital for cases of nonstationary output prices, technology, and interest rates. For the former two cases (exogenous movements in prices and technology), constant consumption emerges under a strategy of investing to cover off economic depreciation. The interest rate case requires a modified sinking fund strategy.     

Local funds and political competition: Evidence from the National Rural Employment Guarantee Scheme in India

The National Rural Employment Guarantee Scheme (NREGS) in India is one of the largest public employment programs in the developing world. It was introduced by the central government led by Indian National Congress (INC). While it's implementation is, in principle, based on demand for work from households, we investigate how political competition affects intra district allocation of funds under the scheme. Using longitudinal data on funds allocated to blocks and elections held for block councils, we find that greater amount of funds were allocated to blocks where INC had lower seat share. Further, we address the issue of endogeneity by focusing on a subsample of blocks where the aggregate vote share of INC was close to that of it's rivals. Our results suggest that 1.5 percentage point more funds were approved for blocks that had 1 percentage point lower seat share for INC. We also provide a mechanism for the effect by showing that the results are only true when the MP of the district, a member of the body that approves the block fund allocation, is from INC.     

Asymmetric contracts,cash flows and risk taking of mutual funds

Fund managers in delegated portfolio management face asymmetries in their compensation contracts and in the fund flows contingent on their funds' performance relative to a benchmark. In this study we investigate the impacts of contract asymmetry and fund flow asymmetry on the risk-taking behavior of open-end funds whose delegation contracts are performance based, and show that their impacts are opposite. When the two asymmetries apply simultaneously, the impact of one on the fund's risk-taking alleviates the impact of the other. Raising the return-sharing ratio cannot make the manager take more risk, but increasing the cash flow volume can. We also show that the tracking-error variance can measure the degree of risk that the fund takes.     

证券投资基金“老鼠仓”问题研究

所谓"老鼠仓"是指庄家在用公有资金拉升股价之前,先用自己个人的资金在低位建仓,待用公有资金拉升到高位后个人仓位率先卖出获利.它实质上是利用内幕信息进行违规的利益输送问题,是一种损害证券投资基金持有人利益的不道德行为.主要针对"老鼠仓"形成的原因进行了分析,并提出构建"老鼠仓"防火墙的对策措施.     

中国私募基金运作机制研究

私募基金是相对于公募的共同基金而言的一种基金类型，这种基金属于一种合伙人制的小型私人投资公司，主要投资于公开交易的证券和衍生金融产品，是一种高风线的投机基金。随着证券市场改革的深入，私募基金面临的环境发生了重大变换，本文从研究美国私募基金运作机制入手，探讨适合中国私募基金运作的机制，以规范和发展我国的私募基金。     

Woodsy the optimal owl: Environmental campaigns, norms, and implications for public goods policy

Norms regarding private provision of a public good (e.g. cutting down on energy use, not littering) can affect the marginal gains from contributing to a public good and therefore people's decisions about contributing to the public good. A model is proposed in which norms of private contributions to a public good can be influenced by public policy, and these norms affect people's self-image, which derives from a comparison of one's own contribution with the norm contribution. In this context, we examine the conditions under which private contributions to a public good are efficient, and the conditions under which policy affecting these norms improves social welfare. We find that (1) a benevolent social planner who fails to account for private provision norms will underprovide the public good, and (2) public policy that attempts to raise the norm contribution of private provision can increase social welfare if the effect of raising the norm does not have an extreme negative effect - either extremely small or extremely large - on peoples' self-image.     

基于公共清算所的个人账户养老基金管理模式研究

在分析个人账户基金管理的委托人职责缺失、管理效率低下、基金保值增值难等问题的基础上.通过对个人账户管理模式和投资决策模式的分析,以及结合产权理论与委托代理理论,构建一种新的个人账户基金管理模式,即公私结合管理模式——中央层面成立公共清算机构负责基金管理,在旗下成立多家个人账户基金投资公司,负责个人账户基金的投资运营.这对养老基金的保值增值以及养老金制度的可持续发展都具有深远意义.     

DOES THE RIGHT TO CHOOSE MATTER FOR DEFINED CONTRIBUTION PLANS?

We find that sensitivity of fund flows and fund performance are both related to participants' right to choose their investments in defined contribution plans. Under the Mandatory Provident Fund system of Hong Kong, both employers and employees are required to contribute to a retirement account. Originally, employees' investment choices were restricted to a subset of funds chosen by their employers. The system was later modified so that employees are allowed to invest in any fund within the system. We present evidence that flows of fund have become more sensitive to past fund performance after this policy change, and that average fund performance in the system has also improved. Based on the improvement in fund performance, we estimate the accumulated cost of the lack of choice to be around 10% of the current total asset value of the system. (JEL G14, G18)     

How big is the Chinese Government debt?

China’s public debt does not provide a meaningful guidance about the government’s overall debt burden, since it also has various forms of contingent liabilities such as shortfalls in the pension fund, debts of local government investment vehicles, and nonperforming loans of the state-owned commercial banks. However, there is no authoritative data on the government’s overall debt burden. In this paper, we try to put together a complete picture by piecing together information available, following a consistent framework. Our results suggest that the Chinese Government’s total debt could be already above 100% of GDP, in contrast to the public debt/GDP ratio of 15.5. Urgent reforms are needed in order to reduce fiscal risks, although risks of debt crisis look small in the short term, given sound balance sheet of the public sector. Local governments’ borrowing without hard budget constraint presents the greatest risk to sustainability of China’s fiscal system.     

Bank-Affiliated Mutual Fund Managers' Trading Patterns of Parent Banks' Stocks: International Evidence

The authors explore factors influencing bank-affiliated funds' decisions to increase their holdings of parent banks' stocks by analyzing survey evidence from 113 fund managers from the United States, Canada, Great Britain, Spain, and Poland. The results suggest that the propensity to buy the controlling banks' equity among financial professionals at the time of the stock market meltdown was shaped rather by the individual taste for their assets as consumption goods than by external pressures by direct superiors or the parent banks' management. Additionally, this predisposition was influenced positively by the fund managers' tendency to herd and fund participants' expectations as well as managers' sensitivity to eventual losses and previous work experience in the owning banks. The major investment segment represented by the fund also seems to be important, with an increasing level of risk acting as the denominator. Overall, this study extends the understanding of behavioral factors in bank-affiliated funds' allocation decision making.     

养老保险个人账户市场化委托管理模式的构建

随着养老保险个人账户加快做实,个人账户运营管理的安全和效率成为做实后的最大挑战。为克服政府主导运营管理模式的弊端,结合个人账户的私有化产权特点和养老保险制度公共性特点,应构建政府管制下的“市场化委托管理模式”。该模式主要特征为：个人账户基金管理委员会和中央担保公司作为个人账户行政主管部门;赋予缴费者自主选择基金公司参与投资权力,以实现个人账户私有产权的效率、专业化分工和共赢目标;通过内部制衡和外部监督保障基金安全。     

WEALTH EFFECT OF PUBLIC FUND INJECTIONS TO AILING BANKS: DO DEFERRED TAX ASSETS AND AUDITING FIRMS MATTER?*

This paper examines the wealth effect on other banks by the public fund injection into Resona Bank. This paper finds that the injection initially conveyed the auditing firms' strict stance towards deferred tax assets. More importantly, the procedure that the government employed was regarded by market participants as a too‐big‐to‐fail policy. Therefore, although the Resona injection was effective in obviating a financial crisis, the policy was inevitably accompanied with the moral hazard problem.     

REEXAMINING THE BORDER TAX EFFECT: A CASE STUDY OF WASHINGTON STATE

Without an income tax, Washington State relies heavily upon its sales tax revenue to fund public goods and services. Bordering Idaho and especially Oregon, where the sales tax is substantially lower, the juxtaposition of the different tax structures generates the border tax effect in Washington's border counties. Controlling for unobservable county‐specific characteristics and spatial autocorrelation, we find that the price elasticity generated by the sales tax discrepancy over the years 1992–2006 is ?3.11. We estimate that elimination of the sales tax differential between Washington and its neighboring states would generate tax revenue in excess of $145 million at the state level and over $21 million at the county level in border counties. (JEL C23, D12, E62, H71)     

风景区公共厕所的设计创新研究 —— 以深圳市中科院仙湖植物园公厕改造为例

随着中国经济的快速提升,休闲旅游产业得到了蓬 勃发展,人们对旅游景区游赏环境及服务配套设施的要求亦日 渐提高,作为衡量一座城市文明指数的重要指标——公厕品质 需要被重新关注。从环境设计学角度出发,以深圳市仙湖植物 园公厕改造为例,从建筑设计的景观性、生态性、透气性,室 内设计的整体性、简洁性、艺术性,设施设备的标准化、国际 化、人性化,以及景区文化特色植入等方面进行研究,分析当 今景区公厕所面临的问题,提出景区公厕应是具有场地精神、 与周边环境相生共荣、功能性极强的景观生态建筑,为当今风 景区公厕建设和改造提供借鉴。     

Modelling superannuation fund management function as a two-stage process for overall and stage-level performance appraisal

We assess superannuation fund performance in a multi-dimensional framework by conceptualizing its management function as a serially linked two sub-process; operational management (OM) and portfolio management (PM). The procedure that we adopt is data envelopment analysis (DEA). We express overall efficiency as a weighted average of the two sub-process efficiencies and assess overall efficiency conditional on their relative importance. We demonstrate application of our model using a sample of Australian superannuation funds. By appraising performance in two sample periods; crisis (2008) and relatively non-crisis (2014), we show that some findings of previous studies may be explained further through the proposed multi-stage framework. The best overall performer in 2008 is public sector funds and in 2014 it is corporate funds. Decomposition of overall efficiency reveals that public sector funds, on average, outperform all other fund categories in OM. However, no specific fund category dominates PM performance in both assessment periods. The driving force behind the observed inverse association between superannuation fund size and performance appears to be PM performance. Number of investment options offered is not associated with overall, OM and PM performance. Here, we demonstrate that performance appraisal from different aspects of management provide insightful information to superannuation fund managers.     

Land Use in the 21st Century: Contributing to the Global Public Good

This paper focuses on the evolution of global public goods related to the world's land resources over the course of the 21st century, their potential impacts on the world's poorest households, as well as prospects for policy interventions aimed at enhancing these outcomes. It begins with global scale projections to 2100 of land use and associated goods and services, including food, fuel, timber, greenhouse gas emissions, carbon sequestration and biodiversity. This is followed by in‐depth discussion of each of these services and the challenges of providing these public goods in sufficient quantities to advance societal welfare—especially that of the world's poorest households. The paper concludes with a discussion of policies aimed at promoting the provision of land‐based public goods and how they could be altered to be more pro‐poor. Within this context, the paper argues that access to geospatial analysis tools and information on climate, land use and tenure, poverty and environmental indicators will become increasingly valuable to both public and private decision makers.