Iterated VaR or CTE measures: A false good idea?

The purpose of this paper is twofold. Firstly, we consider different risk measures in order to determine the solvency capital requirement of a pension fund. Secondly, we illustrate the impact of the time horizon of long-term guarantee products on these capital. We consider a financial market modelled by a common Black–Scholes–Merton model. We neglect the mortality and underwriting risks by assuming that the pension fund is fully hedged against these risks, which allows us to keep understandable and tractable formulæ (the longevity risk will be a part of future researches). A portfolio is built in this market according to different strategies and the pension fund offers a fixed guaranteed rate on a certain time horizon. We begin with well-known static risk measures (value at risk and conditional tail expectation measures) and then we consider their natural dynamic generalization. In order to be time consistent, we consider their iterated versions by a backward iterations scheme. Within the dynamic setting, we show that solvency capital can be expensive and that attention must be paid to the safety level considered.     

Do Managers of U.S. Defined Benefit Pension Plan Sponsors Use Regulatory Freedom Strategically?

We use historical particularities of pension funding law to investigate whether managers of U.S. corporate defined benefit pension plan sponsors strategically use regulatory freedom to lower the reported value of pension liabilities, and hence required cash contributions. For some years, pension plans were required to estimate two liabilities—one with mandated discount rates and mortality assumptions, and another where these could be chosen freely. Using a sample of 11,963 plans, we find that the regulated liability exceeds the unregulated measure by 10% and the difference further increases for underfunded pension plans. Underfunded plans tend to assume substantially higher discount rates and lower life expectancy. The effect persists both in the cross‐section of plans and over time and it serves to reduce cash contributions. We further show that plan sponsor managers use the freed‐up cash for corporate investment and that credit risk is unlikely to explain the finding.     

英国养老金金融化改革的经验和启示

文章梳理了英国养老金制度改革历程,归纳了三个支柱改革的金融化导向及表现,分析了金融化改革对第二、三支柱养老金覆盖率、缴费率、投资收益和基金积累的影响,以及生命周期化投资、养老金债券等金融创新在应对低利率风险、金融危机冲击风险中的作用.基于英国养老金金融化改革经验,结合我国企业年金和个人养老金发展的实际,总结了引入"自动加入"制度、发展集合年金计划、完善税收优惠、推行审慎监管、鼓励养老金生命周期投资创新以及改革基础养老金制度为职业年金和个人养老金金融化改革创造条件等结论和启示.     

“十三五”期间我国经济——能源——环境系统变量发展预测

本文以动态可计算一般均衡模型为基础,2010年投入产出表延长表为基准数据,对“十三五”期间我国经济--能源--环境系统相关变量进行了预测。分析结果显示：“十三五”期间我国经济将实现新常态下的稳定适宜增长,GDP增速保持在65%左右,产业结构进一步优化,第三产业比重明显上升,第二产业明显下降。由于经济增长的原因,能源消费总量与碳排放总量依然较高,但能源消费结构进一步优化,碳排放强度明显降低,节能减排的形势依然比较严峻。     

人口老龄化进程中养老保障的消费增进效应——基于CHARLS数据的研究

利用2013年中国健康与养老追踪调查(CHARLS)数据中的8355个家庭数据,在控制家庭人口特征和家庭经济能力的情况下,分别从家庭消费水平和家庭消费结构两方面考察人口老龄化进程中养老保障对家庭消费的影响。结果显示:养老负担会使家庭人均消费支出明显下降,但是医疗保健方面的消费支出占比会显著提高;参加养老保障会显著提高家庭的人均消费支出,尤其是无养老负担家庭会减少对未来养老的预防性储蓄而增加当期消费,养老保障的消费增进效应明显,但是有养老保障家庭的各项消费支出占比则没有显著的提高或下降。这充分说明养老负担是家庭消费水平难以提高的重要因素,而养老保障是刺激人口老龄化进程中消费增长的有力手段。     

基础养老金统筹层次的收入再分配效应

推动基本养老保险由省级统筹向全国统筹过渡是我国现阶段社会保障制度改革的重心,对于实现经济的公平高效发展具有重要意义。为此,选取2006—2017年全国31个地区的面板数据,以基础养老金省级统筹过渡到全国统筹后,不同地区及不同收入群体间的收入再分配效应为研究对象,从统支视域出发,采用渐进式计发办法预测2041年统筹层次提升后,各地区不同收入群体的基础养老金待遇水平,并结合泰尔指数和离散系数进行比较静态分析,结果发现：养老金统筹层次提升存在着显著的收入再分配效应,但各地区养老金待遇差距与其经济发展水平并无必然联系。     

Do investors misprice components of net periodic pension cost?

We examine whether and how investors misprice the components of net periodic pension cost under SFAS No. 87 and 158. We find that investors appear to have difficulty in understanding the transitory feature of other net periodic pension cost (PPOPCC) and thus overestimate its persistence, which in turn leads to the mispricing of PPOPCC in the pre‐158 period. We also find that SFAS No. 158 appears to reduce the mispricing of PPOPCC, suggesting a positive effect of SFAS No. 158 on investors' valuation of pension items in the income statement. Additional analysis suggests that investors also overestimate the persistence of, and thus misprice, pension‐related cash flows and accruals in the pre‐158 period and that SFAS No. 158 reduces the mispricing of pension‐related cash flows and accruals.     

初始就业状态、工作转换与农民工就业质量变动

有研究认为,工作转换是农民工群体为了提高其就业质量（工资水平）进行的主动选择,而现实中工作转换是否能够有效提升农民工就业质量有待深入考察。利用RUMIC2008—2010面板数据,在区分受雇就业和自营就业的基础上,进一步控制工作转换前的就业状态,考察工作转换对农民工就业质量变动的影响,分析表明：工作转换对农民工就业质量变动的影响与其转换前的就业状态有关,转换前就业质量越高,转换后就业质量提升空间越有限,工作转换对原本处于低质量就业状态的农民工的就业质量有更大的提升作用;参加养老了保险以及有固定或长期劳动合同的受雇就业者在工作转换中处于不利地位,相对于未转换者,工作转换反而使其就业质量变差。     

海洋空间利用年度计划内涵研究与制度框架构建

海洋空间利用年度计划是自然资源部基于其国土空间用途管制职责提出的海洋空间资源管理新思路。基于当前海洋资源管理面临问题、生态文明体制改革要求以及空间资源计划管理经验,研究并提出海洋空间利用计划的内涵;并在此基础上,提出了海洋空间利用年度计划的构建原则、目标和制度体系。通过以上研究,拟为海洋空间利用年度计划制度的建立和实施提供技术支撑和决策支持。     

宁夏重点研发计划体系改革和运行机制优化研究

应用数据统计分析、文本分析等研究方法,采用实地查看、专家咨询、单独访谈、会议询问等调研方式,结合电话访谈、邮件咨询,对2017—2018年度立项在研的宁夏重点研发计划重大和重点项目运行成效和运行机制开展研究,总结宁夏重点研发计划的运行成效,深入分析重点研发计划的运行中存在的关键问题,并对重点研发计划体系改革和运行机制优化提出了有针对性、可操作性的建议,为进一步推动"放管服"改革、提升科技计划运行效能、全面落实创新驱动战略提供了方向.