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来源类型Working Paper
规范类型报告
DOI10.3386/w18491
来源IDWorking Paper 18491
Linking Benefits to Investment Performance in US Public Pension Systems
Robert Novy-Marx; Joshua D. Rauh
发表日期2012-10-25
出版年2012
语种英语
摘要This paper calculates the effect that introducing risk-sharing during either retirement or the working life would have on public sector pension liabilities. We begin by considering the introduction of a variable annuity for the retirement phase, modeled on the Wisconsin Retirement System, in which positive benefit adjustments are granted only if asset returns surpass 5% but benefits cannot fall below their initial levels. This change would reduce unfunded accrued liabilities by around 25%, and would lower the annual contribution increases required to target full funding in 30 years by 11%. If there is no minimum benefit guarantee, the impact of introducing variable annuities is substantially larger: the unfunded liability would fall by over half and required annual contribution increases would fall by 44%. Alternative measures that have similar effects on costs include increasing employee contributions by 10.3% of pay while keeping benefits unchanged; or giving employees a collective DC plan with an employer contribution of 10% of pay for future service. We discuss these results in the context of models of lifecycle portfolio choice, which suggest that employees should generally prefer to take risk earlier in their lives rather than later.
主题Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Public Economics ; Taxation ; National Fiscal Issues ; Subnational Fiscal Issues
URLhttps://www.nber.org/papers/w18491
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/576166
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GB/T 7714
Robert Novy-Marx,Joshua D. Rauh. Linking Benefits to Investment Performance in US Public Pension Systems. 2012.
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