IDEAS home Printed from https://ideas.repec.org/a/taf/repsxx/v9y2021i2p186-216.html
   My bibliography  Save this article

Asset–liability models and the Chinese basic pension fund

Author

Listed:
  • Zucheng Zhao
  • Charles Sutcliffe

Abstract

Pillar 1B (individual accounts) of the Chinese basic pension fund (BPF) have suffered from substantial underfunding due to a series of challenges such as rising longevity, conservative investment policies, and the fragmentation of the pension system. Using an asset–liability model (ALM), we investigate the effects of the pre-2015 and post-2015 limits, as well as no limits, on asset allocations. We also investigate the likely effect on investment performance of transferring the pillar 1B funds to the Council of National Social Security Fund (NSSF) and raising the retirement age to 65. We find that an ALM is superior to an assets-only analysis, and removing the limits on investment in domestic assets (but not foreign assets) would be beneficial, as would transferring the assets to the NSSF and raising the retirement age. Finally, the official notional rate on individual accounts should be set at a realistic level.

Suggested Citation

  • Zucheng Zhao & Charles Sutcliffe, 2021. "Asset–liability models and the Chinese basic pension fund," Economic and Political Studies, Taylor & Francis Journals, vol. 9(2), pages 186-216, April.
    • Handle: RePEc:taf:repsxx:v:9:y:2021:i:2:p:186-216
    DOI: 10.1080/20954816.2020.1793497
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/20954816.2020.1793497
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/20954816.2020.1793497?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:repsxx:v:9:y:2021:i:2:p:186-216. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/reps .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.