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Saving for the future: Evaluating the sustainability and design of Pension Reserve Funds

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  • Castañeda, Pablo
  • Castro, Rubén
  • Fajnzylber, Eduardo
  • Medina, Juan Pablo
  • Villatoro, Félix

Abstract

In several countries public finances are under pressure by pension obligations rising due to downward trends in fertility, increased longevity and financial markets with low interest rates. For these reasons, the establishment of Pension Reserve Funds (PRF) has flourished. Regardless of the specific objectives that these PRFs may have, a critical issue is to assess their sustainability over the long-run. Moreover, this sustainability analysis is particularly complex, due to the interaction between the macroeconomic environment, financial performance and the labor market.

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  • Castañeda, Pablo & Castro, Rubén & Fajnzylber, Eduardo & Medina, Juan Pablo & Villatoro, Félix, 2021. "Saving for the future: Evaluating the sustainability and design of Pension Reserve Funds," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    • Handle: RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x19305190
    DOI: 10.1016/j.pacfin.2020.101335
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    2. Shin Kimura & Tomoki Kitamura & Kunio Nakashima, 2023. "Investment risk-taking and benefit adequacy under automatic balancing mechanism in the Japanese public pension system," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-19, December.

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    More about this item

    Keywords

    Public pension funds; Pension reserve funds; Sustainability; Risk management; Filtered historical simulation;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • G1 - Financial Economics - - General Financial Markets
    • J1 - Labor and Demographic Economics - - Demographic Economics
    • J3 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs

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