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Overzicht pensioenonderzoek 2006

Economische aspecten en consequenties

  • CPB
    • Casper van Ewijk e.a., Ageing and the Sustainability of Dutch Public Finances, (Bijzondere Publicatie 61)
      De vergrijzing van de Nederlandse bevolking brengt de houdbaarheid van de openbare financiën in gevaar. De verdubbeling van de verhouding tussen het aantal gepensioneerden en het aantal werkenden verstoort de balans tussen uitgaven en belastingopbrengsten. De stijging van uitgaven aan AOW en gezondheidszorg overtreft immers de stijging van belastingopbrengsten. Budgettaire hervormingen zijn dan ook nodig om te voorkomen dat toekomstige generaties worden genoodzaakt belastingen te verhogen dan wel op publieke uitgaven te bezuinigen.
      Hervormingen op het vlak van de sociale zekerheid van de laatste jaren zijn een stap in de goede richting, maar onvoldoende. Met name de daling van de kapitaalmarktrente en het vermogensverlies bij pensioenfondsen hebben de houdbaarheid van de openbare financiën verslechterd. De effecten die hervormingen uitoefenen op de intergenerationele balans zijn van belang voor de vraag welke verdere hervormingen het meest gewenst zijn.

  • DNB, www.dnb.nl
    • Annamaria Lusardi en Olivia S. Mitchell, Financial Literacy and Planning: Implications for Retirement Wellbeing, DNB Working papers nr 078 - januari 2006
      Evidence suggests only a minority of American households feels "confident" about retirement saving adequacy. Little is known about why people fail to plan for retirement, and whether planning and information costs might affect retirement saving patterns. To better understand these issues, we devised and fielded a purpose-built module on planning and financial literacy for the 2004 Health and Retirement Study (HRS). This module measures how workers make their saving decisions, how they collect the information for making these decisions, and whether they possess the financial literacy needed to make these decisions. Our analysis shows that financial illiteracy is widespread among older Americans: only half of the age 50+ respondents could correctly answer two simple questions regarding interest compounding and inflation, and only one-third understood these as well as stock market risk. Women, minorities, and those without a college degree were particularly at risk of displaying low financial knowledge. We also evaluate whether people tried to figure out how much they need to save for retirement, whether they devised a plan, and whether they succeeded at the plan. In fact, these calculations prove to be difficult: fewer than one-third of our age 50+ respondents ever tried to devise a retirement plan, and only two-thirds of those who tried, actually claim to have succeeded. Overall, fewer than one - fifth of the respondents believed that they engaged in successful retirement planning. We also find that financial knowledge and planning are clearly interrelated: those who displayed financial knowledge were more likely to plan and to succeed in their planning. Moreover, those who did plan were more likely to rely on formal planning methods such as retirement calculators, retirement seminars, and financial experts, and less likely to rely on family/relatives or co-workers.

    • Arthur van Soest, Arie Kapteyn and Julie Zissimopoulos, Using Stated Preferences Data to Analyze Preferences for Full and Partial Retirement, DNB Working papers nr 081, januari 2006
      Structural models explaining retirement decisions of individuals or households in an inter-temporal setting are typically hard to estimate using data on actual retirement decisions, because choice sets are complicated and uncertain and for a large part unobserved by the researcher. This paper describes an experiment in which both perceived retirement opportunities and preferences for retirement are measured. For the latter, respondents evaluate how attractive they find a number of hypothetical, simplified, retirement trajectories involving early retirement, late retirement, and gradual retirement, each with its own corresponding income path. The questions were fielded in the Dutch CentERpanel. The answers are used to estimate a stylized structural life-cycle model of retirement preferences. The results suggest that, for example, many respondents could be convinced to work part-time after age 65 before retiring completely at age 70 for a reasonable financial compensation. Simulations combining the information on perceived opportunities with estimated preferences also illustrate the importance of employer imposed restrictions on retirement and the scope for increasing labor force participation of the elderly by creating opportunities for gradual retirement.

    • Dirk Broeders, Valuation of Conditional Pension Liabilities and Guarantees under Sponsor Vulnerabilities, DNB Working papers nr 082, januari 2006
      This paper analyzes the relationship between a pension fund with conditionally indexed de.ned benefit liabilities and its sponsor, using contingent claims analysis. As pension funds run a mismatch risk, future surpluses and shortfalls will occur. Surpluses are divided between beneficiaries and sponsor through conditional indexation and refunding. Covering an eventual loss at the pension fund level is a function of the sponsor's financial ability to do so. This paper suggests that this system creates an asymmetric allocation of the residual risk between sponsor and beneficiaries. The main conclusion is that the sponsor's vulnerability negatively impacts the optimum risk profile of a defined benefit scheme with conditional indexation and thereby the market value of conditional indexation.

    • Jacob A. Bikker en Peter J.G. Vlaar, Conditional Indexation in Defined Benefit Pension Plans, DNB Working papers nr 086, februari 2006
      In the Netherlands, the typical pension contract nowadays comprises an average earnings defined benefit pension in which only nominal benefits are guaranteed, but with the intention to provide wage indexation. In the new supervisory regime, the guaranteed pension rights, based on market valuation, are subject to risk-based solvency requirements. Provisioning is not required for conditional pension rights, though contributions have to be consistent with the indexation ambition, as communicated with the participants. This paper analyses to what extent indexation is indeed likely, given different indexation and contribution policies. Thereby, it explains how intergenerational risk sharing in defined benefit pension plans can provide a reasonable insurance of pension benefits against wage or price inflation. Moreover, it illustrates the tenability of defined benefit pension plans under ageing, the new fair-value accounting regimes, and possible volatility on financial markets. The analysis is based on a stochastic Pension Asset and Liability Model for the Netherlands (PALMNET). According to the PALMNET simulations, voluntary provisioning for indexation is to be recommended. Without reserving, indexation cuts may be severe and the solvency requirements incidentally lead to extreme premiums. Fully guaranteed indexation is virtually unaffordable under the new supervisory regime, because the real discount rate is generally both very low and volatile.

    • nr 123 - Term Structure Modeling for Pension Funds:What to do in Practice? Peter Vlaar  (PDF: 1,6 Mb)
      With the increased emphasis on market valuation in accounting rules and solvency regulation, the proper modeling of interest rate dynamics has become increasingly important for pension funds. A number of pension fund characteristics make these models particularly demanding. First, as the obligations of pension funds stretch far into the future, the model should be reasonable both for short rates and very long term rates. Second, as the value of liabilities increases enormously if interest rates approach zero, especially the probability of very low rates should be modeled correctly. Third, as pension rights are usually indexed, the interaction between interest rates and inflation should be addressed. Fourth, in order to allow for long term analysis, the simulation results should preferably be stationary. Fifth, account has to be taken to possible structural breaks in the inflation and interest rate dynamics, if only to comply with maximum return assumptions of supervisors. In this paper we present a new a_ne discrete-time, three-factor model of the term structure of interest rates that meets these criteria. The factors are the short term rate, expected inflation and stochastic risk aversion. The model is applied to an unbalanced panel of German/euro area zero-coupon yields for maturities of one to sixty years, and estimated using the extended Kalman filter. Keywords: Discrete time, no-arbitrage, expected inflation, stochastic risk aversion, stochastic volatility, generalized essentially a_ne model. JEL codes: E34, G13. 
    • nr 115 - Do changes in pension incentives affect retirement? A stated preferences approach to Dutch retirement consideration
      Allard Bruinshoofd en Sybille Grob
      (PDF: 843,8 Kb)
      The empirical connection between financial incentives and retirement decisions largely derives from revealed preferences in cross-sectional settings. This raises the issue to what extent unobserved tastes for retirement – which may correlate with job selection and through that route with financial incentives – play a role and can be controlled for. Using a stated rather than a revealed preferences approach, we contribute to this debate. Fielding a survey questionnaire in the Dutch DNB Household Survey we derive empirical estimates of pension adjustment and pension wealth effects. Our main finding is that retrenchments of pension arrangements to the effect of raising the standard retirement age by 1 year induce people on average to postpone retirement by about half a year. Retirement postponement varies across people, depending prominently on earnings and non-pension wealth; affluent people are more likely to capitalize on increased pension wealth through earlier retirement, whereas they more readily accept a lower pension benefit in case of a decrease in pension wealth. JEL classification: D12; D80; J26Keywords: (Early) retirement; Financial incentives; Survey results

    • nr 109 - Pension fund efficiency: the impact of scale, governance and plan design
      Jacob A. Bikker, Jan de Dreu
       (PDF: 1,0 Mb)
      Administrative and investment costs per participant appear to vary widely across pension funds. These costs are important because they reduce the rate of return on the investments of pension funds and consequently raise the cost of retirement security. This paper examines the impact of determinants of these costs, such as the size, governance, pension plan design and outsourcing decisions, using data on all Dutch pension funds across the 1992-2004 period, including more than 10,000 observations. We find that economies of scale dominate the strong dispersion in both administrative and investment costs across pension funds. Industry-wide pension funds are significantly more efficient than company funds and other funds. The operating costs of pension funds’ defined contribution plans are lower than those of defined benefit plans. Higher shares of pensioners make funds more costly, whereas the reverse is true when relatively many participants are inactive. JEL Classification Codes: D61, G14, G23, H55; Keywords: Administrative costs, investment costs, economies of scale, pension plan design, governance, defined benefits, defined contribution, outsourcing, reinsurance.

    • nr 108 - Financial behaviour of Dutch pension funds: a disaggregated approach
      Jan Kakes 
       (PDF: 817,2 Kb)
      This paper examines the financial behaviour of 77 Dutch pension funds during 2002-2005. Using microdata, we investigate differences across various types of funds. Both the asset mix and the degree of home bias are related to the size of pension funds: large institutions invest more in equity and hold more foreign assets than smaller ones. Especially for industry-wide funds, bonds and equity transactions are consistent with rebalancing a strategically fixed asset mix. Finally, in the case of company-linked funds, a deterioration in the funding ratio is counteracted by a rapid increase in pension contributions. This response cannot be observed for industry-wide funds. JEL codes: G23, J26. Key words: pension funds, ageing

    • 06 - De houdbaarheid van het Nederlandse pensioenstelsel
      Jan Kakes en Dirk Broeders
       (PDF: 628,8 Kb)
      Dit rapport gaat in op de houdbaarheid van het Nederlandse stelsel van aanvullende pensioenen. Geconcludeerd wordt dat de recente wijzigingen in pensioenregelingen en financiering van pensioenfondsen de beheersbaarheid en daarmee de houdbaarheid van het stelsel hebben vergroot. 

  • IRIS, Vergrijzing: gevolgen voor beleggers, mei 2006
    De studie geeft een schets van de gevolgen van de vergrijzing voor verschillende landen en voor de financiële markten.

  • Teulings, C.N. & Vries, C.G. de (2006). General accounting, solidarity and pension losses,. De Economist 154 nr. 1 (march 2006) pp. 63-83.
    The stock market collapse led to political tensions between generations due to the fuzzy definition of the property rights over the pension funds’ wealth. the problem is best resolved by the introduction of generational accounts. Modern consumption and portfolio theory shows that the younger generation should have a higher equity exposure due to their human capital. Stock market losses should be distributed smoothly over lifetime consumption by adjusting both current contributions and future elements. We present expressions for the substantial welfare losses involved in various practically relevant deviations from the optimal system.

  • Netspar
    Beggar thy thrifty neighbour
    Lex Meijdam, Harry Verbon and Yvonne Adema

    Discussion paper. DP 2006-015
    This paper explores the international spillover e®ects of ageing through capital markets when countries have di®erent pension systems. We use a two-country two-period overlapping-generations model, where the two countries only di®er in their
    pension schemes. Two forms of population ageing are considered, namely an increase in longevity and a fall in fertility. It is shown that in the long run a country using
    a funded pension system experiences negative spillovers from the fact that the other country uses a PAYG system. The short-run spillovers, however, are opposite to the spillovers in the long run. 
  • ABP Position Paper
    Ons Pensioen: Flexibel en vergrijzingsbestendig   (PDF, 142 Kb)
    Augustus 2006