监管与养老基金风险承担

L. Boon, M. Brière, S. Rigot
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引用次数: 24

摘要

我们调查了监管投资、估值和融资的法规对固定收益养老基金资产配置风险的影响程度。我们比较了1992-2011年间美国、加拿大和荷兰公共、企业和行业养老基金的监管框架。通过对近600只基金的一组独特的资产配置细节进行面板数据分析,我们的结果强调,在塑造资产配置方面,监管因素比养老基金的特征更具经济意义。特别是,无论市场状况如何,基于风险的资本要求和按市值计价的估值都与风险资产敞口(尤其是股票)降低7%有关。相比之下,在正常时期,受100%资金要求约束的养老基金的风险敞口与不受约束的养老基金的风险敞口没有显著差异,但在金融危机期间,受约束的养老基金在风险资产上的投资减少了4%。与理论预测一致,我们发现基于风险的资本要求和最低资金限额对养老基金的风险承担有不同的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Regulation and Pension Fund Risk-Taking
We investigate the extent to which regulations governing investment, valuation and funding affect the riskiness of defined benefit pension funds' asset allocation. We compare the regulatory frameworks of public, corporate and industry pension funds in the United States, Canada and the Netherlands over 1992–2011. Derived from panel data analysis of a unique set of asset allocation details for close to 600 funds, our results highlight that regulatory factors are more economically significant than pension funds' characteristics in shaping asset allocation. In particular, risk-based capital requirements and mark-to-market valuation are both associated with a 7% lower risky asset exposure, especially equities, regardless of market conditions. By contrast, the exposure of a pension fund subject to a 100% funding requirement does not differ significantly from that of an unconstrained pension fund during normal times, but the constrained pension fund invests 4% less in risky assets during a financial crisis. In line with theoretical predictions, we find that risk-based capital requirements and minimum funding limits have different consequences for pension funds’ risk-taking.
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