Asset Pricing and Risk-Sharing Implications of Alternative Pension Plan Systems

• 成果类型: Article; Early Access
• 署名作者: Coimbra, Nuno; Gomes, Francisco; Michaelides, Alexander; Shen, Jialu
• 署名单位: European Central Bank; Bank of France; Centre for Economic Policy Research - UK; University of London; London Business School; Imperial College London; Fudan University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13507
• 发表日期: 2025
• 关键词: SOCIAL-SECURITY REFORM; stock-market; macroeconomic model; portfolio choice; fixed costs; consumption; income; PARTICIPATION; equilibrium; allocation

摘要

We show that incorporating defined benefit pension funds in an incomplete markets asset pricing model improves its ability to match the historical equity premium and riskless rate and has important risk-sharing implications. We document the importance of the pension fund's size and asset demands, and a new risk channel arising from fluctuations in the fund's returns. We use our calibrated model to study the implications of a shift to an economy with defined contribution plans. The new steady state is characterized by a higher riskless rate and a lower equity premium. Consumption volatility increases for retirees but decreases for workers.