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Forecasting on the long-term sustainability of the employees provident fund in Malaysia via the Box-Jenkins’ ARIMA model

Author

Listed:
  • Sallahuddin Hassan
  • Zalila Othman

Abstract

This study employs the use of Box-Jenkins’ ARIMA (1,1,0) model for the estimation and forecasts based on the annual data of EPF balances, which serve as a proxy to EPF sustainability, together with the yearly data of possible determinants namely investment earnings, nominal income, elderly population, life expectancy and mortality rate in Malaysia for the 1960 – 2010 and 2010 - 2014 periods, respectively. Amid a negative sentiment and conceivably bleak outlook on the long term EPF inadequacy to provide adequate incomes to elderly persons, the prognosis of this study instead reveals otherwise and is found to be in support for the long term prospect and sustainability of the EPF. With necessary improvements are underway to strengthen the performance of the administered EPF system, it is likely to believe that the EPF organization is committed to promoting its product as a more inclusive and equitable scheme in Malaysia.

Suggested Citation

  • Sallahuddin Hassan & Zalila Othman, 2018. "Forecasting on the long-term sustainability of the employees provident fund in Malaysia via the Box-Jenkins’ ARIMA model," Business and Economic Horizons (BEH), Prague Development Center, vol. 14(1), pages 43-53, January.
    • Handle: RePEc:pdc:jrnbeh:v:14:y:2018:i:1:p:43-53
    DOI: 10.15208/beh.2018.4
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    References listed on IDEAS

    as
    1. Mukul Asher & Azad S. Bali, 2015. "Public Pension Programs in Southeast Asia: An Assessment," Asian Economic Policy Review, Japan Center for Economic Research, vol. 10(2), pages 225-245, July.
    2. Kenny, Geoff & Meyler, Aidan & Quinn, Terry, 1998. "Forecasting Irish inflation using ARIMA models," Research Technical Papers 3/RT/98, Central Bank of Ireland.
    3. Xingyu Zhang & Tao Zhang & Alistair A Young & Xiaosong Li, 2014. "Applications and Comparisons of Four Time Series Models in Epidemiological Surveillance Data," PLOS ONE, Public Library of Science, vol. 9(2), pages 1-16, February.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Jaafar, Roslan & Daly, Kevin James & Mishra, Anil V., 2019. "Challenges facing Malaysia pension scheme in an era of ageing population," Finance Research Letters, Elsevier, vol. 30(C), pages 334-340.

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    More about this item

    Keywords

    ARIMA model; EPF; forecasting; long-term sustainability;
    All these keywords.

    JEL classification:

    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • H55 - Public Economics - - National Government Expenditures and Related Policies - - - Social Security and Public Pensions

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