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Risk Analysis of Pension Reserve Investment with Macro Economy Indexation under the 2004 Public Pension Reform (in Japanese)

Author

Listed:
  • Tomoki Kitamura
  • Kunio Nakashima
  • Masaharu Usuki

Abstract

The 2004 public pension reform has increased the impact of pension reserve investment policies on benefit levels and financial soundness. Our analysis shows that the current policy can avert financial crisis until 2030. However, when the expected return on domestic bonds is reduced to market interest rate levels, a riskier asset allocation is required to satisfy actuarial assumption, implying a higher downside risk. In the future, the revision of investment policies will need to be done in coordination with pension plan design and recalculation process.

Suggested Citation

  • Tomoki Kitamura & Kunio Nakashima & Masaharu Usuki, 2006. "Risk Analysis of Pension Reserve Investment with Macro Economy Indexation under the 2004 Public Pension Reform (in Japanese)," Economic Analysis, Economic and Social Research Institute (ESRI), vol. 178, pages 3-30, November.
    • Handle: RePEc:esj:esriea:178b
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    File URL: http://www.esri.go.jp/jp/archive/bun/bun178/bun178b.pdf
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    Cited by:

    1. Charles Yuji HORIOKA & Wataru SUZUKI & Tatsuo HATTA, 2007. "Aging, Savings, and Public Pensions in Japan," Asian Economic Policy Review, Japan Center for Economic Research, vol. 2(2), pages 303-319, December.

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