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Fonds de pension américains : une évaluation du risque macroéconomique

Listed author(s):
  • Frédéric Gonand

[fre] Le système des fonds de pension renforce la sensibilité de l'économie américaine aux variations boursières. Le risque de marché lié aux variations de prix des actifs pèse sur les entreprises dans les fonds à prestations définies (DB) et sur les ménages dans les fonds à contributions définies (DC). Les fonds DC investissent globalement trop dans les actions de leur propre entreprise. Les fonds DB sont de plus en plus sous-capitalisés. Une baisse de 50 pdb des taux d'intérêt à long terme dégraderait la situation nette des fonds DB privés d'environ 90Md$. Le Pension Funding Equity Act devrait se traduire par un relèvement sensible du taux d'actualisation des pensions futures des fonds DB. Cette réforme pourrait favoriser une résorption de la sous capitalisation des fonds DB d'ici fin 2004 et modérer sensiblement le prélèvement sur les gains tendanciels de productivité du travail associé à la recapitalisation des fonds par les entreprises. Classification JEL : E17, E44, G11, G23, K20 [eng] American pension funds : an evaluation of the macroeconomic risk The American pension funds system reinforces the sensibility of the American economy to financial markets fluctuations. Market risk is supported by companies as concerns defined benefits funds (DB) and by households as regards defined contributions plans (OC). OC funds are often over-invested in shares of their own company. DB funds are currently underfunded. Our calculations suggest that a 50bp fall in long term interest rates may worsen the net wealth of private DB funds by around 90 billions $. The Pension Funding Equity Act may substantially lessen the macroeconomic risk stemming from these financial problems. By raising the regulatory actualization rate applied to future pension payments by DB funds, it could help resolving underfunding in the end of 2004 under reasonable assumptions as regards financial markets. Moreover, the burden on trend labor productivity gains associated with the refunding of DB funds in the 5 forthcoming years could also be substantially slashed. JEL classification : E17, E44, G11, G23, K20

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File URL: http://dx.doi.org/doi:10.3406/ecofi.2004.4907
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File URL: http://www.persee.fr/doc/ecofi_0987-3368_2004_num_75_2_4907
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Article provided by Programme National Persée in its journal Revue d'économie financière.

Volume (Year): 75 (2004)
Issue (Month): 2 ()
Pages: 291-311

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Handle: RePEc:prs:recofi:ecofi_0987-3368_2004_num_75_2_4907
Note: DOI:10.3406/ecofi.2004.4907
Contact details of provider: Web page: http://www.persee.fr/collection/ecofi

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  1. J. Nellie Liang & Scott Weisbenner, 2002. "Investor behavior and the purchase of company stock in 401(k) plans - the importance of plan design," Finance and Economics Discussion Series 2002-36, Board of Governors of the Federal Reserve System (U.S.).
  2. John B. Shoven, 1999. "The Location and Allocation of Assets in Pension and Conventional Savings Accounts," NBER Working Papers 7007, National Bureau of Economic Research, Inc.
  3. Simon H. Kwan, 2003. "Underfunding of private pension plans," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue jun13.
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