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Fonds de pension américains : une évaluation du risque macroéconomique

Author

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  • Frédéric Gonand

    (ENA - École Nationale d'Administration)

Abstract

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 (DC). DC 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 billion $. 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.

Suggested Citation

  • Frédéric Gonand, 2004. "Fonds de pension américains : une évaluation du risque macroéconomique," Post-Print hal-01294346, HAL.
    • Handle: RePEc:hal:journl:hal-01294346
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    References listed on IDEAS

    as
    1. Nellie Liang & Scott Weisbenner, 2002. "Investor Behavior and the Purchase of Company Stock in 401(k) Plans - The Importance of Plan Design," NBER Working Papers 9131, National Bureau of Economic Research, Inc.
    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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    Cited by:

    1. Frédéric Gonand, 2006. "Réforme des retraites, marchés financiers et investissement socialement responsable : les affinités électives," Revue d'Économie Financière, Programme National Persée, vol. 85(4), pages 285-294.

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    More about this item

    Keywords

    Financial Market; Macroeconomics; Pension Fund; Pension;
    All these keywords.

    JEL classification:

    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • K20 - Law and Economics - - Regulation and Business Law - - - General
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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