Optimal Portfolio of Private Defined Contribution Plan Complementing Public Pension Under Macroeconmic Slide

2021 Fiscal Year Final Research Report

• Project/Area Number: 16K03744
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Money/ Finance
• Research Institution: Nagoya City University
• Principal Investigator: Usuki Masaharu 名古屋市立大学, 大学院経済学研究科, 教授 (90539058)
• Project Period (FY): 2016-04-01 – 2022-03-31
• Keywords: 厚生年金受給権 / モンテカルロ・シミュレーション / 移動ブロック・ブートストラップ法 / 確定拠出年金 / 最適資産配分 / マクロ経済スライド / 繰越ルール

Outline of Final Research Achievements

We measured the financial attributes of the insured right to receive pension benefits from public Employee Pension Insurance. Because of adjustment by macro-economic slide, the insured right as asset has the rate of return lower than wage growth rate, while its relatively lower level of risk and high correlation with domestic bonds are common to wage increase rate.Taking account of these attributes causes optimal allocation to equity and other risky assets to be raised in private defined contribution plans of which benefits complements public pension.
As long as current low wage growth rate continues, however, the benefit adjustment by macro-economic slide does not function well, which in turn suppresses the rate of return of insured right. In that case, we find that the insured have to further raise the allocation to equity in their defined contribution plans in order to achieve a required level of return for retirement benefits in total at the cost of higher risk exposure.

Free Research Field

ファイナンス

Academic Significance and Societal Importance of the Research Achievements

第1に①公的年金に導入されたマクロ経済スライドが給付に与える影響、特に②公的年金の資産運用ポートフォリオにおける株式への配分増加を踏まえた上で、公的年金（厚生年金）給付の確率分布を明らかにした点、第2に公的年金の給付を考慮して公的年金と一体となった私的年金（確定拠出年金）の最適資産配分を検証した点、が学術的な貢献である。
また、私的な老後準備の重要性が高まる中、本研究はマクロ経済スライドの下での厚生年金の受給権が低リスク・低リターンの資産であり、公私の老後準備を一体として考えれば、私的年金（確定拠出年金）において、株式などリスク資産への配分を高めるべきであると明示した点が社会的意義と言える。