Accessibility navigation


Asset-liability models and the Chinese basic pension fund

Zhao, Z. and Sutcliffe, C. (2020) Asset-liability models and the Chinese basic pension fund. Economic and Political Studies. ISSN 2095-4816

[img] Text - Accepted Version
· Restricted to Repository staff only until 4 February 2022.

1MB

It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing.

To link to this item DOI: 10.1080/20954816.2020.1793497

Abstract/Summary

Pillar 1B (individual accounts) of the Chinese basic pension fund (BPF) have suffered from substantial underfunding due to a series of challenges such as rising longevity, conservative investment policies, and the fragmentation of the pension system. Using an asset-liability model (ALM) we investigate the effects of the pre-2015 and post-2015 limits on asset allocations, as well as no limits. We also investigate the likely effect on investment performance of transferring the pillar 1B funds to the Council of National Social Security Fund (NSSF) and raising the retirement age to 65. We find that an ALM is superior to an assets-only analysis, removing the limits on investment in domestic assets (but not foreign assets) would be beneficial, as would transferring the assets to the NSSF, and raising the retirement age. Finally, the official notional rate on individual accounts should be set at a realistic level.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:90414
Publisher:Taylor & Francis

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation