ALM 분석을 통한 국민연금 적립금 목표수익률에 대한 연구 = An ALM Study on Target Fund Returns of Korean National Pension Service

다국어 초록 (Multilingual Abstract)

Korean national pension system (KNPS), as a back bone of the nation`s social security system, is a partially funded system that has the characteristics of both funded and pay as you go systems. Because KNPS is a relatively young system which started in year 1988, the fund size of KNPS is currently increasing rather rapidly. Due to unfavorable demographic changes, however, the fund is projected to be depleted by year 2060 if KNPS is not reformed. According to the projection data by Korean national pension research center (KNPRC), the contribution rate will be as high as 24% after year 2060 when the fund is depleted and the current system is converted into pay as you go system as a result of the depletion. In this study, required fund returns and contribution rates are analysed for achieving steady state by year 2078. As a definition of the steady state, three criteria are compared; funded ratio, constant fund to pension payment ratio, and constant fund to total wage ratio. Among them, the constant fund to total wage ratio selected as a criteria in this study because it captures the characteristics of a partially funded system and it reflects the changes of liability well. As the fund return is higher, the steady state fund to total wage ratio becomes lower. So is also the case for contribution rate. According to the analysis of this study, the required fund size for the KNPS fund to reach the steady state in year 2078 is more than four times larger if the perpetual expected fund return is 4% compared with the case of 8% perpetual expected fund return. As for the contribution rate, the required fund size is more than double if the contribution rate is 9% compared with the case of 17% contribution rate. In this study, as reflected in the projection data by KNPRC, it is assumed that the wage increase ratio and the payment to total wage ratio are stabilized at 2.8% and 0.24 after year 2078, respectively. The main results are 1) the implied annual average fund return underlying the projection of KNPS fund depletion in year 2060 is 5.29% per annum, 2) if the perpetual fund return after year 2078 is 6%, the expected fund return and contribution rate combinations that can achieve the steady state by year 2078 are (6%, 12.3%), (7%, 10.2%), (7.5%, 9.2%), 3) when the risk is defined as the required contribution rate increase after five years for achieving the steady state by year 2078 under the scenario that 5% probability worst case return is realized for five years, the expected return and risk combinations are (6%, 0.7%), (7%, 1.1%), and (7.5%, 1.4%). These results have several important implications. First, there is a trade off between the expected fund return and the required contribution rate for achieving the steady state. Increasing the expected annual fund return by one percent until year 2078 is more effective than increasing the contribution rate by 2%. Second, the higher the expected fund return is, the higher the required contribution rate increase is in unlucky situations. Finally, KNPS`s depletion problem can be significantly mitigated at the current contribution rate of 9% if the average annual fund return of 7.5% can be achieved until year 2078. Target returns for KNPS fund can be determined in the coordinates of (expected fund return, required contribution rate, risk of contribution rate increase) for achieving the steady state by year 2078. The results of this study imply that setting up a target return and contribution policy is an evolutionary process. As demographics change and the realized future returns are different from the expected fund returns, contribution rate needs to be adapted to the change. Sometimes, even target returns may need to change depending upon the feasible set of contribution policy. This study has a limitation that it is based upon the projection data by KNPS research center. Nonetheless this study will help KNPS set its investment policy from the perspective of long-term sustainability of KNPS. In this way, it will be easier to form a consensus among interested parties of KNPS, that are government, current generations, and the future generations.

참고문헌 (Reference)

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