Best prices Special offers for members of the PWE book club The cheapest delivery

Investment efficiency of supplementary pension schemes vs macroeconomic factors

The adequacy of old-age pension systems depends on the efficiency of retirement plans offered to individuals. The purpose of this study was to identify which macroeconomic factors influence the investment efficiency of voluntary pension funds and employee pension funds in Poland. We verified whether there is any relationship between the rates of return of voluntary and employee pension funds and selected macroeconomic factors. We found that nominal and real rates of return of employee pension funds depend on the WIG rate of return. In case of voluntary pension funds higher nominal rates of return resulted from both more aggressive investment policy and better competencies of asset managers. The research findings are relevant for social policy as they provide useful information how to tailor investment policy of supplementary pension plans to better achieve the social and economic goals of the old-age pension system.

Download article
Keywords: investment efficiency; supplementary pension schemes; rate of return; macroeconomic factors; pension funds

References

References/Bibliografia

Akanni, M. T., & Eepar, Ž. (2015). Impact of Population Ageing on Unemployment and Entrepreneurial Activity: the Case of Slovenia. Organizacija, 48. https://doi.org/10.1515/orga-2015-0020

Alper, E. A. (2018). The Relationship of Economic Growth With Consumption, Investment, Unemployment Rates, Saving Rates and Portfolio Investments In The Developing Countries. Gaziantep University Journal of Social Sciences, 17(3).

Anton, J-I. (2007). Distributional Implications of Tax Relief on Voluntary Private Pensions in Spain. Fiscal Studies. The Journal of Applied Public Economics, 28(2), 171–203. https://doi.org/10.1111/j.1475-5890.2007.00053.x

Banterle, C. B. (2002). Incentives to Contributing to Supplementary Pension Funds: Going Beyond Tax Incentives. The Geneva Papers on Risk and Insurance — Issues and Practice, 27, 555–570. https://doi.org/10.1111/1468-0440.00191

Bauer, R., Cremers, M., & Frehen, R. (2010). Pension fund performance and costs: small is beautiful. Working Paper. Yale University.

Bikas, E. (2008). Lithuanian Household Savings Behaviour. Transformations In Business & Economics, 7(3).

Bikker, J. (2013). De optimale schaal van pensioenfondsen. Economisch Statistische Berichten, 98. 14–21.

Bikker, J. A., Broeders, D., & Dreu, de J. (2007). Stock Market Performance and Pension Fund Investment Policy: Rebalancing, Free Float, or Market Timing? International Journal of Central Banking, 6(2).

Bikker, J. A., & Dreu, de J. (2009). Operating costs of pension funds: the impact of scale, governance, and plan design. Journal of Pension Economics & Finance, 8(1). https://doi.org/10.1017/S1474747207002995

Blake, D. (2000). Does It Matter What Type of Pension Scheme You Have? The Economic Journal, 110(461). https://www.jstor.org/stable/2565941

Brzęczek, T., & Szczepankiewicz, M. (2016). Occupational pension schemes vs. pension funds in Central Europe. Efficiency and investment risk in the years 2012–2014. Journal of Insurance, Financial Markets & Consumer Protection, 4(12), 3–15.

Chen, D., & Beetsma, R. M. W. J. (2015). Mandatory Participation in Occupational Pension Schemes in the Netherlands and Other Countries. An Update. Netspar — Network for Studies on Pension, Aging and Retirement, 10/2015-032. https://ssrn.com/abstract=2670476 or http://dx.doi.org/10.2139/ssrn.2670476

Chłoń-Domińczak, A., Cichowicz, E., Gora, M. i Rutecka-Gora, J. (2020). Systemy emerytalne wyzwaniem dla krajow Europy Środkowej i Południowej. W: Raport SGH i Forum Ekonomicznego 2020. Warszawa: Szkoła Głowna Handlowa w Warszawie. https://doi.org/10.33119/978-83-8030-386-7.2020

Chorkowy, B. (2014). Efektywność inwestowania w ramach III filara systemu emerytalnego. Część 2. Studia Ekonomiczne, 180.

Dash, M. K. (2010). Factors Influencing Investment Decision of Generations in India: An Econometric Study. Asian Journal of Management Research, 1.

DellaVigna, S., & Pollet, J. M. (2007). Demographics and Industry Returns. American Economic Review, 97(5), 1667–1702. https://doi.org/10.1257/aer.97.5.1667

Eldomiaty, T., Saeed, Y., Hammam, R., & Aboulsoud, S. (2020). The associations between stock prices, inflation rates, interest rates are still persistent. Empirical evidence from stock duration model. Journal of Economics, Finance and Administrative Science, 25(49). http://dx.doi.org/10.1108/jefas-10-2018-0105

Fama, E. F. (1981). Stock returns, real activity, inflation and money. American Economic Review, 71(4), 545–565.

Fisher, I. (1930). The Theory of Interest Rate. New York: McMillan.

Ganapathy, V. (2021). Is Pension an Effective and Adequate Solution to the Challenges of Ageing? Bimaquest, 21(1), 33–67.

Gerber, D. S., & Weber, R. (2007). Demography and investment behavior of pension funds: evidence for Switzerland. Journal of Pension Economics & Finance, 6(3). https://doi.org/10.1017/S1474747207003058

Goyal, A. (2004). Demographics, Stock Market Flows, and Stock Returns. Journal of Financial and Quantitative Analysis, 39(1), 115–142. https://doi.org/10.1017/S0022109000003914.

Grande, G., Locarno, A., & Massa, M. (1998). Stock market returns, inflation and monetary regimes. In BIS Conference Papers — The Role of Asset Prices in the Formulation of Monetary Policy, Basle: Bank for International Settlements. https://www.bis.org/publ/confp05f.pdf

Hamdani, A., Kandel, E., Mugerman, Y., & Yafeh, Y. (2016). Incentive Fees and Competition in Pension Funds: Evidence from a Regulatory Experiment. NBER Working Paper Series, 22634.

Hodgson T. M., Breban, S., Ford, C. L., Streatfield, M. P., & Urwin, R. C. (2000). The Concept of Investment Efficiency and Its Application to Investment Management Structures. British Actuarial Journal, (6).

Hu, Y. W. (2005). Pension reform, economic growth and financial development: an empirical study. Economics and Finance Working Papers, Middlesex, Brunel University. Inflation and Stock Market Returns Volatility: Evidence from the Nigerian Stock Exchange 1995Q1-2016Q4: An E-GARCH Approach. MPRA, Munich Personal RePEc Archive, Paper No. 85656, 7–8. https://mpra.ub.uni-muenchen.de/85656/1/MPRA_paper_85656.pdf

Ioromber, P., Sokpo, J., & Terzungwe, U. (2017). Inflation and Stock Market Returns Volatility: Evidence from the Nigerian Stock Exchange 1995Q1-2016Q4: An E-GARCH Approach. International Journal of Econometrics and Financial Management, 2(5). https://mpra.ub.uni-muenchen.de/85656/1/MPRA_paper_85656.pdf

Jajuga, K, & Jajuga T. (2007). Inwestycje. Warszawa: PWN.

Knoef, M. (2014). Measuring retirement savings adequacy: developing a multi-pillar approach in the Netherlands. Journal of Pension Economics & Finance, 15(1), 55–89. https://doi.org/10.1017/S1474747214000341

Marcinkiewicz, E. (2015). Dobrowolne fundusze emerytalne w Polsce — analiza działalności i wynikow inwestycyjnych. In: F. Chybalski, & E. Marcinkiewicz (Eds.), Współczesne problemy systemów emerytalnych. Wybrane zagadnienia (196–209). Łodź: Wydawnictwo Politechniki Łodzkiej.

Mączyńska, A., Šebo, J., Voicu, S. D., Carlucci, E., Christoff, L., Christensen, L., Deinema, M., Hagen, J., Herce, J. A., Houdmont, A., Gabaut, L., Popova, Y., Grange-Hansen, L., Mešoean, M., Naacke, G., Nacheva, D., Nava, C., Joab, M., Prache, G., Rutecka-Gora, J., & Url, T. (2020). Long- Term and Pension Savings. The Real Return. 2020 Edition. Brussels: Better Finance.

Mączyńska, A., Šebo, J., Voicu, S. D., Andersen T. M., Carlucci, E., Gabaut, L., Hagen, J., Houdmont, A., Joab, M., Mešoean, M., Naacke, G., Nacheva, D., Popova, Y., Prache, G., Rutecka-Gora, J., & Url, T. (2021), Long-term and Pension Savings: The Real Return. 2021 Edition. Brussels: Better Finance.

Meerten, van H., & Schmidt, E. (2017). Compulsory membership of pension schemes and the free movement of services in the EU. European Journal of Social Security, 19(2), 118–140. https://doi.org/10.1177/1388262717713414

Meng, C., & Pfau, W. D. (2010). The Role of Pension Funds in Capital Market Development. GRIPS Discussion Paper, 10–17. https://core.ac.uk/download/pdf/51221335.pdf

Mody, A., Ohnsorge, F., & Sandri, D. (2012). Precautionary Savings in the Great Recession. IMF Working Paper, 12(42). https://www.imf.org/external/pubs/ft/wp/2012/wp1242.pdf

Nalin, H. T. (2013). Determinants of Household Saving and Portfolio Choice Behaviour in Turkey. Acta Oeconomica, 63(3). https://doi.org/10.1556/AOecon.63.2013.3.3

Niculescu-Aron, I., & Mihaescu, C. (2012). Determinants of Household Savings in EU: What Policies for Increasing Savings? The 8th International Strategic Management Conference. Procedia — Social and Behavioral Sciences, 58.

OECD (2018). Financial Incentives and Retirement Savings. Paris: OECD Publishing.

OECD (2021). Household savings (indicator). https://doi.org/10.1787/cfc6f499-en

Pieńkowska-Kamieniecka, S., Rutecka-Gora, J., Kowalczyk-Rolczyńska, P., & Hadryan, M. (2021). Readability, efficiency and costliness of individual retirement products in Poland. Equilibrium. Quarterly Journal of Economics and Economic Policy, 16(1), 45–74. https://doi.org/10.24136/eq.2021.002

Poterba, J. M. (2001). Demographic Structure and Asset Returns. The Review of Economics and Statistics, 83(4), 565–584. https://doi.org/10.1162/003465301753237650

Rutecka-Góra, J. (2016). Evolution of supplementary old-age pension systems in selected CEE countries. Journal of Management and Finance, 14(4), 149–162. https://doi.org/10.33119/ZiF.2016.14.4

Rutecka-Góra, J. (2019). The Efficiency of a Supplementary Old-Age Pension System — The Case of Polish Voluntary Pension Funds. Financial Internet Quarterly "e-Finanse", 15(3), 76–87. https://doi.org/10.2478/fiqf-2019-0022

Rutecka-Góra, J. (2021). Inadequacies of regulations on supplementary pension plans in Central and Eastern European countries. European Journal of Social Security, 23(3), 232–246. https://doi.org/10.1177/13882627211038964

Rutecka-Góra, J., Bielawska, K., Hadryan, M., Kowalczyk-Rolczyńska, P., & Pieńkowska-Kamieniecka, S. (2020). Zrozumiałość, przejrzystość i efektywność indywidualnych 

produktów emerytalnych w Polsce. Warszawa: Oficyna Wydawnicza SGH. https://doi.org/10.33119/978-83-8030-378-2.2020.202

Šebo, J., Voicu, A. D., Andersen, C., Carlucci, E., Christoff, L., Deinema, M., Gabaut, L., Galvaire, T., Hagen, J., Herce,, J. A., Houdmont, A., Mączyńska, A., Manis, A., Mešoean, M., Naacke, G., Strandvag Nagell, L., Prache, G., Rutecka-Gora, J., Url, T., & Vysniauskaite, A. (2019). Pension Savings: The Real Return. 2019 Edition. Brussels: Better Finance.

Serrano, A. S., & Peltonen, T. (2020). Pension schemes in the European Union: challenges and implications from macroeconomic and financial stability perspectives. European Systemic Risk Board Occasional Paper Series, 17.

Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425–442.

Szumlicz, T. (2010). System zabezpieczenia emerytalnego po 10 latach — jaki powod sporu o OFE? Głos w dyskusji. Polityka Społeczna, (5–6).

Tapia, W. (2008). Comparing Aggregate Investment Returns in Privately Managed Pension Funds: An Initial Assessment. OECD Working Paper on Insurance and Private Pensions, (21). https://doi.org/10.1787/237833258822

Titman, S., & Warga, A. (1989). Stock Returns as Predictors of Interest Rates and Inflation. Journal of Financial and Quantitative Analysis, 24(1), 47–58. https://doi.org/10.2307/2330747

Witkowska, D. (2016). Propozycja oceny efektywności inwestycyjnej rynkow funduszy emerytalnych. Metody Ilościowe w Badaniach Ekonomicznych, XVII(2).

 

Article price
4.00
Price of the magazine number
15.00
Subscription
197.00 €
158.00
Lowest price in last 30 days: 156.00
get subscription