W poszukiwaniu optymalnego sposobu wprowadzenia lara kapitałowego

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Joanna Tyrowicz i Krzysztof Makarski oraz Marcin Bielecki, Marcin Waniek i Jan Woznica Group for Research in Applied Economics Konferencja D lugoterminowe Oszczedzanie - SGH - 2016

Economy & Finance

W poszukiwaniu optymalnego ...
W poszukiwaniu optymalnego sposobu wprowadzenia ﬁlara
kapitalowego
Joanna Tyrowicz i Krzysztof Makarski
oraz Marcin Bielecki, Marcin Waniek i Jan Woznica
Group for Research in Applied Economics
Konferencja Dlugoterminowe Oszczedzanie - SGH - 2016

W poszukiwaniu optymalnego ...
Przeslanki
Dlaczego robi´c takie badanie?
Reforma z 1999: dwa podstawowe wymiary
Spos´ob naliczania emerytur (= dlugu ukrytego): DB → DC
Prywatyzacja: PAYG → F
Dodatkowo: zmiana parametr´ow, uprawnie´n, itp

W poszukiwaniu optymalnego ...
Przeslanki
Dlaczego to ma znaczenie?

W poszukiwaniu optymalnego ...
Przeslanki
Literatura
Breyer (1989): wprowadzenie ﬁlara kapitalowego oznacza zawsze czyja´s
strate
Zniesienie systemu emerytalnego (=dobrowolne oszczedno´sci prywatne)
mo˙zna zrobi´c optymalnie w sensie Pareto
Kotlikoﬀ (1996), Kotlikof et al (1999), Hirte and Weber (1997), Belan and
Pestieu (1999), Gy´arf´as and Marquardt (2001), McGrattan and Prescott
(2014)
W tych modelach zazwyczaj dostosowuje sie emerytury lub skladki, by
zachowa´c ﬁskalna neutralno´s´c systemu emerytalnego
A co, gdyby w gospodarce jednak mial by´c ﬁlar kapitalowy?
???, Roberts (2013) ma endogeniczny wzrost i specyﬁczne parametryzacje

W poszukiwaniu optymalnego ...
Przeslanki
Nasz cel
Wprowadzenie fundusza kapitalowego bez strat (poprawa w sensie Pareto)
Wykonywalne w praktyce
Wiarygodne politycznie

W poszukiwaniu optymalnego ...
Przeslanki
Optimalna reforma - jak ja znale´z´c?
Proponujemy instrument
Dodatkowa indeksacja emerytur w ZUS, ponad ustawowa:
Wg roku urodzenia: podobne do LSRA, ale wykonywalne
Wg roku kalendarzowego: standardowe

W poszukiwaniu optymalnego ...
Wyniki
Jeste´smy w stanie du˙zo poprawi´c
Genetyczny: korzysta 352 z 399 kohort
Prosty: korzysta 200 z 399 kohort, ale straty pozostalych zaniedbywalne

W poszukiwaniu optymalnego ...
Wyniki
Optymalne ´scie˙zki
wg roku kalendarzowego wg roku urodzenia

W poszukiwaniu optymalnego ...
Wyniki
Na ile ten wynik zale˙zny od parametr´ow?
Optymalne ´scie˙zki

W poszukiwaniu optymalnego ...
Wnioski
Gl´owne wyniki
Dwa bardzo r´o˙zne pytania:
Czy reforme z 1999 mo˙zna bylo wprowadzi´c “lepiej”? ⇒ zaniedbywalnie, ale
tak
Czy mo˙zna wprowadzi´c ﬁlar kapitalowy “dobrze”? ⇒ wydaje sie, ˙ze tak

W poszukiwaniu optymalnego ...
Wnioski
Dziekujemy za uwage!

This document discusses inequality in an overlapping generations economy with heterogeneous cohorts and pension systems. It motivates the study by noting that wealth inequality has increased due to demographic transitions and pension reforms from defined benefit to defined contribution systems. The document outlines an overlapping generations model with ex ante heterogeneity in endowments and preferences within cohorts to examine the distributional effects of pension reforms and policy instruments. Key results presented are that a reform from defined benefit to defined contribution pensions increases both wealth and consumption inequality, and that a minimum pension reduces inequality from the reform by 40-50% by affecting the endowments margin.

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W poszukiwaniu optymalnego sposobu wprowadzenia lara kapitałowego

1. W poszukiwaniu optymalnego ... W poszukiwaniu optymalnego sposobu wprowadzenia ﬁlara kapitalowego Joanna Tyrowicz i Krzysztof Makarski oraz Marcin Bielecki, Marcin Waniek i Jan Woznica Group for Research in Applied Economics Konferencja Dlugoterminowe Oszczedzanie - SGH - 2016

2. W poszukiwaniu optymalnego ... Przeslanki Dlaczego robić takie badanie? Reforma z 1999: dwa podstawowe wymiary Sposób naliczania emerytur (= dlugu ukrytego): DB → DC Prywatyzacja: PAYG → F Dodatkowo: zmiana parametrów, uprawnień, itp

3. W poszukiwaniu optymalnego ... Przeslanki Dlaczego robić takie badanie? Reforma z 1999: dwa podstawowe wymiary Sposób naliczania emerytur (= dlugu ukrytego): DB → DC Prywatyzacja: PAYG → F Dodatkowo: zmiana parametrów, uprawnień, itp Co to jest “dobra reforma”? Optymalno´sć w sensie Hicksa: korzy´sci dobrobytowe przewy˙zszaja straty (po redystrybucji miedzy pokoleniami) ⇒ lump-sum redistribution authority Optymalno´sć w sensie Pareto: ˙zadna kohorta nie traci

4. W poszukiwaniu optymalnego ... Przeslanki Dlaczego robić takie badanie? Reforma z 1999: dwa podstawowe wymiary Sposób naliczania emerytur (= dlugu ukrytego): DB → DC Prywatyzacja: PAYG → F Dodatkowo: zmiana parametrów, uprawnień, itp Co to jest “dobra reforma”? Optymalno´sć w sensie Hicksa: korzy´sci dobrobytowe przewy˙zszaja straty (po redystrybucji miedzy pokoleniami) ⇒ lump-sum redistribution authority Optymalno´sć w sensie Pareto: ˙zadna kohorta nie traci Dlaczego to ma znaczenie?

5. W poszukiwaniu optymalnego ... Przeslanki Dlaczego to ma znaczenie?

6. W poszukiwaniu optymalnego ... Przeslanki Literatura Breyer (1989): wprowadzenie filara kapitalowego oznacza zawsze czyja´s strate Zniesienie systemu emerytalnego (=dobrowolne oszczedno´sci prywatne) mo˙zna zrobić optymalnie w sensie Pareto Kotlikoff (1996), Kotlikof et al (1999), Hirte and Weber (1997), Belan and Pestieu (1999), Gyárfás and Marquardt (2001), McGrattan and Prescott (2014) W tych modelach zazwyczaj dostosowuje sie emerytury lub skladki, by zachować fiskalna neutralno´sć systemu emerytalnego A co, gdyby w gospodarce jednak mial być filar kapitalowy? ???, Roberts (2013) ma endogeniczny wzrost i specyficzne parametryzacje

7. W poszukiwaniu optymalnego ... Przeslanki Nasz cel Wprowadzenie fundusza kapitalowego bez strat (poprawa w sensie Pareto) Wykonywalne w praktyce Wiarygodne politycznie

8. W poszukiwaniu optymalnego ... Przeslanki Nasz cel Wprowadzenie fundusza kapitalowego bez strat (poprawa w sensie Pareto) Wykonywalne w praktyce Wiarygodne politycznie Jak to robimy? Model OLG niezmienne skladki i emerytury realistyczna demograﬁa Start: DC PAYG Koniec: DC= PAYG + OFE

9. W poszukiwaniu optymalnego ... Przeslanki Optimalna reforma - jak ja znale´z´c? Proponujemy instrument Dodatkowa indeksacja emerytur w ZUS, ponad ustawowa: Wg roku urodzenia: podobne do LSRA, ale wykonywalne Wg roku kalendarzowego: standardowe

10. W poszukiwaniu optymalnego ... Przeslanki Optimalna reforma - jak ja znale´z´c? Proponujemy instrument Dodatkowa indeksacja emerytur w ZUS, ponad ustawowa: Wg roku urodzenia: podobne do LSRA, ale wykonywalne Wg roku kalendarzowego: standardowe Dodatkowa indeksacja = algorytm szukania optimum Mo˙zemy manipulowa´c tak˙ze tempem wprowadzania reformy

11. W poszukiwaniu optymalnego ... Przeslanki Optimalna reforma - jak ja znale´zć? Proponujemy instrument Dodatkowa indeksacja emerytur w ZUS, ponad ustawowa: Wg roku urodzenia: podobne do LSRA, ale wykonywalne Wg roku kalendarzowego: standardowe Dodatkowa indeksacja = algorytm szukania optimum Mo˙zemy manipulować tak˙ze tempem wprowadzania reformy Porównujemy algorytmy proste i genetyczne

12. W poszukiwaniu optymalnego ... Wyniki Jeste´smy w stanie du˙zo poprawi´c Genetyczny: korzysta 352 z 399 kohort Prosty: korzysta 200 z 399 kohort, ale straty pozostalych zaniedbywalne

13. W poszukiwaniu optymalnego ... Wyniki Optymalne ´scie˙zki wg roku kalendarzowego wg roku urodzenia

14. W poszukiwaniu optymalnego ... Wyniki Na ile ten wynik zale˙zny od parametr´ow? Optymalne ´scie˙zki

15. W poszukiwaniu optymalnego ... Wnioski Glówne wyniki Dwa bardzo ró˙zne pytania: Czy reforme z 1999 mo˙zna bylo wprowadzić “lepiej”? ⇒ zaniedbywalnie, ale tak Czy mo˙zna wprowadzić filar kapitalowy “dobrze”? ⇒ wydaje sie, ˙ze tak

16. W poszukiwaniu optymalnego ... Wnioski Glówne wyniki Dwa bardzo ró˙zne pytania: Czy reforme z 1999 mo˙zna bylo wprowadzić “lepiej”? ⇒ zaniedbywalnie, ale tak Czy mo˙zna wprowadzić filar kapitalowy “dobrze”? ⇒ wydaje sie, ˙ze tak Co charakteryzuje nasz instrument Rekompensata przez wy˙zsza indeksacje nie kosztuje (w przeciwieństwie do dlugu) Algorytm jest odporny na parametryzacje

17. W poszukiwaniu optymalnego ... Wnioski Glówne wyniki Dwa bardzo ró˙zne pytania: Czy reforme z 1999 mo˙zna bylo wprowadzić “lepiej”? ⇒ zaniedbywalnie, ale tak Czy mo˙zna wprowadzić filar kapitalowy “dobrze”? ⇒ wydaje sie, ˙ze tak Co charakteryzuje nasz instrument Rekompensata przez wy˙zsza indeksacje nie kosztuje (w przeciwieństwie do dlugu) Algorytm jest odporny na parametryzacje Inne pytania: czy wielko´sć OFE w polskim systemie optymalna? czy strategia inwestycyjna optymalna? itp

18. W poszukiwaniu optymalnego ... Wnioski Glówne wyniki Dwa bardzo ró˙zne pytania: Czy reforme z 1999 mo˙zna bylo wprowadzić “lepiej”? ⇒ zaniedbywalnie, ale tak Czy mo˙zna wprowadzić filar kapitalowy “dobrze”? ⇒ wydaje sie, ˙ze tak Co charakteryzuje nasz instrument Rekompensata przez wy˙zsza indeksacje nie kosztuje (w przeciwieństwie do dlugu) Algorytm jest odporny na parametryzacje Inne pytania: czy wielko´sć OFE w polskim systemie optymalna? czy strategia inwestycyjna optymalna? itp Pelna wersja dostepna na stronie: grape.org.pl/emeryt

19. W poszukiwaniu optymalnego ... Wnioski Dziekujemy za uwage!

W poszukiwaniu optymalnego sposobu wprowadzenia lara kapitałowego

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