Asset Pricing and Risk‐Sharing Implications of Alternative Pension Plan Systems
将固定收益养老金纳入不完全市场资产定价模型，能更好匹配历史股权溢价和无风险利率，并揭示养老金规模、资产需求及收益波动带来的新风险渠道。
ABSTRACT We show that incorporating defined benefit pension funds in an incomplete markets asset pricing model improves its ability to match the historical equity premium and riskless rate and has important risk‐sharing implications. We document the importance of the pension fund's size and asset demands, and a new risk channel arising from fluctuations in the fund's returns. We use our calibrated model to study the implications of a shift to an economy with defined contribution plans. The new steady state is characterized by a higher riskless rate and a lower equity premium. Consumption volatility increases for retirees but decreases for workers.