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題名：退休金計劃提撥不足之經濟意涵、相關決定因子及退休金破產危機之處理
作者：林中君
作者(外文)：Magic C. C. Lin
校院名稱：國立臺灣大學
系所名稱：財務金融學研究所
指導教授：楊朝成
學位類別：博士
出版日期：2001
主題關鍵詞：Compensation wage differential；Wage capitalization；Actuarial determined amount；defined benefit；defined contribution；Compensation wage differential；Wage capitalization；Actuarial determined amount；defined benefit；defined contribution
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The delicate financial situation of most pension systems will further worsen with the aging of the baby-boomers and last will into the 21st century. In many countries, current under-funded pension systems are unsustainable, especially will be in Taiwan. Hence my thesis here is to discover the pension funding status and behavior of corporate and provide a feasible and useful solution for a financially distressed firm to effectively conquer the possible default of pension. My thesis consists of two parts. In Part I, I provide empirical evidence on increased pension cost in Taiwan and attempt for identification of factors that underlie such increases so that investor can have a understanding about the implicit price of pension impact on corporate. From the results in Part I, it is obvious that corporate pensions in Taiwan were overwhelming under-funded in the past. The economic consequences of under-funded employee pensions can be significant. The solvency problem of corporate pension has thus recently surfaced as a policy issue of major concern in many countries, especially in Taiwan. Therefore, how to provide a powerful resolution way for a distressed pension fund is called. In Part II, I will present a model of feasible strategies about pension scheme restructuring for a financially distressed firm with its pension under-funded woefully and facing pension solvency problem.
In Part I, I formulate a structural model, two-stage least squares (2SLS), to explore the links between three interrelated outcomes, actual pension contributions, actuarially determined/required pension contributions and employee salary and to test several hypotheses about the determinants of pension funding practices. The main findings of Part I are that economic shock and temporary financial pressure are the main determinants, besides, variations in funding practices across firms are at least partially explained by behavioral persistence and the job opportunity. Moreover, my analysis suggests that past funding practice tends to be persistent. Employer in the industry which employees have more job opportunity will less likely to fully fund future pension obligations. Finally, there is some evidence supporting compensating wage differential and wage capitalization hypotheses. It implies that if effective in increasing rate of return would improve the funding ratio. It thus recommends that pension funds could increase rate of return through liberalization of the pension fund investment rules in Taiwan to allow these funds access to higher earning assets. This becomes particularly important given the recent downward trends in interest rates in Taiwan.
The contribution of Part II is to provide a effective approach for corporate to keep pension scheme operating without the solvency problem. It not only provides prudent and theoretical explanations for some common practice observed in the operation of pension scheme to resolve the potential financial burden, but also sheds some lights on the implication and prediction for the management of pension. In Part II, I analyze exclusionary devices that can be used to solve the pension distress problem. It outlines how to negotiate with pensioners and shows that the inefficiency of pension fund investment arises because of information asymmetry. It also suggests that the efficiency of reorganization of pension claim is affected by the maturity structure, interest rate and pension fund investment outcome. I derive conditions under which the pension distress can be effectively resolved and illustrate the importance of maturity structure of pension claim in staving off bankruptcy. However, corporate can also exploit over-investment through deferment for reason of agency or entrenchment. Hence, it pays pensioners to monitor corporate to find out whether a good performance is the result of good management without agency or of favorable market conditions. Moreover, it is obvious and shown that a good performance of pension fund investment is very essential to the success of pension reform. However, the management skill for pension fund investment is somewhat different from that of mutual fund management and thus will possess more information asymmetry. Casual evidence suggests that pension funds have consistently under-performed the market and mutual funds by large margins. It thus appears to subtract rather than add value, nonetheless, it has survived and grown, therefore it is a puzzle that finance researcher can not clarify till now. How to distinguish the true type of pension fund manager will be more difficult and evidenced by the literatures. One feasible way is to design an appropriate contract for pension fund managers who hold more information about the quality of their own performance. The optimal equilibrium for compensation contract is proved to be able to help corporate to identify the true type of pension fund manager and thus achieve to goal of good performance. My results suggest that maturity structure of pension claim significantly influence the decision of required investment for financially distressed pension fund. Pension debenture reform can be profitable for corporate if it is able to roll over the due pension claim with seniority or has excess cash to buy back pension claim. The undesirable consequence for pensioners who accept deferment with seniority design may lead some to argue that government should introduce provisions to restrict it to some degree. As well as yielding normative strategies concerning the distress of pension, my analysis also provides some explanation for the observed existence of solution for pension distress. I also identify the necessary conditions that make these strategies effective and show that many empirical evidences possess similar properties. Analysis along these lines has potential in explaining the pension management practice for resolving the possible default. The asymmetry of maturity structure permits pensioners to have significantly different value and degree of security of their pension claims when facing solvency problem of pension. The addition of seniority consideration can change the outcome of value and security of pension claim for pensioner and opens the possibility that corporate can force pensioners to accept sub-optimal offer. The model developed can be viewed as part of a larger framework that would be necessary to address the question of effective strategy in pension distress. The model focuses on the conflicts of interest among various pensioners. The purpose of this article has been to establish the precise strategies under which pension fund distress can be effectively resolved. This knowledge is essential if we are to gain a clearer understanding of pension fund operation and behavior. The results of this paper should have shed light on subsequent pension studies. Financial economists have not yet produced an equilibrium model that is good enough to be accepted for pension plan evaluation. The results previous literatures have uncovered suggest that pension plan performance and investment practices are fertile ground for future research.
The delicate financial situation of most pension systems will further worsen with the aging of the baby-boomers and last will into the 21st century. In many countries, current under-funded pension systems are unsustainable, especially will be in Taiwan. Hence my thesis here is to discover the pension funding status and behavior of corporate and provide a feasible and useful solution for a financially distressed firm to effectively conquer the possible default of pension. My thesis consists of two parts. In Part I, I provide empirical evidence on increased pension cost in Taiwan and attempt for identification of factors that underlie such increases so that investor can have a understanding about the implicit price of pension impact on corporate. From the results in Part I, it is obvious that corporate pensions in Taiwan were overwhelming under-funded in the past. The economic consequences of under-funded employee pensions can be significant. The solvency problem of corporate pension has thus recently surfaced as a policy issue of major concern in many countries, especially in Taiwan. Therefore, how to provide a powerful resolution way for a distressed pension fund is called. In Part II, I will present a model of feasible strategies about pension scheme restructuring for a financially distressed firm with its pension under-funded woefully and facing pension solvency problem.
In Part I, I formulate a structural model, two-stage least squares (2SLS), to explore the links between three interrelated outcomes, actual pension contributions, actuarially determined/required pension contributions and employee salary and to test several hypotheses about the determinants of pension funding practices. The main findings of Part I are that economic shock and temporary financial pressure are the main determinants, besides, variations in funding practices across firms are at least partially explained by behavioral persistence and the job opportunity. Moreover, my analysis suggests that past funding practice tends to be persistent. Employer in the industry which employees have more job opportunity will less likely to fully fund future pension obligations. Finally, there is some evidence supporting compensating wage differential and wage capitalization hypotheses. It implies that if effective in increasing rate of return would improve the funding ratio. It thus recommends that pension funds could increase rate of return through liberalization of the pension fund investment rules in Taiwan to allow these funds access to higher earning assets. This becomes particularly important given the recent downward trends in interest rates in Taiwan.
The contribution of Part II is to provide a effective approach for corporate to keep pension scheme operating without the solvency problem. It not only provides prudent and theoretical explanations for some common practice observed in the operation of pension scheme to resolve the potential financial burden, but also sheds some lights on the implication and prediction for the management of pension. In Part II, I analyze exclusionary devices that can be used to solve the pension distress problem. It outlines how to negotiate with pensioners and shows that the inefficiency of pension fund investment arises because of information asymmetry. It also suggests that the efficiency of reorganization of pension claim is affected by the maturity structure, interest rate and pension fund investment outcome. I derive conditions under which the pension distress can be effectively resolved and illustrate the importance of maturity structure of pension claim in staving off bankruptcy. However, corporate can also exploit over-investment through deferment for reason of agency or entrenchment. Hence, it pays pensioners to monitor corporate to find out whether a good performance is the result of good management without agency or of favorable market conditions. Moreover, it is obvious and shown that a good performance of pension fund investment is very essential to the success of pension reform. However, the management skill for pension fund investment is somewhat different from that of mutual fund management and thus will possess more information asymmetry. Casual evidence suggests that pension funds have consistently under-performed the market and mutual funds by large margins. It thus appears to subtract rather than add value, nonetheless, it has survived and grown, therefore it is a puzzle that finance researcher can not clarify till now. How to distinguish the true type of pension fund manager will be more difficult and evidenced by the literatures. One feasible way is to design an appropriate contract for pension fund managers who hold more information about the quality of their own performance. The optimal equilibrium for compensation contract is proved to be able to help corporate to identify the true type of pension fund manager and thus achieve to goal of good performance. My results suggest that maturity structure of pension claim significantly influence the decision of required investment for financially distressed pension fund. Pension debenture reform can be profitable for corporate if it is able to roll over the due pension claim with seniority or has excess cash to buy back pension claim. The undesirable consequence for pensioners who accept deferment with seniority design may lead some to argue that government should introduce provisions to restrict it to some degree. As well as yielding normative strategies concerning the distress of pension, my analysis also provides some explanation for the observed existence of solution for pension distress. I also identify the necessary conditions that make these strategies effective and show that many empirical evidences possess similar properties. Analysis along these lines has potential in explaining the pension management practice for resolving the possible default. The asymmetry of maturity structure permits pensioners to have significantly different value and degree of security of their pension claims when facing solvency problem of pension. The addition of seniority consideration can change the outcome of value and security of pension claim for pensioner and opens the possibility that corporate can force pensioners to accept sub-optimal offer. The model developed can be viewed as part of a larger framework that would be necessary to address the question of effective strategy in pension distress. The model focuses on the conflicts of interest among various pensioners. The purpose of this article has been to establish the precise strategies under which pension fund distress can be effectively resolved. This knowledge is essential if we are to gain a clearer understanding of pension fund operation and behavior. The results of this paper should have shed light on subsequent pension studies. Financial economists have not yet produced an equilibrium model that is good enough to be accepted for pension plan evaluation. The results previous literatures have uncovered suggest that pension plan performance and investment practices are fertile ground for future research.
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