Regulating the Selection of Products under Investment Accounts Pension System: A Study of the Chilean Experience

该奖项是根据2009年美国复苏和再投资法案（公法111-5）资助的。随着每个工人领取养老金的人数上升，美国和欧洲的许多现收现付社会保障体系面临破产的困境。正在考虑的可能改革之一是过渡到资金充足的私有化帐户制度。1980年，智利是第一个从现收现付制转向资金充足的私人退休账户制的国家。智利的养老金制度已成为许多拉美国家养老金改革的典范，最近的例子是墨西哥。美国和欧洲的决策者也对智利的经验非常感兴趣。本项目研究了在基金绩效受到监管约束的寡头垄断养老金投资行业中的产品选择和后续定价问题。具体来说，我们开发并估计了消费者养老基金选择和企业产品和定价选择的均衡模型。养老金投资行业使消费者面临市场风险。政府扮演着最后担保人的角色，补充因收入低或回报不佳而不足的养老金积累。因此，高风险的养老金投资可能导致政府承担高额债务。此外，政府担保可能会诱导低收入个人的风险寻求行为，而竞争性行业可能会超过风险投资组合来满足这种需求。因此，企业向市场提供的投资产品的选择是私有化养恤金制度全面成功的一个重要因素。智利政府解决这一问题的方法是对收益进行监管，将风险从消费者转移到基金经理身上。我们使用消费者和养老基金公司决策的估计模型(i)调查现有智利监管在限制系统风险方面的有效性，（ii）将当前系统与其他监管形式进行比较，（iii）调查养老金产品的社会最优选择，（iv）探索竞争对所提供的投资产品的影响收费结构。我们的重点是智利，但这项研究的结果应该引起更广泛的兴趣。美国和欧洲的养老金改革建议假设，在养老金积累不足的情况下，政府会补充养老金收入。因此，这些国家在消费者通过养老金制度选择投资组合方面可能面临类似的担忧。更广泛的影响：拟议的研究议程将加强对产品选择和定价决策的理解与差异化的产品市场。它还将提供关于其他类型的监管限制对企业决策和消费者福利的影响的信息。例如，旨在限制养老金市场风险的监管，实际上可能产生意想不到的后果，即增加企业的冒险行为。所提出的模型框架也可以扩展到研究道德风险对产品选择的影响，以及在没有逆向选择的市场中非线性定价。这项研究促进了对一个资金充足的养恤金制度的设计和运作所涉及的复杂问题的理解。它还有助于评估充分供资系统的可行性，作为目前实行的现收现付系统的可能替代方案。此外，该项目对教学和培训有更广泛的影响。研究生将参与数据分析。这项研究的结果将通过研讨会、会议和出版物广泛传播，作者希望将这项研究的结果纳入他们的本科和研究生课程材料。

This award is funded under the American Recovery and Reinvestment Act of 2009 (Public Law 111-5).Many pay-as-you-go social security systems in the United States and Europe face impeding insolvency as the number of pensioners per worker rises. Among the possible reforms being considered is transiting to fully funded privatized accounts system. Chile was the first country to switch from a pay-as-you-go system to a fully funded private retirement accounts system in 1980. Chile's pension system has served as a prototype for pension reform in many Latin American countries, most recently in Mexico. U.S. and European policy makers are also looking with keen interest at the Chilean experience. This project investigates the choice of product and subsequent pricing in an oligopolistic pension investment industry under regulatory constraints on fund performance. Specifically, we develop and estimate an equilibrium model of consumer pension fund choices and of firm product and pricing choices. The pension investment industry exposes consumers to market risk. The government plays the role of a guarantor of last resort, supplementing pension accumulations that are insufficient either due to low income or unfavorable returns. Risky pension investments can therefore lead to a high level of government obligations. Additionally, the government guarantee may induce risk seeking behavior in low income individuals, and a competitive industry would likely over risky investment portfolios to meet this demand. The selection of investment products that firms offer to the market is therefore an important factor in the overall success of a privatized pension system. The Chilean government addresses this problem by regulating returns in a way that shifts the risk from consumers to money managers. We use our estimated model of decision-making by consumers and by pension fund companies (i) to investigate the effectiveness of the existing Chilean regulation in limiting risk in the system, (ii) to compare the current system to alternative forms of regulation, (iii) to investigate the socially optimal choice of pension products and (iv) to explore the effects of competition on the investment products offered on fee structures. Our focus is on Chile, but the results of this study should be of a more general interest. Pension reform proposals in the US and in Europe assume that the government supplements pension income in the case of insufficient accumulations. Therefore, these countries may face similar concerns about the selection of investment portfolios available to consumers through the pension system.Broader Impacts: The proposed research agenda will enhance the understanding of product choice and pricing decisions in the markets with differentiated products. It will also inform on the effects of alternative kinds of regulatory restrictions on firm decisions and on consumer welfare. For example, regulation that was designed to limit risk in the pension market can actually have the unintended consequences of increasing risk-taking by firms. The modeling framework proposed can also be extended to investigate the impact of the moral hazard on product selection as well as non-linear pricing in the market without adverse selection. This research fosters the understanding of the complex issues involved in design and operation of a fully funded pension system. It also contributes to the assessment of the viability of fully funded systems as a possible alternative to pay-as you go system currently in place. In addition, the project has broader impacts on teaching and training. Graduate students will participate in the data analysis. The results from this research will be widely disseminated through seminars, conferences and publications and the authors expect to include results from this research in their undergraduate and graduate course material.