Microsimulating the Evolution of Italian Pension Benefits: the Role of Retirement Choices and Lowest Pensions Indexing

A few years after the introduction of the Amato and Dini laws, a renewed debate on reforming the Italian pension system and on modifying its structure and technical parameters is taking place. The present work simulates individual reactions to systemic changes, distinguishing among the different typologies of workers the categories of dependent (private and public) and self‐employed ones. This approach allows us to perform a general micro‐analysis of the effects of past reforms on family pension income distribution and average individual pension benefits. Furthermore, it makes it possible to assess the consequences of legislator's choices such as the indexation of the lowest pensions (‘assegni sociali’ and ‘pensioni integrate al minimo’) to wages or to inflation. Finally, a Monte Carlo analysis projects future inequality and poverty trends with a remarkable accuracy and allows to verify the robustness of our results.     

The 1995 Pension Reform: Equity,Sustainability and Indexation

In financial equilibrium, a pay-as-you-go pension system will offer yields (explicit or implicit) equal to the rate of growth of the incomes subject to the contribution levy or of reasonable proxies such as GDP. One virtue of the contribution-based award formula is that it makes this yield explicit, permitting immediate verification of the system's sustainability. A second virtue is that it ensures equal treatment of all participants. Without prejudicing the constraint of financial sustainability, a pension scheme may choose any one of an infinite number of pairs (combinations) of initial award and indexation rates; or, in other words, any of an infinite set of curves of the total benefit over time. The 1995 pension reform enacted under Lamberto Dini elected zero real indexation, thus permitting higher initial income replacement rates. Insofar as it will generate pension disparities depending on year of retirement, this choice is the likely prelude to creeping real indexation, or recurrent equalizations that will drive the overall yield on contributions above the GDP growth rate and violate the constraint of financial sustainability. Before insoluble problems arise, the reformed system must be amended to decrease income replacement rates to a level compatible with an indexation procedure (be it automatic or discretionary) for adjusting benefits to society's real living standards, as all main pension systems do. The article also criticizes other choices made in the formulation of the law that will prevent the reform from achieving its stated purposes.     

基于UPM-LPM的增强指数投资策略

增强指数投资策略的理念是基于部分成份股构建指数跟踪组合,以期在跟踪指数趋势的同时,获取超出指数平均收益的超额收益。本文将指数收益率作为目标收益,拓展经典下偏矩（Lower Partial Moment,LPM）的概念,使其适应于增强指数投资策略建模,同时给出上偏矩（Upper Partial Moment,UPM）的定义,进而构建基于UPM-LPM之比的增强指数模型。为解决模型的求解复杂性和高维投资组合的"维数灾难"问题,本文运用非参数核估计方法直接得到跟踪组合的密度函数,进而得到跟踪组合的LPM和UPM的解析表达式,避免对组合中各资产之间的高维联合分布进行估计,大幅度降低了估计的维度,克服"维数灾难"问题。而且LPM和UPM的核估计量是组合头寸的光滑函数,具有任意阶导数,便于优化问题求解。最后,本文运用沪深股票市场上五个常用指数及其成份股数据,检验模型在实际金融市场中的表现,结果表明：本文提出的增强指数模型能够战胜指数,同时实现跟踪指数趋势并获取稳健超额收益的目标。     

Modelling Wage Growth Dynamics in Italy, 1960-90

ABSTRACT: In this work we analyse the common dynamic properties of wage inflation, price inflation, unemployment and labour productivity using Italian annual data (1960-90, source: Prometeia). Applying multivariate cointegration technique we test for the presence of a wage equation and a price mark-up equation. The preferred identification suggests that it is possible to build up an error correction representation for the wage inflation, in which the rate of acceleration in wages depends on the contemporaneous rate of acceleration in prices and on the adjustment to long-run disequilibrium as represented by a Phillips type relation. This representation is rejected for the price inflation which turns out to be weakly exogenous within the system. Furthermore, there is evidence that wage inflation does not Granger-cause price inflation. The overall conclusion is that wage inflation does not contribute in explaining the price inflation process and the traditional mark-up view of inflation is not supported by data. The policy implication is that monetary policy need not respond to wage data because they do not contain additional information about the future path of inflation.     

Long‐Term Debt and Optimal Policy in the Fiscal Theory of the Price Level

The fiscal theory says that the price level is determined by the ratio of nominal debt to the present value of real primary surpluses. I analyze long‐term debt and optimal policy in the fiscal theory. I find that the maturity structure of the debt matters. For example, it determines whether news of future deficits implies current inflation or future inflation. When long‐term debt is present, the government can trade current inflation for future inflation by debt operations; this tradeoff is not present if the government rolls over short‐term debt. The maturity structure of outstanding debt acts as a “budget constraint” determining which periods' price levels the government can affect by debt variation alone. In addition, debt policy—the expected pattern of future state‐contingent debt sales, repurchases and redemptions—matters crucially for the effects of a debt operation. I solve for optimal debt policies to minimize the variance of inflation. I find cases in which long‐term debt helps to stabilize inflation. I also find that the optimal policy produces time series that are similar to U.S. surplus and debt time series. To understand the data, I must assume that debt policy offsets the inflationary impact of cyclical surplus shocks, rather than causing price level disturbances by policy‐induced shocks. Shifting the objective from price level variance to inflation variance, the optimal policy produces much less volatile inflation at the cost of a unit root in the price level; this is consistent with the stabilization of U.S. inflation after the gold standard was abandoned.     

Strategic planning and inflation

The author of this article argues that inflation is a neglected area in corporate planning despite the events of 1974/1975. The planning problem which companies face because of inflation is defined, while acknowledging that it is difficult to solve. Recent experience has shown that inflation has a direct impact on every major area of business. Thus it is essential that there is a meaningful attempt to handle these problems in planning. The author discusses his approach to grasping this nettle.     

中国通货膨胀门限值的实证检验

以通货膨胀在何种水平下将对经济增长产生负面影响的通货膨胀门限值为研究对象,借鉴Khan等研究通货膨胀结构断点的方法,建立包括经济增长率、通货膨胀率、人口增长率和工业增加值增长率在内的四元变量门限值回归模型,估计1978年至2009年中国通货膨胀的最优门限值水平。研究结果表明,中国通货膨胀的最优门限值为5%,当通货膨胀超过5%时将对经济增长带来显著的负面影响。最优通货膨胀门限值的存在不仅为中国中央银行实施货币政策制定了一个特定的数字目标,即保持通货膨胀在5%以下,还拓展了通货膨胀目标制在中国实施的讨论,在技术层面上完善了中国通货膨胀目标量化和预测的可操作性,为中国通货膨胀目标制的实施提供重要支持。     

Using Malmquist Indexes to measure changes in the productivity and efficiency of US accounting firms before and after the Sarbanes–Oxley Act

There have been many criticisms of the Sarbanes–Oxley (SOX) Act passed in July of 2002 to correct business accountability and performance practices. The act has a major emphasis on accounting and its practices. This paper attempts a response to these criticisms by investigating changes in productive efficiency for 62 of the largest US public accounting firms between the periods (2000–2001) and (2003–2004)—the periods before and after enactment of SOX in July of 2002. DEA is used to calculate Malmquist indexes of productivity and efficiency changes. This index is used because it can distinguish between changes in technical efficiency, which limit the possibilities, and changes in the performance efficiencies for each firm. Contrary to many of the criticisms, results indicate that accounting firms have exhibited significant post SOX growth in productive efficiency which is better than pre-SOX performances.     

我国开放式基金的风险度量模型研究

开放式基金作为一种收益共享、风险共担的集合投资工具,日益受到投资者的青睐.本文首先对开放式基金传统的风险度量方法,以及Bangia、Diebold、Schuermann&Stroughair模型、Hisata&Yamai的L-VaR模型和Shamroukh的流动性风险调整VaR模型进行了综述,指出其适用性与局限性.在此基础上,提出改进的开放式基金流动性风险度量指标,通过改进的指数化换手率来避免因换手率的差异而导致流动性风险测量的失真,构建我国开放式基金的资产流动性风险价值和条件风险价值度量模型.同时,考虑股票停牌、权重股等因素,在实证中反映我国开放式基金的流动性风险,形成基于流动性风险调整的开放式基金资产变现方法.     

货币政策非对称性与惰性区域的识别和检验

在对货币当局政策偏好分析的基础上,构建更为一般的货币政策反应模型,用于识别名义利率对通胀缺口和产出缺口的非线性和非对称调整特征以及货币政策对通货膨胀和产出变化的惰性属性。采用7天期银行间同业拆借加权平均利率作为名义利率的代理变量,对上述货币政策反应模型进行广义矩估计,并对参数进行约束检验。研究结果表明,中国货币政策对通货膨胀的调整存在明显的惰性区域,即当通货膨胀率在目标通货膨胀率的较小范围内波动时,利率并未针对通货膨胀与目标通货膨胀率的偏离做出调整,而当通货膨胀率与目标通货膨胀率的偏离(即通胀缺口)超过惰性区域时,货币当局开始针对通胀缺口调整利率,并且随着通胀缺口的增大,利率对通货膨胀的反应越来越强烈,存在明显的非线性调整特征。     

Appendix. Incomes Policies in Europe during the Eighties

Abstract. Moving off from the lessons of the Italian incomes policy experience of the 1980s, this paper presents a new framework to interpret the performance of incomes policy (LP) agreements and institutions, and propose new strategies for the 1990s. IP is viewed as a cooperative outcome that evolves from a non-cooperative long-term game between several players (workers, unions, firms, government, parliament, etc.), along the lines of the model drawn up by Brunetta and Carraro (1988). The paper is divided into three sections. The first summarizes the history of IP in Italy, starting from the phase of the predetermination of disinflation (1983-84). We firstly outline some of the fundamental features of recent Italian development (the “Italian model”), noting how new IP measures could be taken to create an adequate response to the new European and international deadlines. The difficulties and uncertainties that presently exist at both national and international level make the introduction of IP in new, cooperative and evolutive terms, necessary. The second section examines the various topics and new objectives of a “strategic” IP resumption, particularly relevant to the concerted action on the cost of labour, presently being discussed. The topics we consider are: the link between wage reform and IP; the recent concerted agreements reached on fiscal drag (26.1.89) and on the cost of labour (25.1 and 6.7.90); the importance of the role of productivity gain-sharing; programmed inflation and price control; indexation of gross wages and safeguarding the net wage; increase of the tax base; profit-sharing. The third and final section presents a few observations which further investigate the distribution of productivity gains between sectors and uses: how it is articulated amongst the various bargaining levels (central, sectoral or enterprise). Redistribution amongst sectors is dealt with in terms of “protected” and “unprotected” areas of the economy, showing the need of a concerted regulation at the central level. Sharing between factors and allocations presents a very different case, and is dealt with at sectoral and firm level.     

For a New Incomes Policy: New Possibilities and Objectives

Abstract. Moving off from the lessons of the Italian incomes policy experience of the 1980s, this paper presents a new framework to interpret the performance of incomes policy (LP) agreements and institutions, and propose new strategies for the 1990s. IP is viewed as a cooperative outcome that evolves from a non-cooperative long-term game between several players (workers, unions, firms, government, parliament, etc.), along the lines of the model drawn up by Brunetta and Carraro (1988). The paper is divided into three sections. The first summarizes the history of IP in Italy, starting from the phase of the predetermination of disinflation (1983-84). We firstly outline some of the fundamental features of recent Italian development (the “Italian model”), noting how new IP measures could be taken to create an adequate response to the new European and international deadlines. The difficulties and uncertainties that presently exist at both national and international level make the introduction of IP in new, cooperative and evolutive terms, necessary. The second section examines the various topics and new objectives of a “strategic” IP resumption, particularly relevant to the concerted action on the cost of labour, presently being discussed. The topics we consider are: the link between wage reform and IP; the recent concerted agreements reached on fiscal drag (26.1.89) and on the cost of labour (25.1 and 6.7.90); the importance of the role of productivity gain-sharing; programmed inflation and price control; indexation of gross wages and safeguarding the net wage; increase of the tax base; profit-sharing. The third and final section presents a few observations which further investigate the distribution of productivity gains between sectors and uses: how it is articulated amongst the various bargaining levels (central, sectoral or enterprise). Redistribution amongst sectors is dealt with in terms of “protected” and “unprotected” areas of the economy, showing the need of a concerted regulation at the central level. Sharing between factors and allocations presents a very different case, and is dealt with at sectoral and firm level.     

DOES INFLATION TARGETING ANCHOR LONG‐RUN INFLATION EXPECTATIONS? EVIDENCE FROM THE U.S., UK,AND SWEDEN4

We investigate the extent to which inflation expectations have been more firmly anchored in the United Kingdom–‐a country with an explicit inflation target–‐than in the United States–‐a country with no such target–‐using the difference between far‐ahead forward rates on nominal and inflation‐indexed bonds as a measure of compensation for expected inflation and inflation risk at long horizons. We show that far‐ahead forward inflation compensation in the U.S. exhibits substantial volatility, especially at low frequencies, and displays a highly significant degree of sensitivity to economic news. Similar patterns are evident in the UK prior to 1997, when the Bank of England was not independent, but have been strikingly absent since the Bank of England gained independence in 1997. Our findings are further supported by comparisons of dispersion in longer‐run inflation expectations of professional forecasters and by evidence from Sweden, another inflation‐targeting country with a relatively long history of inflation‐indexed bonds. Our results support the view that an explicit and credible inflation target helps to anchor the private sector's views regarding the distribution of long‐run inflation outcomes. (JEL: E31, E52, E58)     

民间金融与中国宏观经济——理论机制与实证分析

作为中小企业的主要融资渠道,民间金融对中国经济发展具有重要作用。本文理论探究了民间金融对中国主要宏观经济变量的作用机制,并以此为基础选取全国地区性民间借贷综合利率指数作为民间金融的代理指标,建立VAR模型分析了民间金融对这些宏观经济变量的影响。研究发现：民间金融在理论上能直接以及通过货币政策间接影响经济增长和通货膨胀;而民间金融与货币政策的互动依赖于宏观经济变量之间的联系或正规金融的传导。从实证分析来看,民间金融的发展对经济增长有显著影响,作用方式是先促进后抑制;同时民间金融也能显著影响通货膨胀,其利率升高会加剧通货膨胀;但是民间金融和货币政策无显著关系,这是由于经济增长和通货膨胀没有起到传递作用以及民间金融和正规金融无明显的互动,由此表明民间金融并不能通过货币政策间接影响经济增长和通货膨胀。本文的研究有助于深入理解民间金融与宏观经济的关系,对制定相应的经济政策和管控民间金融风险具有重要的借鉴意义。     

基于养老金入市的中国通胀指数债券定价与模拟

随着我国人口老龄化程度的不断加剧和养老金缺口的不断扩大,以及通货膨胀上行的压力,养老基金如何投资实现保值增值已经成为关系国家发展和社会稳定的重要课题。在此背景下本文构建了一个两因子连续时间定价模型,求解出风险中性测度下通胀指数债券的理论价格,并通过数值模拟分析了通胀指数债券对通货膨胀的抵御作用,以及名义利率、通货膨胀率、波动率和债券期限等因素对通胀指数债券价格的影响。研究表明：通胀指数债券价格与通货膨胀率、波动率正相关,与利率负相关,且波动率对通胀指数债券的影响系数要大于通货膨胀率,更大于利率;当预期通货膨胀率高于利率时,通胀指数债券会溢价发行,而且期限越长价格越高。本文的研究为养老基金多元化投资规避通胀风险、实现保值增值提供了可能,也为国家推进金融衍生工具的创新提供依据。     

Unternehmensbewertung bei Inflation und Wachstum

The valuation literature partly suggests distinguishing between growth based on retained earnings and growth based on inflation. It is not clear, however, whether inflation leads to growth and how to incorporate inflation into valuation formulas. Our paper analyzes this question using a model of a firm, which makes periodically new investments that are subject to inflation and growth. In contrast to some of the literature, we show that accounting-based valuation formulas must not be adjusted for inflation. Using nominal accounting numbers and historical unadjusted book values leads to the same valuation like discounting cash flows. We conclude that the valuation procedure, suggested by the German Institute of Auditors (IDW) leads to a deviation between accounting-based and cash-flow-based valuation formulas.     

Some reflections on inflation accounting

The basis accounting is considered in this article which questions the fundamental tradition of the annual cyclic approach. The author considers that inflation accounting (which itself is a challenge to traditional methods) must be considered in this context. Further the underlying assumptions made in order to arrive at profit utilising historic cost (for which inflation accounting would make substitutions) are also questioned. Emphasis is placed on the distorting effect of the annual taxation system in accounting at present. The conclusion reached is that accounting methods could well be changed in an industrial society and that inflation accounting as such should not be introduced as ancillary or by way of supplement to an accounting system on the traditional basis.     

我国通胀预期与通胀的动态关联性——基于宏观金融模型的研究

通胀预期问题已成为当前和下一阶段我国经济发展中必须关注的问题。本文对我国不同期限国债的名义和实际收益建立了含有宏观因子和潜在因子的仿射无套利模型,从通胀补偿中分解出了通胀预期。研究认为:分解出的短期和中期通胀预期与通胀率的动态关联性较强,而长期通胀预期和通胀率的动态关联性较弱;各期限通胀预期都不是理性预期,但中期和长期预期是适应性预期;发现CPI是影响通胀预期的最重要因素,其影响效果随着期限增加而增大;存款利率对通胀预期的影响效果次之,对短期和中期预期有正向影响,且随期限增加而减小,对长期预期有负向影响,且随期限增加而增大;但M2对通胀预期的影响并不显著;短期和中期通胀预期的事前和事后预测能力都优于央行调查预期。     

Developing a Public Interest School of Management

This 'think piece' paper contributes to the recent 'business school business' debate by examining whether an alternative form of the business school – specifically, the public interest model – can be created. Current criticisms of conventional business schools are reviewed and alternative models explored. We take some examples from our own field of health management research. We define the public interest school model in more detail than in previous accounts and compare and contrast it with other models of the reformed business school. We identify certain conditions in which this form is more likely to succeed and suggest a future empirical research agenda.     

Underemployment Benefit Effects on Employment and Income Distribution: What We Should Learn from the System of the Cassa Integrazione Guadagni

ABSTRACT: Two aspects distinguish the Cassa Integrazione Guadagni (CIG) from most other European under or unemployment public benefit schemes: an institutionally fixed replacement ratio and a rotation principle imposing a labour-sharing regime. Within a labour-sharing approach, the comparison between the CIG unitary subsidy proportioned to the corresponding wage rate and the European standard fixed in nominal terms, shows that, ceteris paribus, employment is lower and profits are higher in the former system. Moreover, given the indexation provided by CIG, aggregate supply is vertical in this system while it is positively sloped in the other. Consequently, employment, real profits and real wages are constant in the former case, while they are positively correlated to the good quality of the states of nature in the latter. If the tax-based financing of public benefits is not — as it is not in Italy — experience-rated, the CIG regime induces moral hazard behaviours harmful to the State: it leads firms and unions to agree on relatively high wages, thus raising the value of both working and non-working time. Without affecting the unions’average requests and the firms’profits, this attitude reduces employment and increases under or unemployment public subsidies.