The Evolution of Public Sector Pension Funding
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1 The Evolution of Public Sector Pension Funding Robert K. Triest (based on joint work with Bo Zhao) Federal Reserve Bank of Boston Public Pension Funding Forum April 22, 2014 The views expressed here are those of the authors and do not necessarily represent the views of the Federal Reserve Bank of Boston or the Federal Reserve System.
2 Funded ratio, % Pervasive underfunding of public pension plans th 75th Median Mean 25th 50 10th Notes: Sample includes 85 state administered plans. Figure displays the percentile and mean values of funded ratio from 2001 to Shaded area represents NBER defined national recession. Year
3 Triest-Zhao research What caused the public pension underfunding crisis? Did state and local governments cut their contributions in response to adverse fiscal or economic conditions? What is the role of financial shocks in the underfunding of public pension plans? Why did some plans perform worse than others?
4 Data Pension data: BC s Public Plans Database 85 state-administered plans for Fiscal data: NASBO s Fiscal Survey of States Unexpected fiscal shock=expenditure shock-revenue shock (Poterba 1994) Expenditure shock=actual outlays-mid-year spending changes-forecast outlays Revenue shock=actual revenues-enacted revenue changes-forecast revenues
5 Regression results Dependent variable: Plan sponsors' contribution/payroll OLS Static panel data model Dynamic panel data model Unemployment rate 0.51*** * Unexpected state budget deficit/state expenditure ** 0.42** Unexpected state budget surplus/state expenditure UAAL/payroll, one year lag 0.02*** 0.01*** 0.01*** Plan sponsors' contribution/payroll, one year lag 0.30***
6 Robustness checks Robust regression. Static panel data model without outlier observations. Estimation with an expanded sample. Replace current payroll with 10-year average.
7 Why the lack of opportunistic behavior? Institutional constraints: state statutes setting contributions. Increased UAAL results in increased ARC. Even if contributions/payroll increase, the percentage of ARC paid may decrease. Is the failure to increase contributions to meet the ARC opportunistic behavior?
8 Comparison by s of funded ratio in 2010 Funded ratio in 2010 Bottom Second Third Top Correlation with funded ratio in 2010 Funded status: Funded ratio in *** Funded ratio in *** Change in funded ratio from 2001 to **
9 Quartile comparison Funded ratio in 2010 Investment: Bottom Second Third Top Correlation with funded ratio in 2010 Annual investment return ** Assumed discount rate ** Annual investment returnassumed discount rate ***
10 Quartile comparison Funded ratio in 2010 Bottom Second Third Top Correlation with funded ratio in 2010 Investment in equities/total portfolio Investment in bonds/total portfolio Investment in all other types of assets/total portfolio Plan has a separate investment council *** Actuarial assets (in billions of 2010 dollars) **
11 Quartile comparison Funded ratio in 2010 Bottom Second Third Top Correlation with funded ratio in 2010 Plan sponsors' contribution: Annual change in plan sponsors' contribution/payroll *** Plan sponsors' contribution/payroll *** (Plan sponsors' contribution-arc)/payroll: excluding 3 outliers ***
12 Quartile comparison Funded ratio in 2010 Bottom Second Third Top Correlation with funded ratio in 2010 Employee contribution: Annual change in employee contribution/payroll Employee contribution/payroll *** Plan benefits: Plan sponsors' normal cost/payroll Retirement benefits payment per retiree
13 Research findings Plan sponsors do not cut contributions in response to adverse fiscal or economic conditions. Plan sponsors contributions increase in response to growth in UAAL. The pension underfunding crisis during the 2000s is largely because portfolio returns fell short of expectations. The worst funded plans in 2010 may suffer from insufficient scale in portfolio management.
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