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National Research University Higher School of Economicsas a manuscriptMariam Oktaevna MamedliPENSION SYSTEM AND FISCAL POLICY IN AN ECONOMY WITHHETEROGENEOUS AGENTSPhD Dissertationfor the purpose of obtaining academic degreePhilosophy Doctor in Economics HSEAcademic supervisor:Professor Sergey E. Pekarski, PhDMoscow – 2018Федеральное государственное автономное образовательноеучреждение высшего образования«Национальный исследовательский университет«Высшая школа экономики»На правах рукописиМамедли Мариам ОктаевнаПЕНСИОННАЯ СИСТЕМА И ФИСКАЛЬНАЯ ПОЛИТИКАВ ЭКОНОМИКЕ С НЕОДНОРОДНЫМИ АГЕНТАМИДИССЕРТАЦИЯна соискание ученой степеникандидата экономических наук НИУ ВШЭНаучный руководитель:Пекарский С.Э., к.э.н., PhDМосква – 2018Table of ContentsIntroduction ...............................................................................................................................4Chapter 1.
Pension systems in OECD countries and in Russia ..........................................151.1. Introduction ..............................................................................................................151.2. Overview of pension systems and recent pension reforms ...................................161.2.1. Key types of pension systems .............................................................................161.2.2.
Recent pension reforms in OECD countries .......................................................191.2.3. Adequacy of the retirement income and income inequality in Russia................241.2.4. Projections of public pension expenditure in OECD and G20 countries............261.3. Pension system in Russia: challenges, projections and policy implications ........281.3.1. Population forecasts ............................................................................................281.3.2.
Recent pension reforms in Russia .......................................................................301.3.3. Challenges for public finance .............................................................................311.3.4. Scenario analysis of pension expenditures and policy implications ...................351.4. Conclusion .................................................................................................................42Chapter 2. Fiscal multiplier and the role of non-Ricardian agents ....................................442.1. Introduction ..............................................................................................................442.2.
The model ..................................................................................................................462.2.1. Households ..........................................................................................................472.2.2.
Firms ...................................................................................................................492.2.3. Monetary and fiscal policy..................................................................................492.2.4. Steady state .........................................................................................................502.3. Fiscal multiplier and comparative statics ..............................................................522.3.1. Deleveraging shock .............................................................................................522.3.2. Fiscal multiplier under a positive nominal interest rate ......................................562.3.3. Fiscal multiplier under zero lower bound ...........................................................572.3.4.
Comparison of the two cases: the role of zero lower bound ...............................602.4. Conclusion .................................................................................................................63Chapter 3. Optimal fiscal policy under an unbalanced pension system and the role ofnon-Ricardian agents ..............................................................................................................653.1. Introduction ..............................................................................................................653.2. The model with Ricardian and non-Ricardian consumers...................................693.2.1.
Ricardian and non-Ricardian households ...........................................................703.2.2. Demography and aggregate household sector ....................................................723.2.3. Firms ...................................................................................................................743.2.4. Public sector ........................................................................................................753.3.
Model summary and social welfare ........................................................................763.4. Calibration ................................................................................................................793.5. Optimal fiscal policy instruments in a homogeneous economy............................803.5.1. Policy instruments under unbalanced pension system depending on theretirement age ....................................................................................................................813.5.2. Optimal policy under balanced and unbalanced pension system ........................833.5.3. Robustness check: life expectancy and labor productivity .................................853.6.
Optimal fiscal instruments: the role of non-Ricardian agents .............................873.6.1. Optimal income tax .............................................................................................883.6.2. Optimal tax instruments under an unbalanced pension system ..........................903.6.3. Optimal public spending and the share of non-Ricardian consumers.................923.6.4.
Optimal fiscal instruments if discrimination is possible .....................................9323.7.Conclusion .................................................................................................................96References ................................................................................................................................98Appendix 1 .............................................................................................................................105Appendix 2 .............................................................................................................................1163IntroductionMost OECD countries have conducted pension reforms recently in order to ensure bothfinancial sustainability of the pension systems and adequacy of pensions.
This underlines theneed for an analysis of the consequences of pension reforms and future public expenditure onpension provision.Urgency of these reforms has been dictated by: first, the challenges to financialsustainability of the existing pension systems, putting additional pressure on public finances(which worsened after the financial crisis of 2008–2009 and sovereign debt crisis); andsecond, by the longevity coupled with sharply decreasing birth rates. Despite undertakingpension reforms, public expenditure on pensions as a percentage of GDP is expected to risefurther in the near future in most OECD countries.
According to OECD estimates, publicspending on pensions has increased from 6.7% of GDP in 2000 to 8.2% of GDP in 2013,being the largest part of social expenditure (18% on average of the total expenditure in2013).1 Long-term OECD forecasts for public spending on pensions suggest that thistendency would continue for most OECD countries, with the spending growing in 21countries and falling in 14. As a result, pension expenditures are expected to increase from8.9% of GDP in 2013–2015 to 9.5% of GDP by 2050, reaching 10.9% in 2060. 2The change of pension system characteristics such as higher retirement age or the rate ofsocial contributions may be considered as an alternative to standard consolidation measures ofpublic finance.
Public pension systems also have a redistributive role, providing the minimumlevel of income at the retirement for low income households who were not able to save duringtheir working period (minimum pensions are present in 15 OECD countries).At the same time, an account for the existence of non-Ricardian agents (Galí et al.,2007), who consume all their disposable income and do not make any savings, is crucial inthe analysis of fiscal policy (e.g. Almeida et al., 2013). It allows investigating more carefullythe consequences of optimal fiscal policy and an economic impact it may have.
The structureof the population should be taken into account, since fiscal policy directly affects theconsumption of non-Ricardian agents and, as a result, the other macroeconomic variables.1Pensions at a Glance (2017), OECD Social Expenditures Database (SOCX).The numbers for 2013–2015 may differ from the values presented in OECD Social Expenditures Database(SOCX) because of the different range of benefits covered and the definitions used (Pensions at a Glance, 2017).24Literature reviewTheoretical research of pension reforms can be classified by the type of pension systemunder consideration. The first group covers pay-as-you-go (PAYG) reforms (e.g. Heijdra andBettendorf, 2006; Nickel et al., 2008; Karam et al., 2010; Kilponen et al., 2006; Castro et al.,2017; Almeida et al., 2013 a, b; Pierrard and Snessens, 2009; Marchiori and Pierrard, 2012,2015).
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