Диссертация (1137741), страница 2
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Others (Borsch-Supan et al., 2006; McGrattan and Prescott, 2017) consider the switchfrom PAYG to a fully funded pension system. Both types of pension systems were analysedin Marchiori et al. (2011) and de la Croix et al. (2013). This research falls into the firstcategory.As opposed to most studies on population aging where analysis is based on dynamiccalibrated computable general equilibrium (CGE) models (e.g.
Auerbach and Kotlikoff,1987), Heijdra and Bettendorf (2006) apply an analytical approach, extending the modeldeveloped by Blanchard (1985). Blanchard (1985) proposes an overlapping generationsmodel (OLG) in continuous time with an infinite horizon, uncertainty about the time of deathand labor productivity declining with age.3 As the model incorporates actuarially fair lifeinsurance, proposed by Yaari (1965), this model is sometimes referred to as Blanchard-Yaarimodel.
Blanchard-Yaari OLG model in continuous time can provide a more realistic notionof time than two or three period OLG models, allowing, at the same time, an analyticaltractability. Although the model can provide the interactions between agents of different agegroups and captures the finite horizon aspect of life, it cannot capture the life-cycle aspects ofconsumption and savings behaviour due to the age-independent mortality rate. 4 Their modelwas extended by Buiter (1988) and Weil (1989) to incorporate a non-zero population growthand by Bovenberg (1993), who analysed intergenerational and international distributionaleffects in an open economy.Heijdra and Bettendorf (2006) have extended this framework further by consideringtwo types of pension reforms: a decrease in pensions and an increase of the retirement age.Both reforms are followed by an adjustment of social contributions because Heijdra andBettendorf (2006) consider a balanced pension system.
The framework of Heijdra andBettendorf (2006) and Nielsen (1994) was extended by Nickel et al. (2008) by considering anunbalanced pension system. They analyse three fiscal scenarios in an economy with adecreasing population (Buiter, 1988): the suspension of the public pension system and a3Blanchard (1985) assumes constant death probability, which does not depend on age. This model is also calledthe model of perpetual youth.4Blanchard (1985) points it out the main drawback of the developed approach.5decrease in lump-sum labor tax; the suspension of the public pension system and a decreasein distortionary corporate tax; or an increase in the retirement age.
Their results suggest thatthe adverse consequences of pension reforms can be mitigated by appropriate taxationpolicies. Thus, if the tax policy is introduced promptly, the negative reform effect on theconsumption could be offset while the public debt would reach lower equilibrium levels.The main difference with the research presented in Chapter 3 is that Nickel et al. (2008)consider the government as a non-maximising entity and investigate how the predeterminedchanges in policy instruments would affect the transition of the main macroeconomicvariables to the new equilibrium in an open economy. While in this research socially optimalfiscal policy (social contributions and income tax) is defined and compared with the optimalset of policy instruments in equilibrium with both increasing and decreasing population in theclosed economy with endogenous interest rate.
The analysis of Heijdra and Bettendorf (2006)was also extended by considering two types of households: Ricardian and non-Ricardianagents (as in Castro et. al., 2017; Almeida et al., 2013 a, b).An inclusion of non-Ricardian agents has become a common practice in the analysis offiscal policy. The papers which analyse structural fiscal reforms and demographic shockswithin the GIMF framework (Global Integrated Monetary and Fiscal model) incorporatepopulation heterogeneity via Ricardian and non-Ricardian consumers (Almeida et al. 2013a,b; Castro et al., 2015; Karam et al., 2010) in order to capture the failure of Ricardianequivalence.
However, as opposed to the current research, they do not consider an optimalchoice of instruments by a social planner or the impact of the share of non-Ricardianconsumers on this choice.The motivation of considering Ricardian and non-Ricardian consumers arises from thefact that, although New Keynesian models can provide some insight into higher governmentmultipliers obtained empirically, they are subject to criticism for their inability to capture apositive response of consumption to increases in government spending observed empirically(Galí et al., 2007). The inclusion of non-Ricardian consumers is aimed at capturing the impactof fiscal policy shocks on private consumption by introducing heterogeneity in consumers.This is motivated by the failure of the permanent income hypothesis, showing that privateconsumption depends heavily on current income.
Galí et al. (2007) show that an inclusion ofnon-Ricardian agents can reconcile the New Keynesian framework with existing empiricalevidence: an increase in consumption and real wages following the government spendingshock.6There is no consensus in the literature concerning the number of non-Ricardian agentsin the economy.
Estimates vary from 50% in Campbell and Mankiw (1989) for the US to 24–37% for Euro area estimated by Coenen and Straub (2005).5 At the same time Marto (2014)estimated the share of non-Ricardian agents as equal to 58% for the Portuguese economy. Asfor Russia, Tiffin and Hauner (2008) assume that 40% of Russian households are liquidityconstrained in the GIMF model calibrated for Russia.6The importance of taking into account the existence of non-Ricardian agents, especiallywith an analysis of fiscal policy, is underlined by a series of theoretical devoted to anestimation of fiscal multipliers (Galí et al., 2007; Eggertsson and Krugman, 2012).
Although awide range of theoretical research has investigated the size of fiscal multipliers, there is still acontinuing debate on the size of the government expenditure multiplier under the zero lowerbound (ZLB). The two closest to the current research papers, Eggertsson and Krugman (2012)and Roulleau-Pasdeloup (2013), provide different evidence of the size of the multiplier in andout of the zero lower bound.Eggertsson (2011) illustrates that the effect of macroeconomic policies is differentunder ZLB and under a positive interest rate. In the former case the higher increase in theoutput can be obtained by policies aimed at stimulating aggregate demand, not aggregatesupply. This result of Eggertsson (2011) was confirmed by research within the DSGEframework (see, e.g., Christiano et al., 2011; Cogan et al., 2009; Erceg and Lindé, 2010)where a higher multiplier under the ZLB was also obtained.
Eggertsson and Krugman (2012)focus on the government expenditure multiplier under the ZLB in the framework ofheterogeneous agents (borrower-saver model). They obtain the multiplier of the utilityenhancing government expenditures which exceeds 1 under the ZLB. In this framework, apartfrom the standard demand-increasing effect of the public spending, government expendituresincrease the output through the channel of liquidity-constrained borrowers (non-Ricardian)who consume all their disposable income.Meanwhile, Roulleau-Pasdeloup (2013) analyses the government expendituremultiplier, taking into account the structure of public spending: namely, productive andutility-enhancing types of government expenditures.
The former was shown to gain a highershare in the total government expenditures during the recessions (Bachmann and Sims, 2012).5Here the estimates for posterior means are provided. These estimates are rather low, taking into account the factthat Coenen and Straub (2005) used the value of 0.5 as a mean of the prior distribution.6Global Integrated Monetary and Fiscal model (GIMF), presented in Kumhof, Laxton (2007, 2009, 2013),Kumhof et al.
(2009, 2010).7As opposed to the results of Eggertsson and Krugman (2012), Roulleau-Pasdeloup (2013) hasfound the fiscal multiplier to be lower in the case of an excess-savings liquidity trap thanunder a positive interest rate. He showed that for a high share of productive spending in totalexpenditures private consumption is crowded out by productive government spending, and themultiplier can even become negative. Chapter 2 is devoted to an analysis of the short-termgovernment spending multiplier on the basis of an extended borrower-saver model ofEggertsson and Krugman (2012) by incorporating public investment along with utilityenhancing public spending.
The developed framework, therefore, combines the introductionof debt-constrained consumers, which is known to increase the multiplier (Galí et al., 2007;Eggertsson and Krugman, 2012) with an assumption about productive governmentexpenditures that reduce the multiplier under the ZLB (Roulleau-Pasdeloup, 2013).Objectives of the researchThe objective of this research is to define the impact of non-Ricardian agents on fiscalpolicy efficiency and optimal taxation, when unbalances of the pension system have a directimpact on the public finance.With this aim, the following goals were achieved:•To provide a brief overview of the design of existing pension systems, underlining animportant role played by public mandatory pension provision in securing an adequatelevel of income at the retirement and forecast future public expenditure on pensions,which constitutes a significant part of total government expenditure.•To estimate how several pension reforms planned by the Russian government willimpact the value of public spending on retirement pensions with respect to thesustainability of public finance under different scenarios for economic and demographicdevelopment in Russia.•To define an impact of the share of non-Ricardian consumers on the value of fiscalmultiplier when the structure of government spending (productive and non-productive)is taken into account, under two interest rate policy regimes: positive interest rate andzero lower bound.•To construct a theoretical overlapping generations model with unbalanced pay-as-yougo pension system where the deficit of the pension fund is covered by the governmentto take into account the link between public balance and characteristics of the pensionsystem.8•To define the optimal combination of traditional fiscal policy instruments andcharacteristics of the pay-as-you-go pension system when the deficit of the pension fundis covered by the government.•To estimate an impact of the population structure, namely the share of non-Ricardianagents, on the optimal choice of fiscal instruments.MethodologyTo forecast future public expenditure on the provision of retirement pensions in Chapter1 an empirical model was developed, which accounts for possible size and coverage ofpension indexation, possible increase of the retirement age, forecasted age and genderstructure of the population and the rate of economic growth.
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