Risk factors in pension returns

Pension schemes are vulnerable to a number of macroeconomic risks. This paper by Peter Broer, Thijs Knaap and Ed Westerhout (all CPB) assesses these risks. It reviews the literature on risks in demography, productivity and financial markets, paying attention to their development over time and possible interactions. Using this review, they construct a VAR model for the Netherlands to derive the implications of risks for the returns on defined–benefit (DB) and defined-contribution (DC) pension schemes that are either funded or PAYG-financed.