We study the effects of macroeconomic shocks on different cohorts in the Dutch economy. From a calibrated stochastic model of macroeconomic risks, we derive typical shocks to productivity, demography and asset returns. The effects of these shocks are then simulated using an overlapping-generations model that contains a detailed specification of taxes, premiums, and benefits under Dutch law. We look at both the direct impact of shocks on agentswealth and at the redistribution and insurance that are carried out by the government and the pension system. While both these entities generally act to insure shocks across cohorts, our results show that the insurance role of the government is much larger than that of the occupational pension funds. We further find that there is little cross-correlation between different risks, except in the case of rare disasters.

Netspar, Network for Studies on Pensions, Aging and Retirement, is een denktank en kennisnetwerk. Netspar is gericht op een goed geïnformeerd pensioendebat.

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