ALM 분석을 통한 국민연금 적립금 목표수익률에 대한 연구 (An ALM Study on Target Fund Returns of Korean National Pension Service)

서지정보

· 발행기관 : 한국금융학회
· 수록지 정보 : 금융연구 / 24권 / 1호 / 67 ~ 97페이지
· 저자명 : 신성환

초록

국민연금 제도는 우리나라 사회보장 제도의 근간을 이루는 중요한 제도로서 적립방식과 부과방식의 중간적인 형태인 부분적립방식으로 운영되고 있다. 국민연금 제도가 시행된 지 아직 초기 단계이기 때문에 적립금 규모는 매우 빠른 속도로 증가하고 있는 반면, 인구구조의 변화로 인해 국민연금 적립금은 제도개혁이나 적립금 운용수익률의 개선 없이는 2060년경에 고갈될 것으로 예상된다. 국민연금에서 자체 분석한 추계자료에 따르면 적립금이 고갈되어 부과방식으로 전환되는 경우보험료율은 무려 임금의 24%에 달할 것으로 예상된다. 본 연구에서는 국민연금 재정안정화를 ‘적립금규모/총임금’ 비율이 시간에 따라 일정하게 유지되는 상태로 정의하고, 이를 달성할 수 있는적립금 운용 목표수익률 및 보험료율 정책에 대하여 분석하였다. 본 연구의 결과를 간략히 요약하면 다음과 같다. 첫째 국민연금이 연 평균 5.29%의 운용수익률을 달성할 경우 국민연금 적립금은현행 제도 하에서 2060년 고갈되는 것으로 예상된다. 둘째 2078년 이후의 적립금 운용 기대수익률이 6%라고 가정할 때, 2078년까지 재정안정화를 이룰 수 있는 2078년까지의 연간 적립금 운용 기대수익률과 보험료율의 조합은 (6%, 12.3%), (7%, 10.2%), (7.5%, 9.2%) 등으로 도출되었다. 셋째,5% 확률로 발생 가능한 저조한 수익이 실현될 경우 2078년까지의 남은 기간 동안 재정안정화를기대할 수 있기 위한 보험료 인상 폭이라고 정의할 때, 기대수익률에 수반되는 보험료율 인상 위험은 (6%, 0.7%), (7%, 1.1%), (7.5%, 1.4%)로 분석되었다. 비록 본 연구의 분석결과가 2078년까지의 장기 재정추계에 의존한다는 단점을 갖고 있기는 하나 본 연구에서 분석한 내용들이 재정추계값이 변화함에 따라 정기적으로 재검토 되고 조정될 경우 국민연금 적립금은 국민연금 재정을 장기적으로 안정화시킬 수 있는 방향으로 운용될 수 있을 것이다.

영어초록

Korean national pension system (KNPS), as a back bone of the nation’s social security system, is a partially funded system that has the characteristics of both funded and pay as you go systems. Because KNPS is a relatively young system which started in year 1988, the fund size of KNPS is currently increasing rather rapidly. Due to unfavorable demographic changes, however,the fund is projected to be depleted by year 2060 if KNPS is not reformed. According to the projection data by Korean national pension research center (KNPRC), the contribution rate will be as high as 24% after year 2060 when the fund is depleted and the current system is converted into pay as you go system as a result of the depletion.
In this study, required fund returns and contribution rates are analysed for achieving steady state by year 2078. As a definition of the steady state,three criteria are compared; funded ratio, constant fund to pension payment ratio, and constant fund to total wage ratio. Among them, the constant fund to total wage ratio selected as a criteria in this study because it captures the characteristics of a partially funded system and it reflects the changes of liability well. As the fund return is higher, the steady state fund to total wage ratio becomes lower. So is also the case for contribution rate. According to the analysis of this study, the required fund size for the KNPS fund to reach the steady state in year 2078 is more than four times larger if the perpetual expected fund return is 4% compared with the case of 8% perpetual expected fund return. As for the contribution rate, the required fund size is more than double if the contribution rate is 9% compared with the case of 17% contribution rate.
In this study, as reflected in the projection data by KNPRC, it is assumed that the wage increase ratio and the payment to total wage ratio are stabilized at 2.8% and 0.24 after year 2078, respectively. The main results are 1) the implied annual average fund return underlying the projection of KNPS fund depletion in year 2060 is 5.29% per annum, 2) if the perpetual fund return after year 2078 is 6%, the expected fund return and contribution rate combinations that can achieve the steady state by year 2078 are (6%,12.3%), (7%, 10.2%), (7.5%, 9.2%), 3) when the risk is defined as the required contribution rate increase after five years for achieving the steady state by year 2078 under the scenario that 5% probability worst case return is realized for five years, the expected return and risk combinations are (6%, 0.7%),(7%, 1.1%), and (7.5%, 1.4%).
These results have several important implications. First, there is a trade off between the expected fund return and the required contribution rate for achieving the steady state. Increasing the expected annual fund return by one percent until year 2078 is more effective than increasing the contribution rate by 2%. Second, the higher the expected fund return is, the higher the required contribution rate increase is in unlucky situations.
Finally, KNPS’s depletion problem can be significantly mitigated at the current contribution rate of 9% if the average annual fund return of 7.5% can be achieved until year 2078. Target returns for KNPS fund can be determined in the coordinates of (expected fund return, required contribution rate, risk of contribution rate increase) for achieving the steady state by year 2078.
The results of this study imply that setting up a target return and contribution policy is an evolutionary process. As demographics change and the realized future returns are different from the expected fund returns, contribution rate needs to be adapted to the change. Sometimes, even target returns may need to change depending upon the feasible set of contribution policy.
This study has a limitation that it is based upon the projection data by KNPS research center. Nonetheless this study will help KNPS set its investment policy from the perspective of long-term sustainability of KNPS.
In this way, it will be easier to form a consensus among interested parties of KNPS, that are government, current generations, and the future generations.

참고자료

· 없음