چرا باید سهام اجباری، در گرو صندوق های بازنشستگی باشد؟ (سوال سرمایه گذاری خارجی)

A model of portfolio optimization, which takes account of the difference between the private and social cost of foreign investment, is used to analyze the relationship between capital shortages and the international diversification of mandatory, private pension funds in developing and transition countries. The socially optimal rate of foreign portfolio investment may be positive, even when access to international capital markets is limited. I propose replacing investment limits with a tax on foreign investments, equal to the difference between their social and private cost. The use of international pension swap is seen to be formally equivalent to the imposition of such a tax.

Do balance of payments constraints justify the ceilings on foreign investment which regulatory authorities impose on mandatory, private pension funds in many developing and transition countries? When returns on securities markets in different countries are less than perfectly correlated, international diversification can expand the risk–return frontier faced by investors everywhere.1 However, in order to reap the benefits of diversification, investors must be able to move capital freely in and out of their home country. In developing and transition countries, widespread capital shortages may argue against unrestricted capital mobility. Indeed, the governments of many of the developing and transition countries, which have introduced mandatory private pension funds (MPPFs) during the last twenty years, have generally been motivated, in part, by the desire to increase the quantity and quality of domestic saving (The World Bank, 1994; Vittas, 1998 and Vittas, 2000; Impavido and Musalem, 2000).2 This motivation may explain some of their reticence to allow the resulting domestic funds to export their capital. Fontaine (1997) discusses the rationale for the foreign investment ceilings imposed by MPPF regulators in Chile. Reisen, 1997a and Reisen, 1997b looks also at regulatory foreign investment ceilings in OECD countries. Davis (2002) argues that foreign investment ceilings limit portfolio optimization, and simulates averages and standard deviations of real returns in ten OECD countries, 1970–1995, for different hypothetical degrees of international diversification. He discusses the resulting improvement in the risk-return frontier. This paper presents a simplified, formal model of portfolio optimization, which takes account of potential capital shortages. The paper focuses on the distinction between the private and social cost of foreign portfolio investment. The private cost, to the beneficiaries of a domestic fund, of investing a given sum outside of their home country is simply the opportunity cost of not investing that sum at home. The cost to society is the cost of replacing the exported capital on international markets. If the country is fully integrated into international capital markets, which are, in turn, completely competitive, international lenders will provide credit to domestic firms at the same rate as domestic savers, and private and social costs will be equal. But, if capital markets are segmented, international lenders will charge more to domestic firms than domestic lenders, if they perceive the risk of domestic investment to be higher than domestic lenders do. In such a situation, the social cost of foreign investment will exceed the private cost. I will refer to that situation as one in which access to international capital markets is restricted. In the model presented below, I explicitly derive the optimal degree of foreign diversification when access to international capital markets is restricted, and compare it with optimal diversification when capital markets are fully integrated. Desired foreign investment is smaller in the restricted case, but is not necessarily zero. In fact, under certain configurations of risk and return, desired foreign investment may be substantial, even though international access is restricted. This analysis throws light on the suggestion by Merton (1990) and Bodie and Merton (2003) that pension funds in countries which are subject to capital constraints obtain international diversification by entering into swap contracts with investors in other countries. That proposal has been interpreted as an innovative procedure for avoiding the portfolio inefficiencies that prohibition of direct international portfolio investment would otherwise entail. I argue below that if one extends the Bodie and Merton reasoning to account for the discount that foreign investors apply to domestic investments in developing and transition countries, the analysis of the optimal use of swap contracts becomes formally equivalent to the analysis of the optimal level of foreign investment, which incorporates the social cost of that investment. The Bodie and Merton scheme, and the scheme analyzed in Section 4, though institutionally different, are economically similar. This paper does not analyze the “home equity bias”. Lewis (1999) reviews an extensive empirical literature documenting the strong tendancy for portfolios in OECD countries to be over-weighted in domestic securities. The thrust of this literature is that investors overweight domestic securities, even when legal restrictions on foreign investment do not apply. Gehrig (1993) and Kang and Stulz (1994) argue that asymmetric information between foreign and domestic investors contribute importantly to the observed “bias”. Portes and Rey (1999) and Portes et al. (2001) infer support for this informational explanation of the portfolio “equity bias” from their study of cross-border equity flows. Obstfeld and Rogoff (2000) suggest that the bias may also simply be a reflection of transactions costs in the trade of the goods and services produced by the underlying firms. Whatever its causes, there is moderate evidence that the strength of the bias has diminished in the OECD (notably in the United States), as capital markets have become more integrated (Tesar and Werner, 1998; Lewis, 1999). The focus of this paper is on regulatory restraints on the international diversification of the portfolios of MPPFs in developing and transition countries. Such restraints have also limited the international exposure of institutional portfolios in OECD countries prior to the 1980s, and continue to do so in some countries during the 1990s. Though some limits were relaxed, Davis (1995) found that a wide range of regulations still applied to pension funds in OECD countries, ten years after the abolition of exchange controls. At one end, he placed countries (including, notably Australia, the Netherlands, the United Kingdom and the United States) where no formal restrictions remained. At the other, countries like Germany and the Scandinavian countries, where funds remained subject to “tight restrictions”. In between were countries like Canada, and Switzerland, where “moderate restrictions” of 30% applied.3 At the end of 2002, the ceilings on the foreign investments of MPPFs in developing and transition countries (reported in Table 1) were, on average, substantially below Davis’s “moderate” range. The question this paper addresses is whether or not those tight restrictions can be justified by balance of payments constraints. Ceilings on foreign investments are but one instance of the quantitative limits which figure prominently in a certain mode of portfolio regulation, which limits exposure to different categories of investment (stocks, bonds, real estate, etc.). Davis (2004) examines the rationale and implications of general approaches to the regulation of life insurance and pension fund portfolios, and suggests that the “prudent person rule”4 is better suited to the regulation of defined contribution pension funds (which all MPPFs are) than quantitative restrictions. He argues that quantitative restrictions, which may be desirable in the formative years of a regulatory system (when the regulators are inexperienced and particularly subject to political pressures), should not be considered a long-term norm. Franks and Mayer (1989) go further, and argue that no investment regulations of any kind may be required – in the case of defined contribution pension funds – if competition regulations and consumer protection regulations are strong and well enforced. This paper does not consider the prudential issues raised by these authors, but focuses instead exclusively on the relationship between foreign investment ceilings and restricted access to international markets. Section 2 reviews the history of MPPFs in developing and transition countries. Section 3 presents and analyzes a simple model of portfolio allocation in a small economy, whose capital markets are fully integrated with international capital markets. Section 4 addresses the more general case, in which there is a wedge between the cost of domestic funds and the cost of international funds. The section also compares the degree of international diversification in the constrained and unconstrained case. Section 5 considers the possibility that developing countries will so enhance their international credibility, that their access to capital increases. Section 6 applies the model of optimization with restricted international access to the analysis of international pension swaps, and explains the similarity of the Bodie and Merton (2003) proposal and mine. Section 7 discusses the implementation of liberalization measures. Section 8 concludes.

From Chile in 1981 to Croatia in 2002, the architects of mandatory, private pension funds (MPPFs) have engaged in intense debate over foreign investment limits. Some have held that the principal objective of these systems – enhancing the well being of working people in their retirement years – is furthered by allowing them to enjoy the benefits of international diversification. Others have argued that the limited access that developing and transition countries have to international financial markets points to an important, second purpose for these schemes – to raise low levels of national saving, and provide new sources of capital for domestic investment. In the interests of this second objective, it is argued that MPPF funds should largely be restricted to domestic investments. In fact, foreign investment limits have remained low in most of developing and transition countries with MPPFs. This paper analyzes the relationship between international diversification and capital shortages in a simple model of portfolio optimization. The conclusion is that the foreign diversification which is in the private interests of the beneficiaries is compatible, to a certain degree, with the development priorities of countries faced with a balance of payments constraint. The analysis shows that, even if capital is scarce because the access to international capital markets is limited, the optimal rate of foreign investment is not necessarily zero. The focus in this analysis on the wedge between the private and social costs of foreign investment leads naturally to a proposal to replace investment limits with a tax on foreign investments, thereby forcing investors to internalize social costs, and placing the burden of predicting the variability of costs and returns squarely with fund managers. The model also throws light on the suggestion by Bodie and Merton (2003) that foreign diversification can be reconciled with capital shortages through the use of international pension swaps. When the economic costs, which are associated with these contracts in capital constrained countries, are incorporated into the analysis, the free use of international swaps is seen to be formally equivalent to the regime in which foreign investment bears the socially optimal tax described above. Important institutional arguments for and against each of these two regimes are evoked. In some countries, where there is no tradition of successful financial regulation, it may be prudent to continue to use quantitative ceilings to regulate foreign investment. In such cases, these limits should be reviewed regularly in the light of the considerations examined here. Whatever regulatory strategy is followed, limits on foreign investment should eventually disappear, when access to international capital becomes unrestricted, as it will, for instance, when EU accession countries join the European Monetary Union.