국민연금 재정추계를 위한 주요 거시경제변수 장기전망 모형에 대한 연구 = A study of Long-term structural model of major macro-economic variables for National Pension`s financial projections

다국어 초록 (Multilingual Abstract)

In view of the key macroeconomic variables, which are exogenous inputs in the actuarial model designed for long-term financial projections of the National Pension, the objective of this study is to construct a structural macro-econometric model for long-term economic forecasting. In line with this purpose, we develop a theoretical model which is explicitly linked with the key macroeconomic variables such as wage inflation, interest rates, inflation rate, and GDP growth rate based on the neoclassical aggregate production function approach. We also construct an empirical model consists of financial-real variables linkages, which is verified as a valid long-term forecasting model in the sense of explanatory power of reality by the validity testing results using historical time series data. In addition, we provide an illustrative example of the long-term projections of real GDP growth, real wage inflation, real interest rates, and inflation rate for the period of 2011~2060 along with 3 scenarios of assumed exogenous variables in the model, which are labor force growth rate, labor income share, capital-output coefficient, capital stock growth rate, and total factor productivity growth rate. It can be judged that the above model has a feasibility in terms of long-term forecasting model in the sense that the assumed values of key macroeconomic variables by the National Pension actuarial projection committee(2008) are almost all in the range of projected values of this study in spite of different estimation methodology and assumptions about exogenous variables.

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