Fluctuations in Macroeconomic Variables on the Funding of Pension Funds in Iran (Combined Data Pattern Method with Different Frequency (Midas))

Abstract

In the present study, the fluctuations of macroeconomic variables on the resilience of pension funds in Iran are investigated. For this purpose, using the combined data model method with different frequencies (Midas), the present issue was investigated for different seasonal and annual time periods. In the estimated model, the annual data of government debt, unemployment, and total expenditures of the Social Security Organization and quarterly data of oil price fluctuations, exchange rate jumps, money supply and consumer price index for the years 1370-1397 have been used. Data related to 1398 were not used in the initial estimation of the relationship in order to test the predictive power of the model outside the estimation range. Based on the results; Inflation rate, money supply, exchange rate jumps and crude oil price fluctuations have a statistically significant effect on the expenditures of the Social Security Organization. In other words, in terms of economic structure and according to the principles of economics, a steady increase in the exchange rate causes economic prosperity in society, but if this increase is temporary, economic prosperity can not be observed. A floating and managed exchange rate increase will cause relative stability in the foreign exchange market, which in turn will increase the total costs of the Social Security Administration in the long run. Exchange rate fluctuations lead to an increase in debt by companies and the government, and an increase in debt will lead to a general lack of liquidity, which in general, the lack of liquidity of enterprises has a negative effect on the situation of the Social Security Organization and increase the total costs of the organization. Has it. Also, by comparing the predicted values with the realized values, the prediction accuracy of the model is higher and is closer to the real values.