Asie Tsintsadze, Sofio Tsetskhladze
FORECASTING THE EFFECTIVENESS
OF NON-STATE PENSION FUND INVESTMENT STRATEGIES: THE CASE OF GEORGIA
Abstract:
This paper evaluates the effectiveness of Georgia’s non-state pension fund using monthly data for 2022–2023 and develops short-to-medium-term forecasts to 2030. We assemble indicators on pension contributions, investment returns, and the exchange rate, and define a fund-effectiveness measure to capture the system’s ability to meet obligations. Ordinary Least Squares (OLS) regression is used to estimate the relationship between effectiveness and its determinants; we verify time-series properties with Augmented Dickey–Fuller tests, assess Granger causality, and construct an ARIMA model to forecast dynamics under current policies.
The results indicate a positive and statistically significant association between contribution inflows and effectiveness, while the link between investment returns and effectiveness is weak or negative during the sample period, consistent with portfolio transition, limited diversification, and market volatility. Exchange-rate movements appear positively associated with effectiveness, reflecting the valuation of foreign assets, but also imply additional risk to beneficiaries’ purchasing power. Forecasts suggest that, absent reforms, effectiveness is unlikely to rise materially by 2030.
We discuss implications for policy design and governance. Priority actions include: strengthening risk management and diversification; aligning asset duration with liabilities; instituting foreign exchange risk hedging where appropriate; publishing clearer performance and risk disclosures; and enhancing default portfolio design and member choice architecture. The findings inform the calibration of contribution policy and investment guidelines for Georgia’s non-state pension system.
Ravi Kumar, Babli Dhiman
SPILLOVER EFFECTS BETWEEN INDOCHINA METAL FUTURES MARKETS
Abstract:
India and China have been at the top of the exporter, importer, producer and consumer economies. The two neighbouring countries provide the largest market in the world. They also share a similar history of development of their commodity derivatives markets. This paper aims to examine the direction of causality and spillover effect between the metal futures markets of the two economies. The analysis is done for metals such as copper, aluminium, zinc and gold in the period 2009 - 2020 by using Granger causality and Dynamic Conditional Correlation -GARCH (DCC-GARCH) models. The gold futures at the Multi Commodity Exchange (MCX) have a unidirectional causality on the gold futures traded at Shanghai Futures Exchanges (SHFE), unlike other metals having bidirectional causality. Similarly, GARCH results report only long-term volatility spillover for gold futures returns, while for the base metals, both short-term and long spillover exist. The findings indicate that the Indian metals futures market has started to influence the Chinese metal futures. The results have important implications for policymakers, regulators, industrialists and offshore traders of physical commodities in hedging their positions.
