Stopa zwrotu z akcji i aktywów wolnych od ryzyka a wzrost PKB w długim okresie. Wnioski dla systemu emerytalnego w Polsce
Return on shares and risk-free assets vs gDP growth in the long term. Conclusions for the pension system in Poland

Summary/Abstract: The value of the rate of return in the universal pension system depends on three variables: GDP growth (to which indexation of capital in pension accounts at ZUS is connected), return on shares and return on bonds (which determine the rate of return achieved by a pensioner in OFE). The article is an attemptat answering the question about relations between the GDP growth and return on shares and risk-free assets. The analysis of data from 17 countries which was conducted in the years 1900–2010 showed that in the long term the average rate of return on shares was higher than the risk-free rate on aver- age by 4.6 p.p. (in the case of geometric means) and 7.1 p.p. (in the case of arithmetic means). At the same time, the data shows that in the analysed group of countries the average return on shares was positively correlated with the average GDP growth rate and exceeded it by 1.9 p.p. (in the case of geo- metric means) and by 4.5 p.p. (in the case of arithmetic means). The high (in comparison with the GDP growth) return on shares may be an argument for creating or raising the pension contribution paid to the pension system’s FDC part, as well as for increasing the percentage of shares in pension savings, in particular in the case of young people, in order to maximise the expected return on such savings.

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