Vol. 21 No. 43 (2025)

Artículos

Dynamics of relevant economic-financial variables and the returns of the Mexican Pension System of SIEFORES

Published 2025-12-31

  • Francisco López Herrera
    • ,
  • Marissa R. Martínez-Preece
    • ,
  • María Margarita Mosso-Martínez

Francisco López Herrera
Universidad Nacional Autónoma de México, División de Investigación en la Facultad de Contaduría y Administración

Marissa R. Martínez-Preece
Universidad Autonoma Metropolitana (Azcapotzalco), Departamento de Administración, División de Ciencias Sociales

María Margarita Mosso-Martínez
Universidad Abierta y a Distancia de México

Abstract

The variability of the risk of the pension funds of the Retirement Savings System (SAR) has been studied, however, up to the best of our knowledge, there is a lack of research on the sources of systematic risk affecting their returns. Thus, this paper aims to fill this gap in the literature. According to the Arbitrage Pricing Theory (APT), several economic and financial variables play a key role in the systematic risk of financial assets and, therefore, in their market value and returns. Based on relevant research in Mexico and other countries, the following variables were selected to analyze their effects on the returns of the Retirement Savings System: economic activity, interest rates, exchange rates, international oil prices, and stock market returns. We estimated the model specification using a regression with time-varying coefficients, to account for structural changes in the SAR and shocks to the economic structure. The study covers the period from July 1997, when operations began for the defined contribution system through Specialized Investments Retirement Funds (SIEFORE), to June 2023. The results can inform the decision-making process regarding investment policy for pension fund management and risk control.

 

Keywords

SIEFORES, pension funds, pension, systematic risk, time-varying coefficients regresion

PDF (Spanish)

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