Does Prudential Regulation Improve Solvency? A Structural Break Analysis of Pension Fund Dynamics

Abstract

This paper examines whether the 2019 prudential regulatory event improved pension-fund solvency dynamics. The analysis relies exclusively on previously estimated results reported in the thesis archive and combines ARIMA intervention models, polynomial time-trend regressions, Chow structural-break tests, and time-series decompositions. ARIMA results show no statistically significant intervention effect for the solvency-related index in either group (Control: xreg = 0.0024, p = 0.7423; Treatment: xreg = 0.0190, p = 0.3090). Time-trend regressions likewise show no differential post-event effect, although the treatment coefficient is negative and significant (-0.0491; p = 0.002). Chow tests, however, detect significant structural breaks in 2019 for both groups, with stronger evidence in treatment (Control: F = 1.710325, p = 0.0114; Treatment: F = 1.985284, p = 0.0015). Decomposition results show mild deterioration in the control trajectory and continued upward trend in treatment. The evidence therefore points to structural adjustment and heterogeneous resilience rather than a clean causal solvency gain attributable to the intervention regressor alone.