通货膨胀影响下养老保险基金资产配置研究

发布时间：2018-05-02 09:21

本文选题：养老保险基金 + 经济周期　；参考：《首都经济贸易大学》2016年硕士论文

【摘要】：本文通过梳理国内外相关文献,结合中国基本养老金运营现状及中国养老保险制度改革的目标,首先就养老金的定义,特点以及构成做了相关的研究介绍。在了解其特点的情况下,在已有的理论基础上,选取Black-Litterman模型作为资产配置的原始模型,将通胀系数作为变量引入做模型修正,就养老金的通货膨胀风险与资产配置关系进行相关研究。由于不同周期的通胀程度不同,引入经济周期划分不同时段的通胀系数,分阶段进行资产配置。在对中国实际经济情况进行分析的基础上,采用实证法,从养老基金资产与经济周期相结合的角度,建立了养老基金GARCH-经济周期模型。考虑到股票收益率尖峰厚尾、波动性以及杠杆效应的特点,运用GARCH模型,根据多重标准拟合大类资产配置权重,比较不同因素对因变量的影响大小,得出养老金在经济周期中大类资产的最优配置。随后运用上文所改的Black-Litterman-通胀模型,对养老金做行业资产配置,细化到投资行业,与美林时钟作对比,来实现投资比重。本文构建的模型,为养老金的投资管理及资产配置提供了有效的金融优化工具,研究了通过扩大投资品种从而保证养老金稳步增值的可能性。改变了不考虑经济环境、金融市场的不确定性只考虑固定或理想经济环境下的养老金投资问题的做法。希望为中国基本养老金的资产管理理论的研究与进一步发展提供重要和有益的补充,并且为不确定性条件下的金融优化问题提供灵活且有效的分析工具。
[Abstract]:Through combing the relevant literature at home and abroad, combined with the current situation of China's basic pension operation and the goal of the reform of China's pension system, this paper firstly introduces the definition, characteristics and composition of pension. On the basis of the existing theories, the Black-Litterman model is selected as the original model of asset allocation, and the inflation coefficient is introduced as a variable to modify the model. This paper studies the relationship between inflation risk and asset allocation of pension. Because the inflation degree of different cycles is different, the economic cycle is divided into the inflation coefficient of different periods, and the asset allocation is carried out in stages. Based on the analysis of the actual economic situation in China, the GARCH-business cycle model of pension fund is established from the perspective of the combination of pension fund assets and economic cycle by using the empirical method. Considering the characteristics of stock yield peak and tail, volatility and leverage effect, using GARCH model, according to the multiple criteria to fit the weight of large asset allocation, the influence of different factors on dependent variables is compared. The optimal allocation of large types of assets in the economic cycle is obtained. Then the Black-Litterman-inflation model is used to allocate assets to the investment industry and compare it with Merrill Lynch clock to realize the proportion of investment. The model constructed in this paper provides an effective financial optimization tool for the investment management and asset allocation of the pension, and studies the possibility of ensuring the steady increment of the pension by expanding the investment variety. It has changed the practice that the uncertainty of financial market only considers pension investment in fixed or ideal economic environment without considering the economic environment. This paper hopes to provide an important and beneficial supplement for the study and further development of the asset management theory of basic pension in China, and to provide a flexible and effective analytical tool for financial optimization under uncertain conditions.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F812.45

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