中国主权养老基金资产配置研究

发布时间：2018-01-04 04:25

本文关键词：中国主权养老基金资产配置研究　出处：《天津财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着我国老龄化时代的到来,养老金支付的财政压力日趋增强。虽然我国巨额的养老转制隐性债务终将在未来几十年内逐渐消化掉,但养老金个人账户因长寿风险而潜在的资金缺口将随着“新人”的退休而逐渐显现并将越来越大而且长期存在。文章从研究我国老龄化现状、养老金制度缺陷以及我国外汇储备盈利性不足等方面入手,指出了在我国建立外储型主权养老基金的必要性和可行性；对挪威“全球养老基金”和俄罗斯“国家福利基金”进行比较分析,提出我国可借鉴的经验；提出我国应该分流外汇储备,建立主权养老基金,与社会保障基金、个人账户养老基金形成一个完整的养老体系,以应对未来的养老金支付需求。根据国外学者研究发现,基金收益的95%可以由资产配置解释,所以文章的重点是主权养老基金的资产配置。借鉴瑞银机构的研究报告,投资组合基于IMF特别提款权(SDR)中的货币权重,能更好地反映全球经济和贸易流的构成。由此,投资地域的选择可以选择美国、欧洲、新兴市场国家,资金分配比例可以是以SDR一篮子货币为基准。利用M-V最优化模型,选取了FTSE环球指数、美国国债、FTSE全球房地产指数,对我国主权养老基金的资产配置实证分析。得出结论,主权养老基金可以在要投资目的地(如欧美)的基础上,充分分享新兴市场国家快速发展带来的投资收益,在欧洲、美洲、新兴市场国家的股票市场、债券市场、全球房地产市场、大宗商品等市场进行灵活的资产配置。
[Abstract]:With the arrival of the aging era in China, the financial pressure of pension payment is increasing. Although the huge pension system recessive debt will be gradually digested in the coming decades. But the potential funding gap in individual pension accounts due to longevity risks will gradually become apparent as "new people" retire and will grow larger and longer term. Based on the study of the current situation of aging in China, the defects of the pension system and the insufficient profitability of China's foreign exchange reserves, this paper points out the necessity and feasibility of establishing the reserve sovereign pension fund in China. This paper makes a comparative analysis of Norway's "Global Pension Fund" and Russia's "National Welfare Fund", and puts forward some experiences that our country can learn from. It is suggested that China should divert foreign exchange reserves, establish sovereign pension funds, and form a complete pension system with social security funds and individual account pension funds in order to cope with future pension payment needs. According to the research of foreign scholars, the 95% of fund income can be explained by asset allocation, so the focus of this paper is the asset allocation of sovereign pension fund. The portfolio is based on the monetary weight of the IMF SDR, which better reflects the composition of the global economy and trade flows. In emerging market countries, the capital allocation ratio can be based on the SDR basket of currencies. Using M-V optimization model, the FTSE global index and the FTSE global real estate index are selected. Empirical analysis of asset allocation of sovereign pension funds in China. It is concluded that sovereign pension funds can be based on the investment destination (such as Europe and America). Fully share the investment gains from the rapid growth of emerging market countries in Europe, the Americas, emerging market stock markets, bond markets, the global real estate market. Commodities and other markets for flexible asset allocation.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F842.6;F832.5

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