主权财富基金的战略价值——基于国民效用与风险对冲的视角

发布时间：2018-10-09 19:47

【摘要】：本文将我国主权财富基金作为国家整体经济布局的海外投资手段,通过建立理论模型分析了我国主权财富基金的战略价值与模式选择。首先,在实现国民效用最大化的目标下,建立了两基金分离模型。结果表明:我国主权财富基金的最优投资模式是将其分离成组合收益型和战略型两大类基金。其次,对战略型主权财富基金进行了理论分析和实证研究。结果表明:是否设立我国战略型主权财富基金取决于其通过对冲国内经济发展风险所增加的国民效用水平,而不是收益率的大小;战略型基金的最优规模与国内经济规模、国内经济总风险以及管理当局的风险厌恶水平成正比。针对石油、钢铁和有色金属行业的模拟结果论证了战略型基金对于对冲国内风险和提升国民福利水平的显著作用。
[Abstract]:This paper takes China's sovereign wealth fund as a means of overseas investment in the overall economic distribution of the country, and analyzes the strategic value and mode choice of China's sovereign wealth fund through the establishment of a theoretical model. Firstly, under the goal of maximizing the national utility, the separation model of the two funds is established. The results show that the optimal investment model of China's sovereign wealth funds is to separate them into two types: portfolio return and strategic. Secondly, the paper makes theoretical analysis and empirical research on strategic sovereign wealth funds. The results show that the establishment of China's strategic sovereign wealth fund depends on the national utility level increased by hedging the risks of domestic economic development rather than the size of the rate of return, the optimal size of the strategic fund and the domestic economic scale. The overall risk of the domestic economy is proportional to the level of risk aversion by the authorities. The simulation results for oil, steel and nonferrous metals industries demonstrate the significant role of strategic funds in hedging domestic risks and raising the level of national welfare.
【作者单位】：北京航空航天大学经济管理学院;
【基金】：国家自然科学基金重点项目(No.70831001) 创新群体项目(No.70821061)资助
【分类号】：F832.51;F224

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