我国基本养老保险基金多元化投资组合与风险预警研究

发布时间：2018-01-12 15:05

本文关键词：我国基本养老保险基金多元化投资组合与风险预警研究　出处：《西北大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着我国老龄化的加剧,通货膨胀的不确定性以及养老待遇的刚性增长,未来我国养老金的支出压力越来越大。在基本养老保险基金现行政策下,其投资渠道窄,投资收益低,基本养老金不断被通货膨胀侵蚀,基本养老保险基金连保值的目标都无法达到,更别说增值。但是,我国基本养老保险基金多元化投资可以改善上述状况,首先,我国基本养老保险基金累计结余越来越多,这为基本养老保险基金进行多元化提供了资金支持,其次,全国社保基金和企业年金的运营为其提供借鉴,最后,国家也在逐步放松对其投资工具的政策限制。研究基本养老保险基金的多元化投资与风险预警对养老保险制度而言,仍有理论和现实意义。本文首先对我国基本养老保险基金投资运营的现状进行回顾和分析,并对我国基本养老保险基金多元化投资的可行性与必要性进行了分析。其次,运用投资组合理论,选取1978-2012年的CPI年平均值作为保值率,通过十八大提出的到2020年GDP翻一番计算出来的年增长率为较高收益率,选择银行存款、国债和股票为投资工具,并以此构建基本养老保险基金多元化投资组合模型,计算出投资工具的收益率以及相关性,最后得出投资工具的投资比例与方差,保值目标的投资比例为股票3.97%、国债9.52%、银行存款86.51%,增值目标的投资比例为20.33%、48.71%和30.96%,再次根据风险管理理论,确立以方差衡量风险的方法,并借此划分风险等级,提出降低风险的处理方法,然后通过分析发现投资工具只限于国债和银行存款将无法实现保值增值,多元化是其未来趋势,基本养老金将受益于利率的市场化,但风险预警制度的建立是多元化投资的前提。最后根据分析结论,从统筹层次、投资渠道、管理理念和风险预警方面提出了相关政策建议。
[Abstract]:With the aggravation of the aging of our country, the uncertainty of inflation and the rigid increase of pension treatment, the expenditure pressure of pension in our country will be more and more great in the future. Under the current policy of basic pension insurance fund. Its investment channel is narrow, the investment income is low, the basic pension is continuously eroded by the inflation, the basic pension insurance fund can not even maintain the value, not to mention the increment. China's basic pension fund diversification can improve the situation. First of all, China's basic pension fund accumulation balance is increasing, which provides financial support for the basic pension fund diversification. Secondly, the national social security fund and the operation of enterprise annuity provide reference for it, finally. The government is also gradually relaxing the policy restrictions on its investment tools. It is still of theoretical and practical significance to study the diversification investment and risk early warning of the basic pension fund for the pension insurance system. This paper firstly reviews and analyzes the present situation of the investment and operation of the basic endowment insurance fund in China, and analyzes the feasibility and necessity of the diversification investment of the basic pension insurance fund in our country. Based on portfolio theory, the annual average value of CPI from 1978 to 2012 is chosen as the hedge rate. The annual growth rate, calculated by doubling GDP by 2020, proposed by the 18 National Congress, is a relatively high yield, with bank deposits, treasury bonds and stocks as investment instruments. Based on this, we construct a diversified portfolio model of basic pension insurance fund, calculate the return rate and correlation of investment tools, and finally get the investment ratio and variance of investment tools. The investment ratio of the value preservation target is 3.97 stocks, 9.52% of national debt, 86.51% of bank deposits, and 20.33% and 30.96%% of the investment ratio of appreciation target. Thirdly, according to the theory of risk management, the paper establishes the method of measuring risk by variance, and then classifies the risk grade and puts forward the method to reduce the risk. Then it is found that investment instruments are limited to treasury bonds and bank deposits will not be able to achieve value preservation and appreciation, diversification is its future trend, basic pension will benefit from the marketization of interest rates. However, the establishment of risk early warning system is the premise of diversified investment. Finally, according to the conclusion of the analysis, this paper puts forward some relevant policy suggestions from the aspects of overall planning, investment channels, management concepts and risk early warning.
【学位授予单位】：西北大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F842.67;F832.51

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