中国养老基金投资基础设施资产配置研究

发布时间：2018-03-18 23:14

本文选题：养老基金　切入点：基础设施　出处：《西南财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：我国养老基金是全国社会保险基金的重要一部分,如何才能有效地对养老基金进行保值增值一直是我国甚至是各个国家的研究课题。现代金融市场上可投资的产品种类繁杂、各尽特点,如何选择与养老基金投资要求相匹配的资产配置也是学术界一直讨论的热点。西方发达国家在上世纪90年代就开始尝试把养老基金投资于基础设施领域,并创造了很多新的投资模式与积攒了多年的投资经验。本文在引述国外成功经验以及实证分析工具的基础上,对我国现阶段养老基金投资基础资产配置进行研究。本文研究内容的大致结构分为以下几个主要部分：第一部分的绪论综合论述了本文的研究背景、意义、内容以及可能的创新之处。首先论文的研究背景是随着我国整个经济社会的快速发展,社会保障体系也不断健全完善,因此积累了一定的养老基金,如何对这部分资金进行有效的资产配置管理摆在管理部门的面前。所以论文研究意义主要就在于本文为我们面临的问题给予探讨和基于实证下的建议。最后的研究内容和可能的创新之处介绍本文在对养老基金投资基础设施的资产分配比例的探讨,这也是本文可能的主要创新之处,即把研究重点放在投资过程中具体的资产分配问题。第二部分全面介绍国内外关于养老基金投资基础设施领域以及相关问题的研究文献。由于在这方面的研究国外学者相对于国内做的研究更为全面和深入,因此这部分主要以国外文献综述为重点。国外文献中综述了部分国外养老基金投资现状、投资理论的发展以及对基础设施投资的研究文献。第三部分作为实证分析部分的理论概述,本文首先介绍Markowitz投资组合理论的基本概念以及发展历程,为后面更好的理解投资组合理论做好铺垫；然后作为测量风险的工具风险价值(VaR)方法,文中分别介绍三种方法,并一一列举了三种方法的优点与缺陷。第四部分综合阐述了养老基金投资基础设施的理论依据以及对重点的几个国家的实践进行剖析。首先基于我国日益严重的人口老龄化问题以及城市化的总体国内形势的现实实际,需要加快基础设施的建设的脚步。同时,我国养老基金在面临经济危机的大背景已经通货膨胀巨大压力下需要保值增值的需求,使养老基金投资基础设施成为可选的备选项。在分析了基础设施的收益特点后,指出基础设施收益具有可观的回报率、对经济和市场的敏感性较低、低的违约率等特点,这些特性与养老基金对投资的产品需求的特性有很好的匹配。因此基于以上分析使养老基金投资基础设施成为可能。其次,分别剖析了澳大利亚、拉丁美洲与美国的养老基金投资基础设施的实践,包括这些国家或地区的投资背景、具体选择模式与评价。第五部分为养老基金投资基金基础设施建设的实证分析部分。首先对于样本的选择问题,本文选取的是2008年至2012年底的数据,这段时间为全球经济危机严重的时间段,这段时间的选取也为养老基金投资基础设施建设能达到在经济萧条背景下实现保值增值的目标提供更强的说服力。文中分别选取的数据为Shibor利率、上证国债指数(SSE T-Bond Index)收益率、上证企业债指数(SSE Corporate Bond Index)收益率,另外基础设施数据方面选取的是上证180基建指数(SSE180infrastructure index)和180资源指数(SSE180resource index)。通过模型的处理,本文得出养老基金投资于整体的基础设施领域是不理想的,但是投资于基础设施某些主题领域能达到保值增值的目的。另外,文中根据其他的约束条件,给出资产配置中各个资产的权重。第六部分阐述本文研究不足及对策建议。由于本文数据选取的时间期限较短、基础设施建设包含的主题领域没有全部涉及,另外在财务会计上面没有进行资产负债分析与实际中的记账方式的探讨以及我国养老基金投资基础设施领域时的具体投资模式的探析等方面并没有做进一步的研究。所以针对这些问题也是以后继续研究的基点,为后续研究指明方向。本文的创新之处在于对养老基金投资于基础设施领域资产配置的实证部分的研究。文章利用实证的方式通过模型数据的比较分析得出养老基金投资基础设施在保值增值方面的可行性。这不同于以往研究在定性分析养老基金投资基础设施的可行性的探讨。另外,文中的模型数据选取的时间虽然受到数据来源的限制,但是选取2008年以后的数据并且最后得出投资实证上的可行性,说明在通货膨胀率较高并且出现经济危机的大背景下,把养老基金投资于基础设施领域能在一定程度上实现其保值增值的目的。最后,文章根据来自于实际的假设(投资组合收益的控制、年风险价值(置信度为5%)的约束条件)给出投资组合中各个成分的权重,特别是基础设施部分的权重,这为以后的后续研究都提供了一定的参考价值,也是本文具有可能的创新之处。本文在数据选取时间区间受到数据源本身的限制,没有进行更宽时间跨度的实证分析。由于文章的重点是做资产配置研究,因此在财务管理中缺少对养老基金资产负债均衡、投资基础设施过程中会计记账方式等的研究,以及投资运营模式的具体探讨。因此为了解决以上的不足之处,在以后的研究中,还应从以下几方面进行改进：首先,在数据收集方面可以试图自行编制时间跨度更长的基础设施领域的主题指数,对2008年以前的数据进行模型处理分析；其次,从整体角度来分析养老基金资产与负债所面临的风险以及在投资基础设施过程中基金记账方式的研究。最后,基于不同基础设施领域的投资属性特点,参考澳大利亚、美国、欧洲国家等国际上投资模式的经验,探讨制定适合我国养老基金投资的模式。
[Abstract]:The pension fund in China is an important part of the national social insurance fund, how to effectively increase the value of pension funds has been our research topic even in various countries. The modern financial market investment products for all types of complex features, focus how to choose investment to match the requirements of pension fund asset allocation also the academic circles has been discussed. The western developed countries began to try to put the pension fund investment in infrastructure in the last century in 90s, and created a lot of new investment mode and has accumulated many years of investment experience. Based on the quoted foreign successful experience and empirical analysis tools, research on the allocation of investment in infrastructure assets I at the present stage of our country pension fund.
The general structure of the research content of this paper is divided into the following main parts:
The first part of the introduction discusses the research background, the significance, content and possible innovations. Firstly, research background of the thesis is with the rapid development of China's entire economic society, social security system has been perfect, therefore accumulated a certain amount of pension funds, to this part of the funds for the effective management of the asset allocation in front of management. So the significance of this thesis lies in this paper for the problem we are facing to discussion and suggestions based on the empirical research content. Finally, and the possible innovations in this paper introduces the proportion of asset allocation of pension fund investment in infrastructure, this is a major innovation of this paper may be, that is the research focus in the process of investment asset allocation for specific problems.
The second part introduces the research literature at home and abroad on the pension fund investment in infrastructure and other relevant issues. Because of the foreign scholars in this aspect compared with the domestic do more comprehensive and in-depth, so this part mainly focus on the foreign literature review. In literature reviews part of foreign pension fund investment status, development the theory of investment and investment in infrastructure in the research literature.
The third part is empirical analysis of the theoretical overview section, this paper first introduces the basic concepts of Markowitz portfolio theory and the development process, in order to pave the way for a better understanding of portfolio theory behind; then as a tool for risk measurement risk (VaR) method, three methods are introduced in this paper, the advantages and defects and to enumerate three methods.
The fourth part expounds the theoretical basis of pension fund investment in infrastructure and the practice of several countries focus on the analysis. Firstly, based on the problem of population aging is becoming increasingly serious in China and the city of the overall domestic situation of reality, the need to accelerate the pace of infrastructure construction. At the same time, pension fund in China the background of the economic crisis facing inflation has been under great pressure to increase the value of the demand, the pension fund investment in infrastructure has become optional option. In the analysis of the income characteristics of infrastructure, has pointed out that the infrastructure gains substantial returns, low sensitivity to the market economy and the characteristics of low default rate. The characteristics of these characteristics and the pension fund on investment demand for the product has a good match. So based on the above analysis the pension fund investment in infrastructure can be Secondly, it analyzes the practice of pension fund investment infrastructure in Australia, Latin America and the United States, including the investment background, specific choice mode and evaluation of these countries or regions.
The fifth part is the empirical analysis of pension fund investment funds for infrastructure construction. The first part for the selection of samples, this paper selected the 2008 data until the end of 2012, this is a period of time of global economic crisis, this time for the selection of pension fund investment in infrastructure construction can achieve the increment. The realization of the goal of economic recession in providing more convincing. The data in this paper were selected for the Shibor rate, the Shanghai bond index (SSE T-Bond Index) rate of return, SSE corporate bond index (SSE Corporate Bond Index) rate of return, other infrastructure data is selected in the SSE 180 Index (SSE180infrastructure index) and infrastructure 180 resource index (SSE180resource index). Through the model processing, the pension fund investment in the whole field of infrastructure is not ideal, but the investment In some subject areas of the infrastructure, the purpose of preserving and increasing value is achieved. In addition, the weight of the assets in the asset allocation is given in the paper according to the other constraints.
The sixth part describes the problems and Countermeasures in this paper. Because the data from the time period is relatively short, including infrastructure construction subject areas not all involved, there is no study with the actual balance of account and China's pension fund investment in infrastructure in the field of financial accounting on specific investment mode analysis and so on and not to do further research. So to solve these problems is to study the basis and direction for further research.
The innovation of this paper is the part of the empirical research on pension fund investment in the field of infrastructure asset allocation model. Through the comparative analysis of the data of the pension fund investment in infrastructure in terms of increasing the value of the feasibility of using empirical methods. This paper discusses this is different from the previous research of feasibility analysis of pension fund investment in the infrastructure. In addition the qualitative in this paper, the data model of the selected time despite the limitations of data sources, but from the data after 2008 and finally obtains the feasibility of investment on real example, illustrates the background in a higher rate of inflation and the emergence of economic crisis, the pension fund investment in infrastructure field to its value in a certain extent. Finally, based on the assumption (from actual control, investment portfolio risk value (5 confidence The constraint condition of every component in the portfolio is given, especially the weight of the infrastructure part, which provides certain reference value for future follow-up research, and is also possible innovation in this paper.
This is the limitation of the data source selected time interval in the data, no empirical analysis of a wider time span. Because the focus of this article is to do research on asset allocation, so the lack of pension fund balance equilibrium in financial management, accounting research methods in the process of investment in infrastructure, and discusses the investment operation mode therefore. In order to solve the problems above, in future research, but also improved from the following aspects: firstly, in the data collection infrastructure developed to a longer span of time the subject index, on 2008 before the data model analysis; secondly, to analyze the risk of pension fund assets and liabilities faced by and investment in infrastructure in the process of fund accounting mode from the overall perspective. Finally, based on the different infrastructure Based on the characteristics of the investment attributes in the field, and referring to the experience of international investment models in Australia, the US and European countries, we will explore the models that are suitable for China's pension fund investment.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F842.67;F832.48

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