基于投资组合视角的统筹账户与个人账户最优配比研究

发布时间：2018-06-01 14:53

本文选题：现收现付制养老金 + 完全积累制养老金　；参考：《东北财经大学》2013年硕士论文

【摘要】：自上世纪90年代初,人口老龄化的问题逐渐在发达国家凸显,世界各国都开始了针对公共养老金体制的改革。在这样的大背景下我国也开始了以建立个人账户为标志的养老金制度改革。然而随着十多年的发展,改革目前陷入了两难的境地,一方面个人账户难以做实,投资回报率低,另一方面各省的社会统筹财务状况差距大,个别省份收不抵支严重。个人账户的存废和养老金制度的费率一直是学术争论的焦点,也与广大民众息息相关。基于此,本文通过对现收现付制与完全积累制养老金计划的分析,揭示其背后的经济意义并且在收益风险和分散化效应等方面对二者进行了全面的比较。随后本文在资产投资组合的框架下,通过历史数据计算出我国与数个OECD国家现收现付制与完全积累制养老金的最优配比,并进行了横向和纵向的对比。通过研究发现,我国个人账户费率所占的比例远高于最优比例。如果保持现有的总体费率不变,个人账户的合理费率应该在2%左右。除此之外,通过绘制不同情景下的有效边界,本文证明了对中国的个体而言,社会统筹的存在能够有效地分散风险,提高收益,更有效地实现资源跨期配置。最后本文给出了三个结论：第一,个人账户费率应该适当下调,以减轻政府做实个人账户的财政压力和企业与个人的缴费负担；第二,应当提高社会统筹的效率,降低费率或提高替代率以吸引更多年轻劳动者加入,提高覆盖率,形成良性循环；第三,个人账户可以保留,但是仅作为社会统筹计划面对经济或人口风险时的缓冲基金。作者期望借助本文的研究,为科学地确定我国社会统筹和个人账户配比,合理化我国的公共养老金制度提供潜在的理论支持框架和决策实证依据。本文创新点在于方法的创新,对原有计算最优配比的模型进行了三点改进：一、本文假设完全积累制养老金不仅仅投资于股票市场,还投资于债券市场,为了简化模型,假设债券投资都为长期政府债券。二、由于养老基金投资期限都非常长,所以本文计算时将政府债券视为风险资产。三、原模型是假设完全积累制养老金计划的资产配置确定,由于目前中国的个人账户入市问题仍存在较大争议,本文构建模型时放松了这个假设,这些改进使模型更加贴近于实际。本文存在的不足在于,将收益率的均值和方差的历史值作为对未来的估计,这是由于各国居民收入仅有年度数据,相应地股票和债券收益率也只能选取年度数据,数据样本过少,无法采用Garch模型等方法对未来的收益率方差等进行估计。
[Abstract]:Since the early 1990s , the problem of population ageing has gradually become prominent in the developed countries , and the countries of the world have begun to reform the public pension system . However , with the development of more than ten years , the reform is now in a dilemma . On the one hand , the individual accounts are hard to do , the return on investment is low , on the other hand , the social integration and financial situation of the provinces are large , and the income of individual provinces is not serious . The deposit and retirement of individual accounts and the rate of pension system have been the focus of academic debate and are closely related to the general public .

On the basis of this , this paper makes a comprehensive comparison between the current payment system and the fully accumulated pension plan , reveals the economic significance behind it and compares them in terms of income risk and decentralization effect .
Second , it should improve the efficiency of social integration , reduce the rate or increase the substitution rate to attract more young workers to join , improve the coverage rate and form a virtuous circle ;
Third , the individual account can be retained , but only as the buffer fund when the social integration plan faces the economic or demographic risk . The author expects to use the research in this paper to scientifically determine the proportion of social integration and individual account in our country , and to provide the potential theoretical support frame and decision - making evidence base for the public pension system in our country .

This paper points out that the innovation of the method is the innovation of the method . Three - point improvement is made to the original model of calculating the optimal proportion : firstly , it is assumed that the fully accumulated pension is not only invested in the stock market but also in the bond market . In order to simplify the model , it is assumed that the bond investment is a long - term government bond .
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F842.6;F832.51

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