经济新常态下中国社会保障基金均衡投资组合策略及决定因素分析——基于沪、深两市数据的比较

发布时间：2018-06-07 19:57

本文选题：社会保障基金 + 组合理论模型　；参考：《中国管理科学》2017年08期

【摘要】：经济新常态下社会保障基金保值增值问题日益成为个人、社会和政府所关注的焦点问题,不仅仅是因为基金本身的属性,更重要的是社会保障基金所属的制度属性和社会属性。而从目前社会保障基金投资的渠道来看,90%以上投资于银行和购买国债。鉴于此,笔者采用现代资产组合理论模型,通过稳健性检验,分析了中国社会保障基金投资策略的"畸轻畸重"效应。经验分析的结果表明,投资策略与目前金融市场的发育度和全国社会保障基金理事会对基金投资渠道及投资比例限定有显著性的正相关关系;而且,在目前金融市场发展格局下,社会保障基金被大量的投入银行和国债势必会导致在"保值"策略下的"贬值"格局的产生。因此,应逐步把社会保障基金保值增值职能由政府主导行为逐步过渡到市场主导行为,而政府应回归其监督和服务职责。
[Abstract]:Under the new normal state of economy, the problem of maintaining and increasing the value of social security funds has become an increasingly individual. The focus of the society and the government is not only because of the attributes of the fund itself, but also because of the institutional attributes and social attributes of the social security funds. From the current social security fund investment channels to look at more than 90% of the investment in banks and treasury bonds. In view of this, the author adopts the modern portfolio theory model, through the robustness test, analyzes the "abnormal light and heavy" effect of the investment strategy of China's social security fund. The results of empirical analysis show that there is a significant positive correlation between the investment strategy and the development of the current financial market and the limitation of the investment channel and proportion of the fund by the National Council of Social Security Fund. Under the current financial market development pattern, the social security fund is invested in a large number of banks and treasury bonds, which will inevitably lead to the "depreciation" pattern under the strategy of "keeping the value of the value". Therefore, the function of maintaining and increasing the value of social security funds should be gradually transferred from government-led behavior to market-oriented behavior, and the government should return to its supervisory and service responsibilities.
【作者单位】：南京大学社会保障研究中心;武汉大学社会保障研究中心;
【基金】：教育部哲学社会科学重大项目(16JJD840008) 江苏省社会科学基金项目(15SHB001) 国家社会科学基金后期资助项目(15FGL014)
【分类号】：F224;F812.4

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