企业年金缴费确定型计划的利率模型优化研究

发布时间：2018-05-31 10:20

本文选题：企业年金 + 缴费确定型　；参考：《大连理工大学》2013年硕士论文

【摘要】：2004年起施行的《企业年金试行办法》和《企业年金基金管理试行办法》至今已有8个年头。其中,《企业年金基金管理试行办法》在2011年重新修订,4部委联合审议通过《企业年金基金管理办法》。新办法不仅对企业年金基金运营的责任相关方作了更严格的规定,在明确缴费确定型计划制度的基础上,细化基金投资权限,规定利益分配及费用,规范计划管理和信息披露,强调对法定责任人的监督检查。而且它的出台正值美国金融危机后越演越烈的欧债危机拖累全球经济之际。引起主权债务危机的一个重要原因是国家高福利政策没有建立在可持续的财政政策之上。对此,以郑秉文为代表的学者早在美国金融危机之前就已提出待遇确定型计划的福利制度的财务风险及不可持续性。但金融危机爆发之后,以赵光毅为代表的学者发现在实践中缴费确定型计划可能存在的更为严重的资产缩水问题,将导致企业年金作为我国社会养老保障体系第二支柱的作用减弱。本文在综合文献资料,分析企业年金计划模式原理的基础上,深入对比计划模式的相对优缺,探明计划模式的本质特征,从而提出坚持完善我国企业年金个人账户管理制度的必要性。为了配套社会主义市场经济改革,利率市场化改革不断推进,如何准确预测固定收益类资产的实际利率,进而实现企业年金基金保值增值目标成为年金管理者面临的关键问题。本文基于企业年金管理目标,分析了我国现行的缴费确定型计划的给付模型。通过引入自回归分布滞后利率模型,对近15年间的五年期存款基准利率进行了实证研究,利用利率——给付模型预测了企业年金计划的未来给付及替代率。计算结果表明：预测的实际利率能有效拟合市场真实利率,在名义利率可变的条件下,预期替代率的准确性显著提高。本文在企业年金计划模式的优化设计上提供了利率技术的改进措施。同样具实际意义的是其为企业年金管理者制定决策提供参考依据。最后本文在此基础上,为完善我国企业年金缴费确定型计划提出了以下四个层面的政策建议：第一,继续优化计划模型的关键变量；第二,坚持核心筹资模式推进税收优惠政策；第三,鼓励参与市场投资改善基金绩效防范风险；第四,健全法律基础增强年金的监督能力。
[Abstract]:It has been 8 years since 2004 that the enterprise annuity trial measures and the enterprise annuity fund management trial measures have been put into effect. Among them, "enterprise annuity fund management trial measures" in 2011 revised four ministries and commissions to review and adopt the "enterprise pension fund management measures". The new method not only makes stricter regulations on the responsible parties involved in the operation of the enterprise pension fund, but also refines the investment authority of the fund on the basis of defining the definite-plan system of contributions, prescribes the distribution of benefits and expenses, and standardizes the management of the plan and the disclosure of information. Emphasis is placed on the supervision and inspection of the legal responsible persons. And it comes at a time when the growing European debt crisis in the wake of the U.S. financial crisis has dragged down the global economy. An important reason for the sovereign debt crisis is that national welfare policies are not based on sustainable fiscal policies. For this reason, the scholars represented by Zheng Bingwen have put forward the financial risk and unsustainability of the welfare system of the definite treatment plan long before the financial crisis in the United States. However, after the outbreak of the financial crisis, scholars represented by Zhao Guangyi found that in practice there might be a more serious problem of asset shrinkage in defined-fee schemes. It will lead to the weakening of the role of enterprise annuity as the second pillar of social pension security system in China. On the basis of synthesizing the literature and analyzing the principle of enterprise annuity plan mode, this paper makes a deep comparison between the relative advantages and disadvantages of the plan model, and proves the essential characteristics of the plan mode. Therefore, it is necessary to insist on perfecting the personal account management system of enterprise annuity in our country. In order to complete the reform of socialist market economy and promote the reform of market-oriented interest rate, how to accurately predict the real interest rate of fixed income assets and realize the goal of maintaining and increasing the value of enterprise pension funds has become the key problem faced by annuity managers. Based on the objective of enterprise annuity management, this paper analyzes the payment model of the current payment determination plan in China. By introducing the autoregressive distribution lag interest rate model, this paper makes an empirical study on the five-year deposit benchmark interest rate in the recent 15 years, and predicts the future payment and substitution rate of the enterprise annuity plan by using the interest-benefit model. The results show that the predicted real interest rate can fit the real market interest rate effectively and the accuracy of the expected substitution rate is improved significantly under the condition of variable nominal interest rate. This paper provides the improvement measures of interest rate technology in the optimization design of enterprise annuity plan mode. It is also of practical significance to provide reference for enterprise annuity managers to make decisions. Finally, on this basis, this paper put forward the following four levels of policy recommendations to improve the enterprise annuity contribution determination plan: first, continue to optimize the key variables of the plan model; second, Adhere to the core financing model to promote tax preferential policies; third, encourage participation in the market investment to improve fund performance to prevent risks; fourth, improve the legal basis to strengthen the supervision of annuity.
【学位授予单位】：大连理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F842.0;F224

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