我国基本养老保险基金投资组合策略研究

发布时间：2018-06-15 00:19

本文选题：基本养老保险基金 + 投资组合　；参考：《西北农林科技大学》2017年硕士论文

【摘要】：席卷全球的人口老龄化浪潮和我国未富先老的基本国情使我国当前的养老保险制度和金融结构面临巨大的冲击。而投资收益低、投资渠道窄这两方面的问题,长期以来都在我国基本养老保险基金的投资运营中存在。基本养老金的收益率长期处于低收益率的状态,甚至为负值,基本养老保险基金的收益无法赶上通货膨胀率的增长,最基本的保值目标都无法达到,更谈不上增值目标。因此,如何通过相关的金融措施,金融政策以及金融制度等方面的金融改革,来进一步提高养老保险基金的支付能力,从根本上促进基本养老金的资产的增值,从而实现养老金不断增值的目标,这对于我国的金融产业以及养老产业都具有极其重要的现实意义。本论文在养老基金入市的金融政策背景下,以我国养老体系运营的客观条件和现实环境为基础,分析了我国的基本养老保险基金投资运营情况。通过对现状的分析发现,一方面,基本养老金的严重贬值、基金收支不平衡和基金缺口等问题,严重制约着我国的基本养老保险基金的增值发展,另一方面,在基本养老保险基金的统筹上,实现全国统筹的进程阻碍重重,包括不同地区经济发展差异和城乡差异等方面。而在监管方面,我国的养老金运营监管现状也不容乐观。以对社保基金的成功经验为依据,从多元化投资的可行性和必要性方面分析发现,多元化投资适用于我国基本养老保险基金的运营策略。并运用现代投资组合理论,以SPSS软件为工具,选取了股票、国债、和银行存款三种投资工具,选取2005-2015年的相关指标,分别得出以CPI为保值目标下的最优投资组合比例,和以社保基金为增值目标下的最优投资组合比。通过实证得出若以CPI为保值目标,其最优投资比例为其最优投资比例为债券投资比90.23%,股票投资比率为3.51%,银行存款6.26%。以社保基金年化收益率为增值目标的投资比例分别为该组解代表在以社保基金为增值目标下对应的最优投资比例。分别为,国债投资比率32.03%,股票投资比率37.50%,银行存款投资比率30.47%。针对实证分析结果及现状分析,对于我国基本养老保险基金的投资运营,从完善市场、投资运营策略的创新以及监管等方面提出了相关的政策建议。
[Abstract]:The aging tide of population sweeping the whole world and the basic national conditions of our country being old before becoming rich make the current pension insurance system and financial structure of our country face a huge impact. But the investment income is low, the investment channel is narrow, for a long time in our country basic endowment insurance fund investment operation exists. The rate of return of the basic pension is in the state of low yield for a long time, even negative value, the income of the basic pension insurance fund can not catch up with the growth of inflation rate, the most basic value preservation target can not be achieved, let alone the target of increment. Therefore, how to further improve the ability of the pension insurance fund to pay through the relevant financial measures, financial policies and financial system, and fundamentally promote the appreciation of the assets of the basic pension, Thus realizing the goal of increasing the value of pension is of great practical significance to the financial industry and pension industry of our country. Under the background of the financial policy of the pension fund entering the market, this paper analyzes the investment and operation of the basic pension insurance fund in China on the basis of the objective conditions and realistic environment of the operation of the pension system in China. Through the analysis of the present situation, it is found that, on the one hand, the serious depreciation of the basic pension fund, the imbalance of fund income and expenditure and the fund gap have seriously restricted the value-added development of the basic pension insurance fund in China, on the other hand, As for the basic pension fund, the process of realizing the overall plan of the whole country is hindered, including the difference of economic development in different regions and the difference between urban and rural areas. But in the supervision aspect, our country pension operation supervision present situation also is not optimistic. Based on the successful experience of social security fund, this paper analyzes the feasibility and necessity of diversification investment and finds that diversification investment is suitable for the operation strategy of basic pension insurance fund in China. Using the modern portfolio theory and SPSS software as a tool, this paper selects three investment instruments, stock, national debt and bank deposits, and selects the relevant indicators from 2005 to 2015. And social security fund as the value-added target of the optimal portfolio ratio. The results show that the optimal investment ratio is bond investment ratio 90.23, stock investment ratio 3.51, bank deposit 6.26. The proportion of the investment with the annual rate of return of the social security fund as the value added target is represented by the optimal investment proportion corresponding to the social security fund under the target of increasing the value of the social security fund. The investment ratio of national debt is 32.03, the ratio of stock investment is 37.50, the investment ratio of bank deposit is 30.47. According to the results of empirical analysis and current situation analysis, the paper puts forward some relevant policy suggestions on the investment and operation of basic pension insurance fund in China from the aspects of perfecting the market, innovating the investment operation strategy and supervising and so on.
【学位授予单位】：西北农林科技大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F842.67

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