从畸轻畸重的单一投资策略到多渠道的均衡投资策略转轨研究--兼论社会保障基金保值增值模式.pdfVIP

第七届中国立信风险管理论坛论文集 ——兼论社会保障基金保值增值模式 1 2 王增文 ，Antoinette Hetzler (1.南京财经大学 公共管理学院/城市发展研究院，江苏 南京 210046) (2.Lund大学 社会学系，Swenden 22100) 摘 要：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，几乎 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，这种单一 化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社会保障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。鉴于本文的研究成果，应逐步把社会保 障基金保值增值的政府主导的单一投资策略逐步过渡到由社会主导的多渠道的均衡投资策略。在此 方面，应由政府主导行为逐步过渡到市场主导行为，而政府应归其监督和服务职责。 关键词：投资策略；组合理论模型；均衡投资；金融市场 Abstract: The social security fund is becoming the focus of personal, social and government concern point. It is not only because of the fund itself, but the more importance is the social security fund belonging to the system and social attributes. From the current social security fund investment channels of view, almost more than 90% investment is concern with banks and the purchase of Treasury bonds. In view of this, the author adopts the modern portfolio theory model and the robust test to analyze the lopsided effect of social security fund investment strategy. Empirical analysis results show that this single investment strategy, the current financial market development, the National Council for social security fund of social security fund investment channels and investment proportion limit the positive correlation was significant. However, in the current financial market development pattern, the social security fund invested heavily banks and bonds will result in “hedge” under the strategy of “depreciation” pattern generation. In view of the results of this