金融结构对养老基金投资结构的影响研究-应用经济学；金融学专业论文.docxVIP

摘 摘 要 I I 摘 要 西方关于养老基金投资的研究从上世纪 50 年代就已开始，研究主要利用经 济发展理论。随着微观投资理论的逐渐成熟，从上世纪 80 年代部分文献集中研 究养老基金微观投资和相关的金融创新。自上世纪 90 年代，拉美国家养老体系 改革取得了瞩目的成就后，一些学者集中研究养老基金改革与资本市场和宏观经 济发展的关系。 本文将主要利用近年来西方关于养老体系改革和养老基金投资的理论研究 以及实证研究成果，从金融结构对养老基金投资结构影响这一角度进行分析研 究。文章从金融结构的主导类型、机构投资者、政府债券、法律规则和海外市场 相对国内市场规模、效率以及宏观经济状况、汇率制度对养老基金投资的“水族 馆效应”进行了考察。通过跨国截面数据的实证研究我们发现：各国养老基金投 资存在资本市场偏好，这种偏好存在一定的盲目性；机构投资者的发展对养老基 金投资发展有一定的推动作用；“谨慎人”制度和数量限制制度同样有效；养老 基金海外投资与本国市场规模有反向关系；养老基金对本国市场存在偏好，这种 偏好也同样存在一定的盲目性。 根据研究结论我们建议：养老基金资本市场投资应重保值轻增值；新兴市场 国家应采取数量限制制度；养老基金机构投资者的发展有赖于资本市场的健康发 展；养老基金海外投资发展有赖于国际间协调。针对中国的情况，我们建议：我 国的养老基金投资也应重保值轻增值；应完善养老基金投资监管体系；加大养老 基金海外投资的参与度。 关键词：养老基金 金融结构 投资结构 Abs Abstract II II Abstract From 1950s, the researches on pension investment have begun, and nearly all based on the economic growth theory. In 1980s, coming with the microinvestment theory growing up, increasingly papers focused on microinvestment and innovation about pension funds. Since the Latin American counties got the glorious achievement from pension reform, more and more literatures paid their attention on the relationship between pension reform and the development of capital market. Basing on the resent literatures, this paper will focus on the impact of the financial structure on the investment structure of pension funds, including bank-based or market-based system, institutional investors, bonds of public sectors, rules, scale and efficiency of domestic market comparing to the foreign market, the stability of macroeconomics and exchange arrangement. We use the cross section data of different countries, and find that: pension funds of various countries have unreasonably preference on capital market; institutional investors have improved pension investment to some extent; both the “Prudent Man” rules and the Quantitative Restrictions rules are efficient; there is reverse relationship between the market scale of homeland and foreign investment of pension funds; also, pension funds have unreasonable preference on homeland mar