【作者】 刘斌；

【导师】 张奇林；

【作者基本信息】 武汉大学 ， 公共经济管理， 2013， 博士

【摘要】 经过2008年全球金融危机的洗礼后,国内外经济环境发生了巨大的变化,也对全国社会保障基金的投资运营产生了巨大的影响：当年全国社会保障基金就浮亏393.72亿元。为应对后危机时代经济的下滑,我国政府自在2008年下半年起出台了一系列稳定外需、扩大内需的政策措施,取得了一定的效果。截至2011年12月31日,全国社保基金总资产已经高达8689亿元,社会保障基金的资产规模空前扩大,基金资产不仅可以投资于境内的股票、债券、股权,也可以投资于境外。但是随着后危机时代经济环境的复杂化和人口老龄化趋势的出现,社会保障基金支付压力越来越重,基金资产的安全性、流动性和增值性令人堪忧。目前,我国正在有步骤地放开全国社会保障基金投资领域,使全国社会保障基金的投资运营问题显得越来越突出。我国社会保障基金投资运营是一个多角度思考的范畴,一般是围绕着基金投资风险和收益、保值和增值展开。为了回避泛泛之谈,本文在已有的研究基础上把探讨的重点放在资本市场建设、投资重点和策略以及投资绩效评价三条主线上。本文采用比较研究方法,横向比较了国外典型国家的社保基金投资运管的经验与教训,纵向比较了2008年金融危机爆发前后全国社会保障基金投资运营的变化；通过实证与规范相结合方法,不仅采用“问卷星”对全国社会保障基金的含义、投资方式进行调查分析,而且通过EXCEL和Eviews软件系统对2008年金融危机前后我国社会保障基金的投资组合变化、绩效评价指标进行分析；通过归纳和分析方法,提炼出适合我国国情和经济环境的全国社会保障基金投资运营建议。本文的第一章指明了写作的方向。该章研究并分析了社会保障基金投资的背景、意义,进一步明确需要解决的研究问题和目标,提出社会保障基金在后危机时代不仅要关注投资运营的重点和策略,还要关注资本市场的变化对投资方向的影响和投资绩效评价,以达到社会保障基金保值增值的最终目标。在收集的国内外文献的基础上进行综述、整理、归纳和评述,并围绕着最终目标提炼出研究内容,安排了研究结构和途径,概括了研究方法和创新之处。本文的第二章奠定了写作的理论基础。从经济学、金融学等角度对社会保障基金投资的基础理论进行了解读。在收集国内外文献的基础上将相关社会保障基金投资理念的文献抽离出来形成概念体系,与网上“问卷星”调查后的结果进行对比分析,为全国社会保障基金与资本市场的关系、组合投资与绩效评价寻.求理论支撑。笔者认为：全国社会保障基金投资运管与资本市场变化是息息相关的,投资组合的变化是绩效评价对象,而投资绩效的好坏会影响投资组合。本文的第三章和第四章是从定性的角度分析全旧社会保障基金投资运营的现状及问题。第三章通过我国社会保障基金投资发展的历程分析,指出2008年全球金融危机对资本市场和全国社会保障基金投资的影响,同时比较金融危机前后全国社会保障基金投资运营的变化。第四章在系统分析了2008年金融危机前后全国社会保障基金资产变化之后,围绕投资环境、投资运营和投资绩效评价三个方面分析全国社会保障基金投资存在的问题。本文的第五章是从定量角度建立模型分析全国社会保障基金投资运营情况。任何投资都有风险,全国社会保障基金在投资运营过程中也不可避免地遇到各种风险,因此,本章先分析了国家对全国社会保障基金投资运作的原则和范围,再从不同的投资风险角度分析了全国社会保障基金投资的金融产品。最后,借助Excel和Eviews软件系统对社保基金投资组合风险和收益、基金投资绩效进行实证分析,指出经过全球金融危机,全旧社会保障基投资更趋向于资金安全性,收益性偏低,投资绩效呈下降趋势。本文第六章讨论国外社会保障基金投资运营的经验对我国的启示。本文选取了美国、智利、新加坡三个发达国家,分析了其成功经验和失败教训后得知：不同国家的社会保障基金抗风险能力有所不同,但是根据不同的市场环境和风险选择多样化的投资工具和渠道才能达到理想状态中的投资绩效。最后,本文在第七章根据我国社保基金投资运营的实际情况,分别从投资市场环境、投资运营策略和绩效评价等方面提出了全国社保基金投资运营的对策和建议。更多还原

【Abstract】 After the2008global financial crisis, significant changes have taken place in the economic environment at home and abroad, which also has had a huge impact on the investment and operation of the national social security fund. The suspended deficit of the national social security fund in the year was39.372billion yuan. In response to the economic downturn in post-crisis era, Chinese government has instituted a series of special operational policy measures to stabilize external demand and expand domestic demand from the second half of2008, which has achieved some results. As of December31,2011, the total assets of the national social security fund have been up to868.9billion yuan. With the unprecedented expansion of assets of social security funds, the assets of the fund can be invested not only in domestic stocks, bonds, equities, but overseas. But with the complication of the economic environment in post-crisis era and appearance of the aging population, the pressure of fund payment has become more and more, the security, liquidity and value-added ability of the fund assets are worrying. Currently, the Chinese government has let go of the investment of Chinese social security fund in the capital market, which has made the investment and operation of social security fund become increasingly prominent.The investment and operation of China’s social security fund belongs to the category of various thoughts, usually centers on the fund investment risk and return, maintenance of value and increase in value. In order to avoid talking generalities, on the basis of existing research this paper focuses on the three main lines, that is, the construction of capital market, investment focus and strategy and investment performance evaluation.The paper adopts the comparative research approach. In the paper the experience and lessons of investment and operation of social security fund in typical foreign countries are compared transversely; the change of investment and operation of the national social security fund before and after the2008financial crisis is compared longitudinally. The paper not only uses the "Questionnaire" to investigate and analyze the meaning and investment way of the national social security fund through the empirical and normative methods, but also analyzes the portfolio changes and the performance evaluation indexes of the national social security fund before and after the2008financial crisis through the EXCEL and Eviews system. Through the induction and analysis methods, the paper finally puts forward the suggestions on the investment and operation of the national social security fund which are suitable for China’s national conditions and economic environment.The first chapter of this paper points out the writing direction. This chapter studies and analyzes the background and significance of the national social security fund investment, further clarifies the research questions and objectives that call for immediate solution. The article thinks, the national social security fund should pay attention not only to the focus and strategy of the investment and operation in the post-crisis era, but also to the impact of changes in the capital market on the direction of investment and investment performance evaluation in order to achieve the ultimate goal, namely, the added value of the national social security fund. After sorting, summarizing and commenting the domestic and foreign literature collected, the paper refines the research content around the ultimate goal, arranges the research structure and ways, summarizes the research methods and innovations.The second chapter lays the theoretical foundation of the writing. It deciphers the basic theories of the national social security fund investment from the angle of economics, finance, etc. Based on collecting the domestic and foreign literature, it extracts the literature related to the investment philosophy of social security fund to form the concept system, and then compares with the results from the online "Questionnaire" investigation to seek theoretical support for the relationship between the national social security fund and the capital market, portfolio investment and performance evaluation. In the author’s opinion, the investment and management of the national social security fund are closely related to the changes in capital market. Changes of the investment portfolio are the object of performance evaluation, while the investment performance will affect the investment portfolio. The third chapter and the fourth chapter analyze the present situation and problems of the investment and operation of national social security fund from the qualitative perspective. The third chapter points out the impact of the global financial crisis in2008on the capital market and the investment of the national social security fund through the analysis of the development course of the national social security fund investment, meanwhile compares the changes of the investment and operation of the national social security fund before and after the financial crisis. After analyzing the change of the national social security fund assets before and after the2008financial crisis, the fourth chapter analyzes the problems of the national social security fund from three aspects, that is to say, the investment environment, the investment operation and the investment performance evaluation.In the fifth chapter of this thesis a model is established to analyze the investment and operation conditions of the national social security fund from the quantitative point of view. There are risks in any investment, the investment and operation process of the national social security fund will inevitably encounter various risks. Therefore, the analysis of the principle and scope of the investment and operation of the national social security fund is made in the first place, and then the financial products of the national social security fund investment are analyzed from different angles of investment risk. Finally, with the help of Excel and Eviews software, the empirical analysis of the social security fund investment portfolio risk and returns as well as fund investment performance is made. It points out that after the global financial crisis in2008, the national social security fund investment tends to be safe, the profitability is low, the investment performance declines.The sixth chapter discusses the enlightenment of the experience of foreign social security fund investment and operation to China. This paper selects three developed countries-the United States of America, Chile, Singapore, then analyzes the successful experience and failure lessons, finally comes to the conclusion that although the anti-risk ability of different national social security funds is different, the ideal state of investment performance can only be reached by choosing a variety of investment t(?)bls and channels according to the different market environment and risks. Finally, the seventh chapter puts forward the countermeasures and suggestions of the national social security fund investment and operation respectively from the investment market environment, investment and operation strategies and performance evaluation, etc. in accordance with the actual situation of the national social security fund investment and operation.更多还原