中国养老金市场的价值链研究

【作者】 路锦非；

【导师】 王桂新；

【作者基本信息】 复旦大学 ， 人口、资源与环境经济学， 2009， 博士

【摘要】 本文将“养老金市场”定义为：有实际积累资金并需要进行市场化投资运作的、以养老为目的而积存的基金及其管理和运作体系。中国养老金市场的培育和发展刚刚起步。企业年金明确采取市场化运作方式，是我国养老金市场的重要组成部分，自2004年正式运作以来成果斐然。然而，中国养老金市场的发展并不如预期理想，市场不完善，服务主体趋大避小、亲国有远民营的现象比较明显；尚未真正建立起养老金市场中基于良性竞争与互补的市场化规律，其产业链关系不清，价值链尚未形成，价值分配的传导机制尚未建立，没有形成合理的成本收益比率基准等等。如何培育和发展中国养老金市场的价值链体系，引导价值链服务主体的行为，逐渐形成健康高效的养老金市场，是我国建立第二支柱养老保障体系的重要课题，在我国养老金制度改革和市场实践方面都具有重要的理论和现实意义。本文以如何建立健康高效的养老金市场为出发点，以最终服务于养老金受益人的利益为落脚点，从价值链的全新视角深入研究中国养老金市场运行的微观机理。本研究的主要成果和发现包括：第一，从我国养老金市场各主体的内部价值链、纵向价值链和价值整合、横向价值链和价值整合，以及整个价值链体系等几个角度，对我国养老金市场进行了细致清晰的刻画；对价值的创造和传导进行了研究，对我国现实中的几种价值链整合模式进行了分析。本文从内部剖析我国养老金市场的运行主体和运行机理，以一种全新的视角对养老金市场进行研究探讨；运用价值链理论系统深入地对我国养老金市场的微观运行进行了分析。论证了价值链节点判定的依据和养老金市场价值链纵向一体化的经济学意义：价值链的纵向整合能够增加市场供给并降低市场价格。研究认为，我国应当鼓励养老金市场价值链的纵向整合。第二，本文运用委托代理理论和博弈论方法，详细分析了我国企业年金市场上各主体之间的博弈关系和行为路径。通过构建企业年金基金管理中控制逆向选择风险的模型、控制道德风险的模型、防止代理人之间寻租的多方博弈模型以及“3+1”、“2+2”模式的效率比较模型，找到各服务主体为实现自身利益最大化的函数关系，提出防范各种委托代理风险的激励合约方案，以追求委托方和代理方的共赢。本文研究发现，目前对于投资管理人从管理费中提取一定比例作为风险准备金用于弥补亏损的方案不能体现风险与收益、责任与利益的对等关系，应当让投资管理人承担相应的亏损业绩的惩罚；目前的账户管理费采取基金外固定费率收取的方式会造成一定程度的效率损失，也不利于账户管理人积极性的发挥。政府的监管需要有一个合理的度，可以通过提高惩罚力度和管理水平等方式降低市场主体间寻租的概率，为政府监管方制定合理的监管策略提供了理论上的参考。第三，本文选取世界上成熟养老金市场中有代表性的澳大利亚和香港作为主要研究对象，考察澳大利亚的超级年金和香港的强积金在养老金价值链运行中的经验数据。通过细致地研究养老金基金投资运作中涉及到的资产分配比例、管理成本、投资收益、风险程度等细节，得出市场整体的成本收益关系。通过筛选分离出最符合我国目前企业年金投资比例的基金，剔除异常数据，详细研究其历年的投资收益和成本情况。本文设计了回报/成本比这一新的相对指标，来考察基金运营机构的运营效率，重点分析他们的养老金运营成本费率与其收益率之间的关系。通过构建与我国养老金运营和投资具有可比性的分析架构，对我国未来养老金市场的运行费率和成本水平给出参考建议。研究发现，在我国企业年金目前的规模下，总计1．6％的定价水平偏低，而市场运行的实际费率则更低。1．74％可以作为当前规模下的参考基准；行政性定价不利于市场竞争，同时也不利于未来市场规模经济效应的发挥；我国企业年金过往回报率偏低，总体回报成本比不够理想。在我国当前情况下，可以用3．32作为回报成本比的参考值。第四，从规范的人口学研究方法预测人口基数出发，综合考虑养老金市场发展的若干因素，从务实的角度，运用精算思想和方法对我国未来养老金市场规模进行了预测，同时修正了此前过度乐观的预测结果。在预测结论的基础上，将澳大利亚和香港的实证研究结论应用其中，对我国养老金市场未来价值链的核心——成本收益的取向做出判断，为我国养老金市场的发展提供基于量化分析的参考依据。研究发现，我国未来到2030年的企业年金市场规模在12万亿到33万亿之间；采取放松管制的方式更有利于养老金市场在规模效应的作用下降低成本，提升收益。放开管制模式尽管在开始时费率水平略高于管制模式，但两者的成本费率走势会在2014年左右发生交叉，随后由于规模经济效应，放开管制模式下的成本费率水平会始终低于行政管制的模式下的费率水平。第五，审慎监管模式在理论上和实证上都优于严格准入的监管模式。但是，基于我国养老金市场刚刚起步、制度法规不够完善、金融运行波动较大、资本市场不够规范、中介市场非常弱小等现实问题，本文认为我国目前尚不适合采取完全审慎的监管模式，但应当有意识培育实施审慎监管所需要的市场环境，采取严格监管为主、审慎监管为辅的过渡性模式，在保证我国养老金基金安全的前提下逐步向审慎监管模式过渡。设立相对收益担保机制，保障养老金受益人的利益，同时促使养老基金管理者尽到审慎、勤勉的信托义务。文章最后从制度政策层面、市场运行层面和监管层面三个方面，给出了中国建立健康高效的养老金市场价值链体系的相应政策建议。更多还原

【Abstract】 The dissertation defined the“Pension Market”as:The whole management andoperation system about the full funded pension which need to be managed forreturn growth.China’s pension market is just on its infant stage.Meanwhile,the CorporateAnnuity (CA hereafter),which takes the market-oriented mechanism,is theprinciple part of pension market.Since it formally launched in 2004,CA hasmaking a lot of progress.However,the development of CA is not as good aswhat expected originally.Many problems exist,such as:service providersprefer much on big SOEs while neglect the needs from those private small andmedium sized companies;commercialized operation rules are not set up yet;value chain in pension market is not yet founded;the generation of value andits transfer system are not well organized;there are still no sound cost-benefitbench mark and standards for management fees,etc.Cultivating China’s valuechain in pension market,leading market players doing good for pensionbeneficiaries,making pension market being stronger and healthier are maintargets of China’s pension system reform.Therefore,a deep research on valuechain of China’s pension market is significant in both theoretical and practicalsides.The dissertation starts from and finally ends on the benefits of pensioners.Withthe totally new perspective of value chain,the essay made a deep research onthe micro operating mechanism of China’s pension market.The main conclusions and findings are as follows:1.Analyze the value chain system of China’s pension market,including theinternal value chain of each market player,the external value chain likevertical and horizontal ones,incorporation among different players and theirvalue chains.The essay demonstrated that the vertical incorporation ofvalue chain could increase the service supply and decrease the pricesimultaneously.The essay thinks that China should encourage the verticalincorporation of value chain in pension market.2.Analyze business relations among different players in pension market byusing principle-agent theory and game theory.The essay respectivelyconducted detailed analysis on the multiple layers of principle-agent risksby constructing a series of game models,including anti adverse selectionmodel,anti morality risk model,multi-player game model,and thecomparison model between the“3+1”and“2 2 modes.The essay reached the functional relations and their corresponding conclusions:China’sCorporate Annuity Fund Management can,through the establishment ofsome efficient stimulus contract,pilots the deputy to take some actionsbenefiting the principles and reach the win-win target.This text finds thatthe current loss compensation policy,which only takes a proportion ofmanagement fee to make up potential losses,cannot reflect thecorrespondence of benefits and risks,rights and obligations.The pensionfund management institutions should also take the responsibility of loss forpenalty as well,especially when he cannot reach the guaranteed retum rateor the bench mark of overall industry.Besides,the essay thinks that thecurrent fix charge for record keeping services may results in someefficiency losses and need to be reformed also.Furthermore,the supervisionfrom government could find a reasonable point which is neither overmuchnor scarce.Government can reduce the rent-seeking probability amongmarket players by enhancing penalty and its management efficiency.3.The essay conducted an empirical study on pension management ofAustralia and Hong Kong,analyzed the pension investment portfolios,management costs,administration fees,return rates,and risk levels etc.,anddrew out the overall cost-benefit relations in these two countries.The essaydesigned a new index return-cost ratio to measure operating efficiencyof a pension service provider,constructed an analytical framework whichcan be a comparable one for China’s reality.The essay finds out,1) China’scurrent totally 1.6% of management fee is lower than a reasonable one,1.74% could be a bench mark for current pension fund scale;2) theadministrative pricing is not good for China’s pension market developmentand also be a barrier against the economies of scale in future.3) the retumrate of China’s pension fund in past years was not good enough,Chinacould treat 3.32 as a reference of the retum-cost ratio under China’s currentsituation.4.Projected China’s urban population scale till to 2030 by using demographicmethod.Based on the projection results,the essay made a forecast ofChina’s pension market scale by adopting actuarial methods,which resultsamended the over-optimistic forecast before.The essay applied the researchresults about Australia and Hong Kong to China’s pension market scaleprojection and drew out its development trend in future.The findings are,the market scale of CA could be in range of 12 trillion to 33 trillion RMB in2030 and market-oriented supervision methods will help the track of costgoing down while benefit going up due to the effect of economies of scale.5.Prudential regulatory approach is better than the strict approval one nomatter theoretically or practically.However,since the reality of unperfectedlaw system,fluctuating capital market and weak intermediaries etc.,theessay don’t think China is suitable for the prudential regulatory approachfor its pension market now.It could be a wisdom choice if China could tryto cultivate the needed market environment when it still taks the strict one. The bottom line is,try to transfer to the prudential supervision mode whilekeep the pension funds security.Finally,the essay provided some policy advises on building up a healthy valuechain of China’s pension market in aspects of system,market operation andgovernment supervision.更多还原