【作者】 袁中美；

【导师】 林义；

【作者基本信息】 西南财经大学 ， 社会保险与经济保障， 2014， 博士

【摘要】 在金融动荡频率不断增加的情况下,金融危机对全球养老基金的影响主要体现在：一是市场价格下跌导致养老基金账面资产严重缩水,长期投资和理性投资的理念重新得到重视,即重视长期平均回报,而不过度关注年度损益；二是投资风险上升降低了养老基金的风险偏好,养老基金更偏爱委托投资和被动投资的投资策略；三是养老基金的风险管理意识增强。由于各类资产间的相关性是不断增加的,简单地将资产类别的历史相关关系外推到未来,很可能因没有考虑到风险的动态特征导致错误的配置结果,因此投资风险管理必须采用“风险配置”的方法进行动态管理。此外,我国人口老龄化将扩大养老保障制度的收支缺口和隐形债务规模而引发制度的可持续危机,养老基金通过“长期化、市场化、多元化”投资实现保值增值的任务就显得十分迫切。同时,我国城市化进程的加速也必然带来基础设施服务和投融资的旺盛需求。但目前基础设施投资直接表现为有效投入不足和建设资金短缺,导致基础设施的供求矛盾十分突出。因此,从未来的发展方向看应该积极构建多元化的融资平台,创新基础设施的投融资工具,开辟长期资金(如养老基金、保险基金、储备基金等)进入基础设施领域的渠道,这样正好契合养老基金保值增值的现实需要。由此可见,在我国积极推进“新型工业化、信息化、城镇化和农业现代化”同步发展的时代,以基础设施为首的另类投资将逐渐成为养老基金降低风险暴露、获取正收益的有效途径。尽管国外养老基金在基础设施投资领域己进行了近二十年的实践探索,对基础设施在提高养老基金投资收益率和促进经济长期可持续增长方面也基本形成了共识。但我国养老基金在该领域的探索尚处于起步阶段,研究内容多以定性描述为主且观点分散、方法单一,没有形成系统的理论体系和完整的分析框架。受到数据资料的限制,在其投资绩效的实证检验方面也几乎是一片空白。因此,本文将社会总产出作为养老基金的物质基础,以养老基金、基础设施、经济增长之间的长期互动为分析思路,研究养老基金投资基础设施的必要性和可行性。从养老基金和基础设施的概念界定出发,通过比较制度分析、案例分析、定量与定性分析相结合等方法,立足理论剖析、经验总结和实证检验三个角度,论述养老基金投资基础设施的主要渠道、决策评估、风险控制、驱动因素和投资障碍等。同时,为更好的指导养老基金投资基础设施,还从微观和宏观两方面检验其投资的经济效益。本文研究的主要内容如下：首先,以索罗的宏观经济增长模型为出发点,从资本、劳动和全要素生产率入手分析养老基金、基础设施与经济增长之间的互动关系。一方面,基金积累制养老金计划通过强制储蓄和自愿储蓄的方式增加物质资本积累,再通过金融市场有效地转化为投资后提高资本的使用效率。同时,通过影响参保人的生育决策、教育决策和退休决策从劳动力供给数量和人力资本积累上影响长期经济增长。而对全要素生产率的影响主要体现在劳动力和资本的配置效率以及提高收入再分配水平上。另一方面,基础设施作为生产性资本之一,将通过投资乘数效应影响劳动力需求和物质资本积累而直接促进经济增长。同时,良好的基础设施也有利于提高人口素质,增加社会福利。更重要的是基础设施投资将通过产业聚集、扩散和结构效应、成本效应、环境效应等提高全要素生产率。因此,养老基金通过直接或间接的方式投资基础设施也将在这三方面产生正向促进作用,但反过来经济增长又通过影响养老金制度缴费、财政补贴、投资收益以及养老金购买力对养老金计划产生正效用,并在政府、企业和个人三个层面上实现养老基金、基础设施和经济增长之间的良性循环。此外,为了明确养老基金、基础设施、经济增长在长期均衡和短期波动之间的动态联系,本文还采用多元向量自回归(VAR)模型和多元向量误差修正(VEC)模型对我国1989-2012年的数据进行了实证研究。最终得出三个内生变量之间存在一个协整关系,但养老基金对经济增长的正向促进作用并未得到发挥,而且在过去二十几年间养老基金积累与GDP增长和基础设施的发展并不存在显著的格兰杰因果关系。然而,脉冲响应分析却表明给经济增长和基础设施一个正向冲击后在长期内将促进养老基金积累。其次,探索养老基金投资基础设施的必要性、可行性和运作机理。第一,必要性体现在实现养老基金和经济增长的同步发展和减少通货膨胀对养老基金的侵蚀两方面；第二,可行性体现在全球基础设施投融资面临的巨大挑战、基础设施投融资市场的开放程度提高、后危机时代养老基金投资理念的转变和基础设施在养老基金投资组合中显著的历史绩效；第三,分析了基础设施信托贷款、专项债券、有限合伙私募基金、公私合作模式、全资子公司模式等五种养老基金投资基础设施主要渠道的交易结构和比较优势。并结合基础设施项目的生命周期和常见基础设施投资指数分析养老基金投资基础设施的决策评估过程；第四,从宏观、中观、微观三个层面分析养老基金投资基础设施的整体投资环境风险、基础设施项目风险、投资工具特有风险及其风险特征,构建养老基金投资基础设施的风险管理流程,并从直接投资和间接投资两方面提出相应的风险管理策略。再次,总结归纳典型国家养老基金投资基础设施的实践探索经验,并结合我国的历史数据从微观和宏观两方面进行可行性的实证检验。文章主要是根据OECD的调查报告以国际养老基金投资基础设施的整体现状分析入手,挑选出加拿大、澳大利亚和智利作为直接投资、基础设施基金投资和基础设施债权投资的代表,分析它们基础设施市场的发展、养老基金的投资运营以及养老基金投资基础设施的配置比例和投资收益,并以荷兰PGGM养老金集团投资沃尔尼海上风电场进行具体的案例分析,归纳整理得出驱动养老基金投资基础设施的主要因素和养老基金投资基础设施面临的主要障碍。然后,从微观和宏观两方面检验我国养老基金投资基础设施的经济效益。微观层面主要是从养老基金投资组合优化的角度,将基础设施作为单独的资产类别纳入其投资组合,通过条件风险价值模型(CVaR)明确各类别资产的最优配置比例,并得出养老基金投资基础设施的基准是总体比例最好不高于20%；宏观层面主要是从长期经济增长的角度,将基础设施作为单独的生产要素纳入索罗的经济增长模型,通过计量经济学分析各要素的产出贡献。并在此基础上将养老基金对基础设施的投资纳入基础设施资本存量中,从而预测未来个人账户养老基金分别以10%、20%、30%的比例投资基础设施对社会总产出增长的贡献。得出个人账户养老保险基金直接投资基础的比例越高,相对GDP增长率也越高,但其增长趋势是2013-2030年的增速最快,2031-2040年的增速相对减缓,2041-2050年的增速基本保持平稳并略微开始下降。最后,提出我国养老基金未来投资基础设施的新思路和有关的政策建议。本文结合当前我国养老基金投资基础设施的政策环境、经济环境和市场环境,从广义的基础设施投资范围入手将保障性住房建设和绿色基础设施项目建设纳入我国养老基金未来可能的投资范围。一方面,基于住房保障和社会保障的融合,养老基金可以通过“信托贷款——债权投资计划——房地产信托投资基金——PPP模式直接投资”的路径进入保障房投资领域。但从安全性角度考虑,近期最适合的方式是采用信托贷款和发展房地产信托投资基金(REITs)。另一方面,为实现绿色低碳经济和可持续发展,提出养老基金可以通过“绿色债券——绿色产业基金——公私合作(PPP)模式”的路径投资新能源、环境治理、气候变化等绿色基础设施项目。并从养老基金、基础设施和金融市场三个层面提出促进中国养老基金投资基础设施的政策建议。通过上面的研究探索和总结归纳,本文的创新成果主要体现在：第一,丰富我国养老基金投资的研究内容,包括基础设施投资的必要性、可行性、投资渠道、风险管理等,并提炼了各国实践探索中养老基金投资基础设施的经验教训；第二,初步构建了养老基金、基础设施与经济增长之间互动影响的理论框架,并采用多元向量自回归(VAR)模型和多元向量误差修正(VEC)模型对我国1989-2012年的数据进行了实证研究；第三,根据CVaR模型优化投资组合得出中国个人账户养老基金投资基础设施的最优基准比例,并基于索罗的经济增长模型预测该项投资对GDP的拉动效应；第四,探索了我国养老基金未来在保障房建设和绿色基础设施等广义基础设施领域投资的新思路。当然,养老基金投资基础设施在国内外都是极具创新性和挑战性的研究领域,投资时间短、政策限制多、文献和数据资料匮乏,导致本文的理论分析中难免有所疏漏,实证检验结果不免要有偏差,今后需持续关注和深入研究才能使其更加科学和完善。更多还原

【Abstract】 With the increasing frequency of financial turmoil, the influence of financial crisis on the global pension funds mainly reflected in:Firstly, the decline of market price led to the assets of pension funds shrank seriously. The concept of long-term and rational investment had been paid more attention again, namely the long-term average return, not just the annual profit and loss. Secondly, the rising investment risk reduced the risk preference of pension funds, which made them prefer to the strategy of entrusted investment and passive investment. Thirdly, the consciousness of risk management enhanced. Due to the increasing correlation between various assets, if we simply rely on the historical correlation, we probably make the wrong asset allocation without taking into account the dynamic characteristics of the risks. Therefore, investment risks must be managed dynamically with the risk allocation method. In addition, the aging population in China will expand the financing gap and increase the potential pension liability, which makes it urgent to realize the maintenance and appreciation of pension funds through the long-term, market-oriented, diversified investment. Simultaneously, the accelerating urbanization must inevitably increase the demand of infrastructure services and investment, while the shortage of effective investment highlights the disparity between the infrastructure supply and demand. Consequently, we should actively build a diversified financing platform, innovate the financing tools and create the investment channels for long-term funds, such as pension funds, insurance funds, reserve funds, etc. It just accords with the realistic need of pension funds. Hence, in the era of promoting ’the new industrialization, information, urbanization and agricultural modernization’ synchronously, infrastructure as the chief alternative investment will gradually be an effective way for pension funds to reduce risk exposure and obtain benefits.Although foreign pension funds have invest in infrastructure for nearly twenty years and basically form a consensus that infrastructure investment can improve the yield and promote long-term sustainable growth, our pension funds are still in the infancy, and the research mainly focused on qualitative description. What’s worse, the dispersed views and single method can not form systematic theory and complete analysis framework. Limited to the data, the empirical test of investment performance is almost a blank. Therefore, this article will view social output as the material basis of pension funds, analyzes the long-term interaction between pension funds, infrastructure and economic growth, and explores the necessity and feasibility of pension funds investment in infrastructure. Starting from the concept definition, based on theory analysis, experience summarization and empirical test, we discuss the investment channel, decision-making evaluation, risk management, driving factors and investment barriers. Meanwhile, in order to guide the practice, we measure the micro and macro economic benefits of pension funds investment ind infrastructure. The contents of this paper are as follows:First of all, based on the macro economic growth model, we analyze the interaction between pension funds, infrastructure and economic growth from the perspective of the capital, labor and total factor productivity. On the one hand, the funded pension plan will increase physical capital accumulation by means of compulsory and voluntary savings, then effectively translate into investment through financial market to improve the efficiency of capital. At the same time, it will affect the long-term economic growth from labor supply and human capital accumulation by influencing the reproductive decisions, eduction decisions and retirement decisions. While the impact on the total factor productivity is mainly manifested in the allocation efficiency of labor and capital as well as the level of income redistribution. On the other hand, infrastructure as one of productive capital will affect labor demand and physical capital accumulation through the investment multiplier effect, then directly promote economic growth. In the meantime, good infrastructure is conducive to improve population quality and increase social welfare. More importantly, infrastructure investment will improve the total factor productivity by industry agglomeration, diffusion and structure effect, environment effect, and so on. Consequently, pension funds directly or indirectly investing in infrastructure will produce positive effect on the three aspects. In return, economic growth will generate positive utility by influencing pension contribution, financial subsidies, investment yield and pension purchasing power. Eventually it will form a virtuous cycle between the government, enterprises and individuals. In addition, based on the data from1989to2012in China, we use the multivariate vector auto regressive (VAR) model and multivariate vector error correction (VEC) model to define the long-term equilibrium and the short-term fluctuation relationship between the pension fund, infrastructure and economic growth. Finally we conclude they have one co-integration relationship, and the pension fund has not been playing a positive role for promoting economic growth. What’s worse, there is not a significant granger causality between the pension fund’s accumulation, GDP growth and the development of infrastructure in the last20years. Impulse response analysis, however, shows given a positive impact on economic growth and infrastructure will promote the accumulation of pension funds in the long term.Secondly, we explore the necessity and feasibility of pension funds investment in infrastructure and its operating mechanism. First, the necessity is reflected in realizing the synchronous development of pension funds and economic growth, and reducing the inflation erosion on pension assets. Second, the feasibility is embodied in the great challenge fo global infrastructure investing and financing, increasing openness of infrastructure market, the transformation of pension funds’investment concept in post-crisis era, and the remarkable historical performance in pension funds’ portfolios. Third, the paper analyzes the deal structure of main investment channels and comparative advantages. Then combined with the life-cycle of infrastructure project and common infrastructure investment index, it elaborates the decision-making process. Fourth, we analyze the risks on the macro, meso and micro levels and their characteristics, then build the risk management processes and propose the corresponding risk management strategy.Thirdly, we summarize the experience of typical pension fund investment in infrastructure and test the feasibility from micro and macro aspects. According to OECD report, this article starts from the overall situation of international pension funds investment in infrastructure, and especially explores the development of infrastructure market, pension funds’ investment and operation, the proportion on infrastructure investment and its returns in Canada, Australian and Chile. Subsequently, it illustrates the Netherlands PGGM pension group’s investment on Walney offshore wind farm as the specific case. Based on the above analysis, we sum up the principal driving factors and the main barriers for pension funds investment in infrastructure. Next, we examine the economic benefits of Chinese individual account pension funds investment in infrastructure from the micro and macro aspects. On the micro level, we take infrastructure as a separate asset class,and use the conditional value at risk model to optimize the portfolio, eventually obtaining the benchmark of optimal infrastructure allocation is not higher than20%. On the macro level, we take infrastructure as a separate productive factor into the growth model and incorporate pension funds investment in infrastructure into the infrastructure capital stock. Supposing the ratio of individual account pension funds investment in infrastructure is10%,20%,30%, respectively, we predict their contributions to the growth of gross output. Finally, we get the conclusion that the higher proportion, the higher relative GDP growth rate. However, the growth tendency is the fastest growing in2013-2030, relatively slow in2031-2040, almost steady in2041-2050and it begins to decline slightly.In the end, we put forward the new thoughts of Chinese pension funds’future investment in infrastructure and relevant policy recommendations. Combined the current policy, economic and market environment, we broadly take affordable housing and green infrastructure into Chinese pension funds’investment scope. On the one hand, based on the integration of housing security and social security, we think pension funds can enter the housing investment field through the path of "trust loan→debt investment plan→real estate investment trust funds→public private partnership". But taking into account the security, the recent most appropriate way is to adopt trust loans and develop the real estate investment trust funds. On the other hand, in order to realize the green and low carbon economy or sustainable development, we propose pension funds can invest in green infrastructure, such as new energy, environmental governance and climate change through the path fo "green bonds→green industry fund→public private partnership". Finally, we put forward some constructive policy suggestions from the aspects fo pension funds, infrastructure and financial markets to promote Chinese pension funds investment in infrastructure.Through the above exploration and summary, innovations of this paper are mainly reflected in:First, it enriches the research contents of pension funds investment, including the necessity and feasibility of infrastructure investment, investment channels, risk management and so on,and refines the practice experience and lessons of international pension funds investment in infrastructure. Second, it forms the theory framework between pension funds, infrastructure and economic growth, and uses the multivariate vector auto-regressive (VAR) model and multivariate vector error correction (VEC) model to do the empirical research. Third, according to the optimal portfolio CVaR models it acquires the benchmark proportion of China’s individual account pension fund investment in the infrastructure, and based on the Solow growth model predicts its tension effect on GDP. Fourth, it explores the new ideas for future pension funds investment in generalized infrastructure, such as affordable housing construction and green infrastructure. Certainly, it is highly innovative and challenging research both at home and abroad. Because of the short history of pension funds investment in infrastructure, many policy restrictions, the lack of literature and data, it is hard to avoid omissions in the theoretical analysis and has some deviations in the empirical test results. In the future, continuous attention and in-depth study are needed to make it more scientific and perfect.更多还原