基于VAR模型的全国社保基金投资收益率波动影响因素分析

VAR Model Based on the National Social Security Fund Investment Return Volatility Factors Analysis

全国社会保障基金是由中央政府集中的社会保障储备基金,专门用于人口老龄化高峰期养老保障以及特殊时期其他社会保障方面的需要。自2000—2021年,社保基金复合年化投资收益率为8.3%。如此优秀的成绩足以证明社保投资相较于市场组合是能获得超额收益的,但是历年社保基金收益波动较大,因此,为实现全国社保基金保值增值目的,明确全国社保基金投资管理方向,探究哪些因素会影响社保基金业绩是十分必要的。本文选取了2003—2021年全国社保基金收益数据并运用向量自回归模型实证分析了全国社保基金收益率波动的影响因素。实证结果显示,通货膨胀率与全国社保基金收益率呈负相关,证券化率与全国社保基金中期呈正相关,基金规模增长率与全国社保基金收益率是正相关关系,但一些影响程度较小。

The National Social Security Fund is a social security reserve fund centralized by the central government,which is dedicated to old-age security at the peak of population aging and other social security pressures in special periods.From 2000 to 2021,the compound annual return on investment of the social security fund was 8.3%.Such excellent results are enough to prove that social security investment can obtain excess returns compared with market portfolio,but the returns of social security funds fluctuate greatly over the years.Therefore,in order to achieve the goal of preserving and increasing the value of national social security funds,it is necessary to clarify the direction of national social security fund investment management and explore what factors will affect the performance of social security funds.This paper selects the national social security fund income data from 2003 to 2021 and uses the vector VAR model to empirically analyze the influencing factors of the fluctuation of the national social security fund income rate.The empirical results show that the inflation rate is negatively related to the rate of return of national social security funds,The security radio is positively related to the medium-term of national social security funds,and the growth rate of fund size is positively related to the rate of return of national social security funds,but the impact is small.