我国养老保险体系若干理论问题的研究及应用

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摘要

据联合国预测，全世界 65 岁及以上的老年人口占世界总人口的比例，将于 2025

年达到 9.7%，中国是世界第一人口大国，于 2000 年正式步入人口老龄化国家的行

列，养老问题已经成为 21 世纪全球共同面临的重大难题。健全和完善我国养老保

险制度，不仅关系社会各阶层的利益，还关系到我国经济体制改革的成败。因此，

通过一些定量分析，并借鉴其他国家养老保险制度改革的经验，对我国养老保险

体制改革提出相关建议，具有重要的意义。

本文首先重点分析了养老保险金的筹资渠道问题。以 2007 年为基年的中国经

济社会核算矩阵的真实国民数据为基础，构建了中国养老保险体系的 CGE 模型，

用不同改革方案模拟了 2010 至2050 年的我国养老保险体系 40 个周期的运行情况。

其次，研究了养老保险金的增值保值问题。运用 Markowitz 的现代投资组合理

论，假定我国养老基金仅投资于银行存款、国债和股票，并在此假设上，运用

Markowitz“均值—方差”模型，选取相应数据指标，建立我国养老保险基金的投

资组合模型。求养老保险投资“最优”的组合，实际就是求极值，由于存在“银

行存款、股票以及国债所占养老金投资比例之和为 1”的条件函数，可用拉格朗日

乘数法求极值，计算出在以 CPI 增长率为目标收益率的情况下，养老保险基金的

最优投资组合为：银行存款 18.83%，股票 32.56%，国债 48.61%。

最后，借鉴美国、瑞典和智利三国的养老保险关于筹资和保值增值的改革经

验，对我国养老保险制度的筹资方式、运营模式以及管理效率提出了四点建议：

第一，建立和完善养老保险法律体系，为养老保险改革提供法律保障，使之规范

运作。第二，明确政府在养老保险制度中的角色。政府应给予个人安排自己将来

生活的自由选择权，更多的时候，政府应该做一个称职的“守夜人”，对养老金的

运营和管理实施严格的监控。第三，政府应该承担转制过程中产生的成本，妥善

解决养老金隐性债务的问题。第四，引入专业的基金管理公司或金融运营机构对

养老保险基金进行运营管理，实现养老保险基金的保值增值。

关键词：养老保险制度 CGE 模型 Markowitz“均值-方差”模型

ABSTRACT

According to United Nations’ projection, the proportion of the world’s over

65-year old people will reach 9.7% by 2025, China, which has the largest population in

the world, formally entered the ranks of aging countries in 2000. Pension is the most

significant issue confronting every country in the 21st century. Improvements of China's

pension system, not only bear the interests of all sectors of society, but also relate to the

success of China's economic reform. Thus, it is of great significance to put forward

several proposals on China's pension reform, by using some quantitative analyses, and

learning experiences from other countries.

This paper firstly focuses on the financing channels: apply A-K Model to create

China’s pension system CGE Model based on 2007 SAM data, use different reform

proposals to simulate the 40-cycle operation of China's pension system from 2010 to

2050.

Secondly, this paper studies value preservation and appreciation of China's pension

money. Use Markowitz “Mean-Variance” Model to figure out China’s pension optimal

portfolio for the value preservation problem, assuming Chinese Government just invest

pension fund on bank cash, treasury bonds and stocks. The “optimal” issue implies what

we need to do is to calculate the extreme value. We can exert Lagrange Multiplier

Method to solve this problem considering there lies one premise: “the sum of the

respective ratio of bank cash, treasury bonds and stocks is 1”. Finally, we can figure out

the answer: if we regard CPI growth rate as the target return rate of China’s pension

fund, the ratio of bank cash is 18.83%, stocks 32.56%, treasury bonds 48.61%.

In the end, according to successful pension reform experiences of United States,

Sweden and Chile, this paper proposes four points towards financing channels,

operation mode and management efficiency of China’s pension system: Firstly, establish

and perfect legal system of China’s pension, so that the pension reform can be run under

the protection of laws. Secondly, define government’s role in pension system, it should

offer individuals more option freedom to arrange their future lives. Most of the time, the

government, as a competent “night watchman”, is supposed to strictly monitor the

operation and management of pension fund. Thirdly, the government should bear the

costs incurred during the pension system conversion, and properly resolve the problem

of implicit pension debt. Fourthly, introduce some professional fund management

companies or financial institutions to run the pension fund together, for the benefit of its

value preservation and appreciation.

Keywords: Pension Insurance System, CGE Model,

Markowitz “Mean-Variance” Model

中文摘要

ABSTRACT

第一章绪论................................................................................................................1

§1.1 选题背景与研究意义.....................................................................................1

§1.2 国内外研究现状.............................................................................................2

§1.2.1 养老保险的基础理论研究综述..............................................................2

§1.2.2 养老保险的 CGE 模型研究综述............................................................3

§1.2.3 养老保险的 Markowitz“均值—方差”模型研究综述........................4

§1.3 本文的创新点.................................................................................................5

§1.4 本文的主要内容.............................................................................................5

第二章我国养老保险体系的构架与运行分析........................................................8

§2.1 世界现行的几种养老保险制度.....................................................................8

§2.1.1 养老保险的概念......................................................................................8

§2.1.2 养老保险的基本模式..............................................................................8

§2.2 养老保险的基本筹资模式.............................................................................9

§2.2.1 现收现付模式..........................................................................................10

§2.2.2 完全积累模式..........................................................................................10

§2.2.3 部分积累模式..........................................................................................11

§2.3 中国的养老保险制度选择.............................................................................12

§2.3.1 “传统体制”阶段的养老保险制度........................................................12

§2.3.2 “社会统筹”阶段的养老保险制度........................................................12

§2.3.3 “统账结合”阶段的养老保险制度........................................................13

§2.4 中国养老保险制度的危机.............................................................................14

§2.4.1 隐性养老金债务的产生..........................................................................14

§2.4.2 统筹账户的入不敷出及个人账户的“空账”运行..............................14

§2.5 本章小结.........................................................................................................15

第三章我国养老保险体系的 CGE 模型..................................................................16

§3.1 CGE 模型基本理论........................................................................................16

§3.1.1 一般均衡理论与 CGE 模型的含义........................................................16

§3.2 CGE 模型的基本结构....................................................................................16

§3.2.1 居民偏好..................................................................................................16

§3.2.2 厂商..........................................................................................................17

§3.2.3 政府..........................................................................................................17

§3.3 模型数据的选取.............................................................................................18

§3.3.1 社会核算矩阵..........................................................................................18

§3.3.2 基本数据..................................................................................................18

§3.4 实验模拟结果分析.........................................................................................20

§3.4.1 基准模型..................................................................................................20

§3.4.2 冲击模型..................................................................................................22

§3.5 政策建议.........................................................................................................24

§3.5.1 逐步扩大养老体系覆盖面积..................................................................24

§3.5.2 逐步提高法定退休年龄..........................................................................25

§3.5.3 发行养老彩票..........................................................................................25

§3.5.4 划拨国有存量资产..................................................................................26

§3.6 本章小结.........................................................................................................26

第四章我国养老保险基金的投资组合模型............................................................27

§4.1 养老保险基金的多元化投资.........................................................................27

§4.1.1 养老保险基金可选择的投资工具..........................................................27

§4.1.2 各国政府对养老保险基金资产的监管限制..........................................29

§4.2 Markowitz 的“均值—方差”模型...............................................................30

§4.2.1 现代投资组合理论...................................................................................30

§4.2.2 “均值—方差”模型...............................................................................31

§4.3 Markowitz“均值—方差”模型的数据选取................................................32

§4.3.1 银行存款收益率.......................................................................................32

§4.3.2 股票收益率...............................................................................................33

§4.3.3 国债收益率...............................................................................................39

§4.3.4 居民消费价格指数月增长率...................................................................40

§4.4 我国养老保险基金的投资组合模型构建......................................................41

§4.4.1 银行存款、国债与股票的相关性分析...................................................41

§4.4.2 养老保险基金投资组合的“均值—方差”模型...................................42

§4.4.3 政策建议...................................................................................................44

§4.5 本章小结..........................................................................................................44

第五章外国养老金的筹资与保值增值经验借鉴….................................................45

§5.1 外国养老金的筹资与保值增值改革.............................................................45

§5.1.1 美国的养老保险制度改革......................................................................45

§5.1.2 瑞典的养老保险制度改革......................................................................45

§5.1.3 智利的养老保险制度改革......................................................................47

§5.2 对我国的借鉴意义.........................................................................................48

§5.3 本章小结.........................................................................................................50

第六章总结................................................................................................................51

§6.1 本文内容综述与创新点.................................................................................51

§6.2 进一步研究方向.............................................................................................51

参考文献........................................................................................................................53

在读期间公开发表的论文和承担科研项目及取得成果............................................56

致谢............................................................................................................................... 57

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摘要：

摘要据联合国预测，全世界65岁及以上的老年人口占世界总人口的比例，将于2025年达到9.7%，中国是世界第一人口大国，于2000年正式步入人口老龄化国家的行列，养老问题已经成为21世纪全球共同面临的重大难题。健全和完善我国养老保险制度，不仅关系社会各阶层的利益，还关系到我国经济体制改革的成败。因此，通过一些定量分析，并借鉴其他国家养老保险制度改革的经验，对我国养老保险体制改革提出相关建议，具有重要的意义。本文首先重点分析了养老保险金的筹资渠道问题。以2007年为基年的中国经济社会核算矩阵的真实国民数据为基础，构建了中国养老保险体系的CGE模型，用不同改革方案模拟了2010至2050年的我国养老...

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