主权财富基金的经济效应研究
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摘要
21世纪初以来全球主权财富基金的快速发展,代表着全球剩余外汇储备从低风险、低回报的投资组合向高风险、高回报投资组合的战略转移,将对国际金融稳定、全球资本市场结构、全球储备货币结构、世界经济失衡、世界经济格局等产生重大影响。同时,主权财富基金作为国有投资实体而进行全球范围内的股权投资,将对目标公司的经营状况及盈利能力等产生重要影响。因此,深入研究主权财富基金的经济影响和效应,构建定量研究主权财富基金宏观经济效应和微观经济效应的渠道,对规范主权财富基金的发展模式,对进一步完善全球资本市场等都具有重要的理论和现实意义。同时,借鉴主权财富基金的国际经验,研究中国主权财富基金的发展现状和经济效应,对推动中国主权财富基金的快速健康发展,对实现国家财富保值增值、提高国际要素配置能力、保障中国经济安全具有重要的战略意义。
在当前国内外研究主权财富基金多以定性分析为主、定量研究极为稀少的背景下,本文利用全球宏观经济模型、国际资产定价模型等多种数理模型,以及统计分析、事件研究、案例分析等多种实证研究方法,深入研究主权财富基金的经济效应。在分析主权财富基金兴起背景的基础上,研究全球主权财富基金的发展现状,探索主权财富基金的新型“国家资本主义”性质,并将主权财富基金纳入两区域的动态一般均衡模型,重点分析主权财富基金资产规模增加影响外国投资组合资产比例进而影响全球宏观经济指标的机理。同时,利用事件研究法实证研究主权财富基金投资行为对目标公司股票价格的影响,从三种情景估计主权财富基金未来资产规模及其对全球各类资产价格可能产生的影响,并将事件研究法扩展到中国主权财富基金的经济效应和投资绩效。
本文主要得到了以下结论：(1)主权财富基金的宏观经济效应体现在：不管采取怎样的投资组合策略,主权财富基金的兴起都将导致美元出现不同程度的贬值,美国的过度特权出现不同程度的下降,而新兴经济体的经济实力则快速提高。(2)主权财富基金的微观投资行为,将对目标公司股票价格产生一个即时的、强烈的、积极影响(均值调整收益模型估计为2.90%,GARCH市场模型估计为2.57%)。同时,主权财富基金的微观经济效应,对实体经济部门的投资行为要明显大于虚拟经济部门；在金融危机期间投资行为的异常收益规模较小,但是持续性更强；较高的入股比例将会出现规模较大、更为显著的平均异常收益；对新兴市场投资行为的平均异常收益较发达市场更为显著。(3)随着主权财富基金资产规模增加,全球风险和无风险资产的回报率同方向变化,但无风险资产回报率变化程度更大,股票风险溢价和市盈率也同向变化；主权财富基金对风险和无风险资产的回报率的影响方向,与对风险溢价和市盈率的影响方向相反；经常账户盈余的80%转移到主权财富基金,是主权财富基金影响全球各种资产价格的重要分界点；(4)中国是全球主权财富基金资产规模最大的国家,其主权财富基金包括中国投资公司、中国华安投资有限公司、社保基金全国理事会以及中非发展基金。中国主权财富基金投资行为在宣布日的平均异常收益要弱于全球总体样本,但是“购买并持有”的平均复合异常收益要远高于全球平均水平。在投资行为发生大约一年之后,中国主权财富基金也将获得最好的投资绩效。
在前人研究的基础上,本文主要在以下几个方面做出了一定的创新：
(1)深入研究21世纪初主权财富基金崛起的客观背景,提出了主权财富基金是世界经济失衡的产物、是新型“国家资本主义”最新发展形式等全新观点；(2)尝试将主权财富基金纳入宏观经济模型,将主权财富基金与一般均衡模型中外国投资组合的资产比例、资产定价模型中投资者风险厌恶程度联系起来,利用稳定性检验衡量主权财富基金的宏观经济效应；(3)利用实体经济与虚拟经济、金融危机与非金融危机时期、较高入股与较低入股比例以及发达市场与新兴市场等主权财富基金投资行为的子样本,利用事件研究法比较不同子样本之间微观经济效应的差异及特征；(4)首次利用定量方法实证研究中国主权财富基金的经济效应,利用“购买并持有”的平均复合异常收益衡量中国主权财富基金的长期投资绩效。
Since the summer of 2007, owing to the boom of world resource commodity markets, the aggravation of global economic imbalance and the rise of emerging economies, Sovereign wealth funds which are mostly built by oil exporting countries and East-Asian countries, are developing quickly and becoming the greatest events in the fields of world economy and international finance in the early part of the 21st century. Governments, medias and research institutes all over the world, especially in the advanced economies such as the Europe and the United States, give a lot attention to the development of SWFs.
The development of SWFs indicates that the excess foreign exchange reserves round the world will leave the low risk and return investment portfolio towards high risk and return investment portfolio, and this strategic diversion will have great influence on international finance stabilization, global capital market structure, global economic imbalance and so on. On the same time, the equity investment behaviors made by these state investment entities, will affect the management and profit of their target companies greatly. Therefore, it is very important to study the actuality and economic effects of SWFs, especially the influencing mechanism of macro and micro economic effects, and this thesis will be helpful to normalize the develop pattern of SWFs and make the global capital market be improving day by day.
Since the reform and opening up especially 1990s of the last century, people all over the world fix their eyes on the success of China's economic development. China has become the firstly greatest engine of the world's economic development. But China's economy still suffers from some structural problems, such as the imbalance between foreign and domestic capital, the imbalance between real and fictitious economy, the weakness of international asset management by domestic financial institutes, the great pressure and challenge on huge foreign exchange reserves, The lack of pricing rights in international commodity markets etc. All these problems ask the Chinese government to build up a set of state investment institutes with powerful capital, flexible institution and stick to the principle that national interest is prior to organizational interest. SWFs will be the key members in this set of state investment institutes. Therefore, in the post-financial-crisis era, China should draw lessons from other advanced SWF countries, study the economic effects of China's SWFs, try to build a integrated SWF develop strategy. All these jobs will be important to help China keeping and increasing the value of state assets, improving the ability of international factor allocation, and guarantee the economic safety of China.
The current research achievements on SWFs around the world are mostly qualitative researches, and quantitative researches are very infrequent. This thesis uses different types of mathematical models such as Global Macro Economic Model and International Asset Pricing Model, and uses different types of empirical research methods such as statistical analysis, event study and case study, then makes a intensive study of the economic effects of SWFs and the strategy choice of China. Firstly, this thesis perfectly studies the macro background upon which the SWFs around the world could emerge quickly, explore the nature of SWFs as New State Capitalism Economy, then anatomizes the develop actuality of the world's SWFs as a whole. Secondly, this thesis uses SWFs as factor in a Dynamic Stochastic General Equilibrium Model with two regions, especially focus on the influence mechanism among the asset size of SWFs, asset proportion of investment portfolio and global macro economic indices. Thirdly, this thesis uses the method of event study to measure the influence of SWFs'investments on target companies'stock prices, estimates the future asset size of the global SWFs from three scenarios, and then studies their influence on four types of global asset prices. Fourthly, this thesis extends the event study to the investment by China SWFs, study their economic effects and investment performance.
Main conclusions of this thesis include:1) The study of the Dynamic Stochastic General Equilibrium Model with two regions shows that, regardless what investment portfolio SWFs chose, the emergence of SWFs will make the US dollar depreciate incoordinately, make the US exorbitant privilege decline incoordinately, and make the emerging economies much more productive and stronger.2)The announcement of an acquisition by a SWF has a transitory intense positive impact on the stock price of the target company, but there is no lasting effect. Under the Mean Adjusted Return Model, the positive impact on the stock price is 2.9 percent, and under the Market Model with GARCH estimation, the positive impact on the stock price is 2.57 percent. Subsamples shows that, SWFs'micro economic effects on real economic department are much stronger than that on fictitious economic department, the abnormal return during the subprime crisis is much small but have longer persistence, higher acquire proportion will make a much bigger and more evident abnormal return, abnormal return from the investment in emerging markets are much more evident.3)By the emergence of SWFs, the influence of SWFs on the returned rate of risky asset and risk-free asset are of the same direction, but it is much more notable on the risk-free asset; the influence on equity premium and price-earnings ratio are also of the same direction, and is much more notable as SWFs become stronger; the direction of SWFs'influence on equity premium and price-earnings ratio is opposite to that of risky and risk-free asset; transferring 80 percent of the new current account surplus to SWFs every year is the inflexion point of SWFs'influence on the four asset prices.4) Now China has four SWFs, includes China Investment Corporation, SAFE Investment Company, National Social Security Fund and China-Africa Development Fund, China's SWFs have the most asset size as a whole in the world. The abnormal return of the investment behaviors by China's SWFs is much weaker than that by the world SWFs as a whole, but the average compounded abnormal return from "buy and hold" of China's SWFs is much higher than the global level; about one year after the investment, China's SWFs will get their best investment performance.
The main innovation of this thesis includes four aspects. Firstly, this thesis perfectly studied the external background upon which the SWFs emerge quickly in the early part of the 21st century, and gave fire-new point of view, such as SWFs are the productions of global economic imbalance, and SWFs are the updated representatives of the New State Capitalism in the emerging economies. Secondly, this thesis tried to use SWFs as a factor in macro economic model, connecting SWFs with the asset proportion of foreign investment portfolio in General Equilibrium Model and investor risk averse in Asset Pricing Model, then use the method of robustness test to measure the macro economic effect. Thirdly, using different classification standard, this thesis classified the global sample to subsample of real and fictitious economic department, financial crisis and non-financial crisis era, high and low investment proportion, advanced and emerging market, and then compared the difference of micro economic effects between orresponding subsamples. Fourthly, this thesis is the first empirical research in academia about the economic effect of China's SWF, using the average compounded abnormal return of "buy and hold" to measure the long-run investment performance of China's SWFs.
在当前国内外研究主权财富基金多以定性分析为主、定量研究极为稀少的背景下,本文利用全球宏观经济模型、国际资产定价模型等多种数理模型,以及统计分析、事件研究、案例分析等多种实证研究方法,深入研究主权财富基金的经济效应。在分析主权财富基金兴起背景的基础上,研究全球主权财富基金的发展现状,探索主权财富基金的新型“国家资本主义”性质,并将主权财富基金纳入两区域的动态一般均衡模型,重点分析主权财富基金资产规模增加影响外国投资组合资产比例进而影响全球宏观经济指标的机理。同时,利用事件研究法实证研究主权财富基金投资行为对目标公司股票价格的影响,从三种情景估计主权财富基金未来资产规模及其对全球各类资产价格可能产生的影响,并将事件研究法扩展到中国主权财富基金的经济效应和投资绩效。
本文主要得到了以下结论：(1)主权财富基金的宏观经济效应体现在：不管采取怎样的投资组合策略,主权财富基金的兴起都将导致美元出现不同程度的贬值,美国的过度特权出现不同程度的下降,而新兴经济体的经济实力则快速提高。(2)主权财富基金的微观投资行为,将对目标公司股票价格产生一个即时的、强烈的、积极影响(均值调整收益模型估计为2.90%,GARCH市场模型估计为2.57%)。同时,主权财富基金的微观经济效应,对实体经济部门的投资行为要明显大于虚拟经济部门；在金融危机期间投资行为的异常收益规模较小,但是持续性更强；较高的入股比例将会出现规模较大、更为显著的平均异常收益；对新兴市场投资行为的平均异常收益较发达市场更为显著。(3)随着主权财富基金资产规模增加,全球风险和无风险资产的回报率同方向变化,但无风险资产回报率变化程度更大,股票风险溢价和市盈率也同向变化；主权财富基金对风险和无风险资产的回报率的影响方向,与对风险溢价和市盈率的影响方向相反；经常账户盈余的80%转移到主权财富基金,是主权财富基金影响全球各种资产价格的重要分界点；(4)中国是全球主权财富基金资产规模最大的国家,其主权财富基金包括中国投资公司、中国华安投资有限公司、社保基金全国理事会以及中非发展基金。中国主权财富基金投资行为在宣布日的平均异常收益要弱于全球总体样本,但是“购买并持有”的平均复合异常收益要远高于全球平均水平。在投资行为发生大约一年之后,中国主权财富基金也将获得最好的投资绩效。
在前人研究的基础上,本文主要在以下几个方面做出了一定的创新：
(1)深入研究21世纪初主权财富基金崛起的客观背景,提出了主权财富基金是世界经济失衡的产物、是新型“国家资本主义”最新发展形式等全新观点；(2)尝试将主权财富基金纳入宏观经济模型,将主权财富基金与一般均衡模型中外国投资组合的资产比例、资产定价模型中投资者风险厌恶程度联系起来,利用稳定性检验衡量主权财富基金的宏观经济效应；(3)利用实体经济与虚拟经济、金融危机与非金融危机时期、较高入股与较低入股比例以及发达市场与新兴市场等主权财富基金投资行为的子样本,利用事件研究法比较不同子样本之间微观经济效应的差异及特征；(4)首次利用定量方法实证研究中国主权财富基金的经济效应,利用“购买并持有”的平均复合异常收益衡量中国主权财富基金的长期投资绩效。
Since the summer of 2007, owing to the boom of world resource commodity markets, the aggravation of global economic imbalance and the rise of emerging economies, Sovereign wealth funds which are mostly built by oil exporting countries and East-Asian countries, are developing quickly and becoming the greatest events in the fields of world economy and international finance in the early part of the 21st century. Governments, medias and research institutes all over the world, especially in the advanced economies such as the Europe and the United States, give a lot attention to the development of SWFs.
The development of SWFs indicates that the excess foreign exchange reserves round the world will leave the low risk and return investment portfolio towards high risk and return investment portfolio, and this strategic diversion will have great influence on international finance stabilization, global capital market structure, global economic imbalance and so on. On the same time, the equity investment behaviors made by these state investment entities, will affect the management and profit of their target companies greatly. Therefore, it is very important to study the actuality and economic effects of SWFs, especially the influencing mechanism of macro and micro economic effects, and this thesis will be helpful to normalize the develop pattern of SWFs and make the global capital market be improving day by day.
Since the reform and opening up especially 1990s of the last century, people all over the world fix their eyes on the success of China's economic development. China has become the firstly greatest engine of the world's economic development. But China's economy still suffers from some structural problems, such as the imbalance between foreign and domestic capital, the imbalance between real and fictitious economy, the weakness of international asset management by domestic financial institutes, the great pressure and challenge on huge foreign exchange reserves, The lack of pricing rights in international commodity markets etc. All these problems ask the Chinese government to build up a set of state investment institutes with powerful capital, flexible institution and stick to the principle that national interest is prior to organizational interest. SWFs will be the key members in this set of state investment institutes. Therefore, in the post-financial-crisis era, China should draw lessons from other advanced SWF countries, study the economic effects of China's SWFs, try to build a integrated SWF develop strategy. All these jobs will be important to help China keeping and increasing the value of state assets, improving the ability of international factor allocation, and guarantee the economic safety of China.
The current research achievements on SWFs around the world are mostly qualitative researches, and quantitative researches are very infrequent. This thesis uses different types of mathematical models such as Global Macro Economic Model and International Asset Pricing Model, and uses different types of empirical research methods such as statistical analysis, event study and case study, then makes a intensive study of the economic effects of SWFs and the strategy choice of China. Firstly, this thesis perfectly studies the macro background upon which the SWFs around the world could emerge quickly, explore the nature of SWFs as New State Capitalism Economy, then anatomizes the develop actuality of the world's SWFs as a whole. Secondly, this thesis uses SWFs as factor in a Dynamic Stochastic General Equilibrium Model with two regions, especially focus on the influence mechanism among the asset size of SWFs, asset proportion of investment portfolio and global macro economic indices. Thirdly, this thesis uses the method of event study to measure the influence of SWFs'investments on target companies'stock prices, estimates the future asset size of the global SWFs from three scenarios, and then studies their influence on four types of global asset prices. Fourthly, this thesis extends the event study to the investment by China SWFs, study their economic effects and investment performance.
Main conclusions of this thesis include:1) The study of the Dynamic Stochastic General Equilibrium Model with two regions shows that, regardless what investment portfolio SWFs chose, the emergence of SWFs will make the US dollar depreciate incoordinately, make the US exorbitant privilege decline incoordinately, and make the emerging economies much more productive and stronger.2)The announcement of an acquisition by a SWF has a transitory intense positive impact on the stock price of the target company, but there is no lasting effect. Under the Mean Adjusted Return Model, the positive impact on the stock price is 2.9 percent, and under the Market Model with GARCH estimation, the positive impact on the stock price is 2.57 percent. Subsamples shows that, SWFs'micro economic effects on real economic department are much stronger than that on fictitious economic department, the abnormal return during the subprime crisis is much small but have longer persistence, higher acquire proportion will make a much bigger and more evident abnormal return, abnormal return from the investment in emerging markets are much more evident.3)By the emergence of SWFs, the influence of SWFs on the returned rate of risky asset and risk-free asset are of the same direction, but it is much more notable on the risk-free asset; the influence on equity premium and price-earnings ratio are also of the same direction, and is much more notable as SWFs become stronger; the direction of SWFs'influence on equity premium and price-earnings ratio is opposite to that of risky and risk-free asset; transferring 80 percent of the new current account surplus to SWFs every year is the inflexion point of SWFs'influence on the four asset prices.4) Now China has four SWFs, includes China Investment Corporation, SAFE Investment Company, National Social Security Fund and China-Africa Development Fund, China's SWFs have the most asset size as a whole in the world. The abnormal return of the investment behaviors by China's SWFs is much weaker than that by the world SWFs as a whole, but the average compounded abnormal return from "buy and hold" of China's SWFs is much higher than the global level; about one year after the investment, China's SWFs will get their best investment performance.
The main innovation of this thesis includes four aspects. Firstly, this thesis perfectly studied the external background upon which the SWFs emerge quickly in the early part of the 21st century, and gave fire-new point of view, such as SWFs are the productions of global economic imbalance, and SWFs are the updated representatives of the New State Capitalism in the emerging economies. Secondly, this thesis tried to use SWFs as a factor in macro economic model, connecting SWFs with the asset proportion of foreign investment portfolio in General Equilibrium Model and investor risk averse in Asset Pricing Model, then use the method of robustness test to measure the macro economic effect. Thirdly, using different classification standard, this thesis classified the global sample to subsample of real and fictitious economic department, financial crisis and non-financial crisis era, high and low investment proportion, advanced and emerging market, and then compared the difference of micro economic effects between orresponding subsamples. Fourthly, this thesis is the first empirical research in academia about the economic effect of China's SWF, using the average compounded abnormal return of "buy and hold" to measure the long-run investment performance of China's SWFs.
引文
①参见IWG. Sovereign Wealth Funds Generally Accepted Principles and Practices "Santiago Principles" [R]. IMF. 2008.
①谢平、陈超和柳子君认为,主权财富基金对全球金融稳定性的重要作用主要包括以下方面：一是主权财富基金将从对短期低风险投资,例如美国一年期国债,转向投资长期的全球股票市场,对缓解全球收支失衡做出贡献。二是资金跨区域套利大幅增加,有利于提升全球金融市场,特别是新兴市场的市场效率提高。三是主权财富基金具有“逆周期”投资行为,是金融市场的“稳定器”。而提高主权财富基金的监管、信誉及透明度,将是其能否发挥稳定金融市场作用的关键因素。
②Devlin & Brummitt指出,从金融稳定性角度来说,主权财富基金与其他市场参与者并没有太大区别,它们与私人或公共部门的机构投资者一样有相似的目标、经营方式和动机。与对冲基金的情形相类似,认为主权财富基金信息披露不足会带来市场不稳定是没有根据的。同时,考虑到其他投资者的博弈行为,完全的信息披露未必是最优的。详见Devlin. W.& Brummitt, B. A few sovereigns more: the rise of sovereign wealth funds [R]. the Australian Treasury.2007
①未来经常账户和私人资本流入的数据来源于IMF的世界经济展望(2008年-2013年)的估计。对于那些正在筹建主权财富基金的国家来说,并不区分储备的积累和主权财富基金资产的积累。
②IMF(2008)指出,当前没有关于这种多样化投资组合的资产配置的确切数据,他们是根据资本市场上对于一个被很好建立的、多样化投资的主权财富基金的投资组合的信息而判断出来的。详见Roy. S. Money and mystery. ADIA unveils its secrets [J]. Euromoney.2006.37(444)
① GIMF5是Kumhof-Laxton模型的扩展,包含了美国、欧元区、日本、新兴亚洲和其他国家等五个单独的模型。详见Kumhof & Laxton. A Party Without a Hangover? On the Effects of U.S. Fiscal Deficits [R]. IMF,2007
①约翰·霍普金斯大学的Christopher D. Carroll和Olivier Jeanne已经在尝试将主权财富基金纳入宏观经济模型,并且得到初步的研究成果,详见Carroll & Jeanne (2009).
①根据摩根士丹利的研究报告,石油美元的规模可以从存量和流量两个角度来衡量,前者是指石油探明储量的货币价值,而后者则是指年度石油出口额。参见Stephen Jen & Charles St-Arnaud, "A Petrodollar Tsunami Warning", Morgan Stanley Global Economic Forum, February 22,2008.
①详见宋玉华、叶绮娜,“后危机时代世界经济再平衡及其挑战”,经济理论与经济管理,2010年第五期。
①详见IMF. Global Financial Stability Report (GFSR) [Z]. April,2007
①详见Steffen Kern. Sovereign Wealth Funds-state investments on the rise [R]. Deutsche Bank Research, September 10,2007.
②本文所指的新兴经济体,绝不仅仅是指新兴市场国家,而是泛指全球所有的新兴市场和发展中国家,即IMF国家统计系列中的Emerging and Developing Economies,是世界各国中除了西方发达国家、新兴亚洲工业化国家等发达经济体之外的诸多新兴市场化国家和发展中国家的总称,具体包括中东欧、独联体、亚洲发展中国家、拉美和加勒比、中东和北非以及撒哈拉以南地区的众多国家。
① George Wehrfritz, "The New State Capitalists", Newsweek International, May 1,2006.
②英国渣打银行首席经济学家Gerard Lyons在2007年撰文“国家资本主义如何改变世界”指出,国家资本主义和资源国家主义将成为这个时代的两个主要经济问题,详见Gerard Lyons, "How state Capitalism could change the world", The Financial Times, June 8,2007.
③美国耶鲁大学管理学院教授Jeffrey Garten则在2008年撰文称“全球进入”国家资本主义‘时代”,详见Jeffrey Garten, "The unsettling zeitgeist of state capitalism", The Financial Times, January 14,2008.
④英国《金融时报》首席经济评论员Martin Wolf撰文指出,国家正在成为资源和财富的所有者,详见Martin Wolf, "We are living in a brave new world of state capitalism", The Financial Times, October 22,2007.
⑤俄罗斯国家石油公司(Rosneft)是在吸收已破产的俄罗斯石油巨头尤科斯(Yukos)剩余资产基础上建立的一家国有石油公司,并计划与俄罗斯天然气工业股份公司(Gazprom)合并控制俄罗斯石油产量的35%,并成为全球最大的石油公司。
①详见Stephen Jen, "The Definition of a Sovereign Wealth Fund", Morgan Stanley Research Global October 26, 2007.
②数据来源于Steffen Kern, "Sovereign Wealth Funds-state investments on the rise", Deutsche Bank Research, September 10,2007。
①详见Federal Reserve. Flow of Funds Accounts of the United States: Annual Flows and Outstandings 2005-2009. Board of Governors of the Federal Reserve System. March 11.2010. B.100 Balance Sheet of Households and Nonprofit Organizations.
②其中外国私人持有的美国国债为0.88万亿美元,持有美国的公司债券及其他债券为2.87万亿,因此外国私人部门持有美国债券规模约为3.75万亿美元。
③数据来自于Elena L. Nguyen, The International Investment Position of the United States at Yearend 2008, BEA, July 2009. http://www.bea.gov/scb/pdf/2009/07%20.lulv/0709 iip.pdf.
④详见Farrell, D., Lund. S.& Skau, O. Mapping global capital markets: Fifth annual report [R]. McKinsey Global Institute.2008.
⑤详见Loser. C. M. Global financial turmoil and Emerging Market Economies:Major contagion and a shocking loss of wealth? [R]. Asian Development Bank.2009.
① Sa & Viani(2009)研究发现美国投资者将73%的财富投资在股票市场上,而将其余的27%投资在债券市场上。
②欧洲央行2009年5月发布的统计数据显示,截至2008年第四季度,欧元区家庭的金融资产规模为16.45万亿欧元,其中584亿欧元投资在短期债券上,1.21万亿欧元投资在长期债券上,5903亿欧元投资在上市股票上,而1.69万亿欧元投资在非上市股票和其他股票上,因而其投资在股票市场上的资产比例约为64%,而2007年第四季度这一比例为72%。详见ECB (2008,2009). ECB Monthly Bulletin. May 2009 and July 2008. European Central Bank. http://www.eeb.int/pub/mb/html/index.en.html③日本央行的最新统计数据显示,截至2009年第三季度,日本家庭投资在债券上的资产为54.87万亿日元,而投资在股票上的资产约为97.18万亿日元,因而其投资在股票市场上的资产比例约为64%。详见The Bank of Japan, Flow of Funds,3rd Quarter 2009. http://www.boj.or.jp/en/theme/research/stat/sj/index.htm
④美国净外债的数据来源于Nguyen(2009)。该BEA的统计资料显示,截至2008年底,美国所有的海外资产约为19.89万亿美元,而外国人持有的美国资产约为23.36万亿美元,因而美国的净外债约等于3.47万亿。详见Elena L. Nguyen, The International Investment Position of the United States at Yearend 2008, BEA, July 2009. http://www.bea.gov/scb/pdf/2009/07%20.July/0709 iip.pdf.
⑤美国个人消费支出(Personal Consumption Expenditures)的数据来自BEA网站,http://www.bea.gov/national/nipaweb/nipa underlying/Table View.asp?Selected Table=14 & ViewSeries=Yes & Java=
①过度特权(The exorbitant privilege)是20世纪60年代由时任法国财政部长的瓦莱里·吉斯卡尔·德斯坦(Valery Giscard d'Estaing)创造性地提出来的,而大多数人则将该术语归功于当时的法国领导人戴高乐(Charles de Gaulle),认为他也持有类似观点。当时的过度特权主要是指美国由于美元作为国际储备货币而得到的好处,美国不会面临收支平衡的危机,因为它可以使用本国货币购买外国商品。
② Gourinchas & Rey (2005)估算了战后美国过度特权的变化,发现自1952年以来美国的总资产相对于总负债确实存在着一个相当大的超额收益,而布雷顿森林体系的崩溃则推动了超额收益的增加。其中过度特权主要来自于收益效应,但是结构效应也是确实存在的。详见Gourinchas. P. O.& Rey. H. From World Banker to World Venture Capitalist:US External Adjustment and the Exorbitant Privilege [R]. CEPR Discussion Paper. 2005.
① Gourinchas & Rey (2005)的估计结果是美国的过度特权规模约为3.32%,其中2.45%来自于收益效应,而0.86%来自于结构效应。而Sa&Viani(2009)的估计结果是美国的过度特权规模约为3.85%,其中2.65%来自于收益效应,而1.2%来自于结构效应。
② Triffin(1946,1960)的基本思想是,判断一国储备水平是否充分.应根据该国是否有能力用自身的资源来为国际交易可预见的赤字进行融资。为此,一个简单直观的指标是一国持有的储备额对该国进口额的比。如换成月份来折算,则一国储备充分性的比率,应当是其储备大约相当于该国3-4个月的进口价值额。另一个重要的指标是储备对短期对外负债比率,即所谓"Geenspan-Guidotti规则“。这一规则的具体内容是,对新兴经济体来说,它们持有的外汇储备量,最低必需能足以支付在下一年内要到期支付的外债总量。这一标准中的外债,包括了短期的、期限为一年内的外债,但也包括那些虽然总的期限超过一年,但其中在下一年将要到期偿还的那部分外债。详见张志超.最优国际储备理论与测度：文献综述[R].中国社科院国际金融研究中心.2009。
①新兴亚洲和石油出口国是当前设立主权财富基金的主要国家, Beck & Fidora(2008)利用这些国家官方外汇储备减去三个月进口需求和全部的短期外债来计算过剩储备。详见Beck. R.& Fidora. M. The impact of sovereign wealth funds on global financial markets [R]. European Central Bank,2008.
①IMF(2008)将主权财富基金的投资组合比例分为两种类型,挪威型的主权财富基金投资组合将60%的资产投资在股票,而将其余的40%投资在债券。而基于市场分析的多样化投资组合(Diversified Portfolio),则将23%投资在债券上,55%投资在股票上,7%投资在不动产上,7.5投资在对冲基金上,7.5%投资在私募基金上。而对于央行的外汇储备,则简单化假定储备资产100%投资在债券上。而在货币结构上,IMF(2008)估计挪威型主权财富基金将31.8%的资产投资在美元资产上,其他货币资产的比例为68.2%,而多样化投资组合的货币结构比例为38：62。本文考虑的主权财富基金是多样化投资组合,而不是相对保守的挪威型。详见Annex 1.Table 1.Stylized Portfolio Asset Allocation and Currency Composition, IMF. Sovereign Wealth FundS-A Work Agenda [R].IMF,2008.
②由于本文仅考虑股票和债券两种资产,因此多样化投资组合投资在股票上的资产比例为55/(55+23)=71%.
③COFER数据库2010年4月的统计数据显示,截至2009年第三季度,全球新兴市场和发展中经济体已配置的外汇储备为2.10万亿美元,其中美元为1.2万亿,美元的比例为57.46%。详见http://www.imf.org/external/np/sta/cofer/eng/cofer.pdf
Fama E.F. The Behavior of Stock-Market Prices [J]. Journal of Business,1965.38(1).34-105.
②目前,研究投资公告或投资行为对股票价格影响的较为规范、较为简单的方法便是事件研究法。
①平均异常收益的显著性检验主要参考的是约翰.Y.坎贝尔(John Y. Campbell)的《金融市场计量经济学》一书第4章。详见约翰.Y.坎贝尔等著,朱平芳等译,《金融市场计量经济学》,上海财经大学出版社,2003年4月。
②这17个主权财富基金分别是中国的中投公司、社保基金理事会、华安投资公司,卡塔尔的卡塔尔投资局,新加坡的淡马锡和GIC,阿联酋的迪拜世界、迪拜投资公司、迪拜国际金融中心、阿布扎比投资局、穆巴达拉发展公司、国际石油投资公司,科威特的科威特投资局,澳大利亚的未来基金,韩国的KIC,利比亚的利比亚投资局,马来西亚的Khazanah Nasional Berhad.
①这37个国家分别是阿尔及利亚、安哥拉、澳大利亚、阿塞拜疆、巴林、博茨瓦纳、巴西、文莱、加拿大、智利、中国、法国、中国香港、印尼、伊朗、爱尔兰、哈萨克斯坦、基里巴斯、韩国、科威特、利比亚、马来西亚、毛里塔尼亚、新西兰、尼日利亚、挪威、阿曼、卡塔尔、俄罗斯、沙特、新加坡、东帝汶、特立尼达和多巴哥、阿联酋、美国、委内瑞拉、越南。
②这3个国家分别是日本、印度和泰国。
③详见主权财富基金机构网站http://www.swfinstitute.org/funds.php
④详见Maslakovic.M.Sovereign Wealth Funds 2010[R].International Financial Services London.2010.
①详见Roxburgh. C.. Lund. S.. Atkins. C., et al. Global capital markets:Entering a new era [R]. McKinseym Global Institute.2009.在2008年全球金融资产178万亿的存量中,股票占34万亿,私人债券占51万亿,政府债券占32万亿,银行存款占61万亿,本章将前两种定为风险资产,后两种定为安全资产,因此全球金融资产中安全资产和风险资产的比率大约为1比1。
②详见IMF. World Economic Outlook Update: Restoring Confidence without Harming Recovery[R]. IMF,2010.
③这两种收益率是根据本文的资产定价模型以4077个历史数据估算出来的,详见“假定1情况下的资产价格”。
④由于外汇储备的职责在于以短期的货币稳定和流动性管理为目标,因此其投资行为往往比较保守。
⑤确定这一比例的原则来自于挪威的主权财富基金,作为世界上成立较早、最有代表性并且是透明度最高的主权财富基金,它们一直保持着基准资产组合,即60%投资于股权等风险资产,而40%投资于收益固定的安全资产。详见Larsen. P. T. Sovereign funds snap up bank stakes [N]. The Financial Times,2007, September 25.
④详见Barro. R. J. Rare Events and the Equity Premium [R]. NBER Working Paper No.11310.2005.
①详见Miles. D.. Baker. M.& Pillonca. V. What Should Equities and Bonds Be Worth in a Risky World? [R]. Morgan Stanley.2005.
②本章从全球许多国家中挑选了四十一个国家和地区,包括澳大利亚(1871-2006)、奥地利(1871-2006)、比利时(1871-2006)、加拿大(1871-2006)、丹麦(1871-2006)、芬兰(1871-2006)、法国(1871-2006)、德国(1871-2006)、意大利(1871-2006)、日本(1886-2006)、荷兰(1871-2006)、新西兰(1871-2006)、挪威(1871-2006)、瑞典(1871-2006)、瑞士(1900-2006)、英国(1871-2006)、美国(1871-2006)、希腊(1946-2005)、爱尔兰(1948-2004)、葡萄牙(1948-1994)、西班牙(1901-2006)、土耳其(1924-2006)、保加利亚(1925-1945,1951-2005)、捷克斯洛伐克(1921-1937,1949-1992)、匈牙利(1925-1942,1947-1992,1996-2005)、波兰(1930-1938,1951-2006)、苏联(1929-1940,1947-1992)、南斯拉夫(1921-1939,1947-1992)、阿根廷(1901-2006)、巴西(1901-1994,1996-2006)、智利(1901-2005)、墨西哥(1901-1910,1922-2006)、中国(1951-2006)、印度(1901-2003)、韩国(1912-2006)、中国台湾地区(1904-1992)、印度尼西亚(1901-1992)、埃及(1951-1997)、尼日利亚(1951-2003)、南非(1951-2006)和摩洛哥(1951-2006),括号中为各个国家和地区的人均GDP增长率的实际数据长度,其中1992年之前的增长率根据麦迪森《世界经济千年史》(麦迪森著,伍晓鹰等译,北京大学出版社,2003年)计算得到,1992年之后的数据根据国际货币基金组织IFS数据库中相应国家的GDP除以人口得到,已经剔除价格波动因素。
①关于本部分的详细推导过程参见Merton, R. C. Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case [J]. The Review of Economics and Statistics.1969.51(3):11.
①传统的观察认为目前平均的股票风险溢价大概为3.5%-4%,本文这里取了中间值,与本文的资产定价模型预测的股票风险溢价3.62%也是非常接近,见表6.4。
②全球主要股票市场上股票收益率的标准差在过去的几十年中大概为20%左右,最近有所下降,本章将其假定在17.5%的水平。
③公有资产投资者也就是主权财富基金和官方外汇储备的投资者。
④参见Miles. D.. Baker. M.& Pillonca. V. What Should Equities and Bonds Be Worth in a Risky World? [R]. Morgan Stanley.2005.
①详见美联储统计发布, http://www.federalreserve.gov/releases/h15/data.htm,2008-01-20.
②详见Barro. R. J. Rare Events and the Equity Premium [R].NBER Working Paper No.11310.2005.
③官方外汇储备管理者的相对风险厌恶度是主权财富基金的12倍,是私人资本的6倍。
①详见Veron. N. The Hot Summer of Sovereign Wealth Funds [J]. La Tribune,2007,原文是法文。
①Maslakovic. M. Sovereign Wealth Funds 2010 [R]. International Financial Services London.2010
①参见IWG. Sovereign Wealth Funds Generally Accepted Principles and Practices "Santiago Principles" [R]. IMF.
①参见“全球主权财富基金成立国际论坛“,财经网,2009年4月7日,http://www.caijing.com.cn/2009-04-07/110133941.html。主权财富基金国际论坛是一个自愿性质的组织,成立目的是加强主权财富基金间的交流,增加国际社会对主权财富基金“圣地亚哥原则”和其投资行为的理解,推动建立和维护公开、公正、稳定、良好的国际投资环境。
①这9个国家(地区)分布是新加坡、英国、印尼、哈萨克斯坦、澳大利亚、加拿大、美国、法国和中国香港,详见附录7.1。
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①谢平、陈超和柳子君认为,主权财富基金对全球金融稳定性的重要作用主要包括以下方面：一是主权财富基金将从对短期低风险投资,例如美国一年期国债,转向投资长期的全球股票市场,对缓解全球收支失衡做出贡献。二是资金跨区域套利大幅增加,有利于提升全球金融市场,特别是新兴市场的市场效率提高。三是主权财富基金具有“逆周期”投资行为,是金融市场的“稳定器”。而提高主权财富基金的监管、信誉及透明度,将是其能否发挥稳定金融市场作用的关键因素。
②Devlin & Brummitt指出,从金融稳定性角度来说,主权财富基金与其他市场参与者并没有太大区别,它们与私人或公共部门的机构投资者一样有相似的目标、经营方式和动机。与对冲基金的情形相类似,认为主权财富基金信息披露不足会带来市场不稳定是没有根据的。同时,考虑到其他投资者的博弈行为,完全的信息披露未必是最优的。详见Devlin. W.& Brummitt, B. A few sovereigns more: the rise of sovereign wealth funds [R]. the Australian Treasury.2007
①未来经常账户和私人资本流入的数据来源于IMF的世界经济展望(2008年-2013年)的估计。对于那些正在筹建主权财富基金的国家来说,并不区分储备的积累和主权财富基金资产的积累。
②IMF(2008)指出,当前没有关于这种多样化投资组合的资产配置的确切数据,他们是根据资本市场上对于一个被很好建立的、多样化投资的主权财富基金的投资组合的信息而判断出来的。详见Roy. S. Money and mystery. ADIA unveils its secrets [J]. Euromoney.2006.37(444)
① GIMF5是Kumhof-Laxton模型的扩展,包含了美国、欧元区、日本、新兴亚洲和其他国家等五个单独的模型。详见Kumhof & Laxton. A Party Without a Hangover? On the Effects of U.S. Fiscal Deficits [R]. IMF,2007
①约翰·霍普金斯大学的Christopher D. Carroll和Olivier Jeanne已经在尝试将主权财富基金纳入宏观经济模型,并且得到初步的研究成果,详见Carroll & Jeanne (2009).
①根据摩根士丹利的研究报告,石油美元的规模可以从存量和流量两个角度来衡量,前者是指石油探明储量的货币价值,而后者则是指年度石油出口额。参见Stephen Jen & Charles St-Arnaud, "A Petrodollar Tsunami Warning", Morgan Stanley Global Economic Forum, February 22,2008.
①详见宋玉华、叶绮娜,“后危机时代世界经济再平衡及其挑战”,经济理论与经济管理,2010年第五期。
①详见IMF. Global Financial Stability Report (GFSR) [Z]. April,2007
①详见Steffen Kern. Sovereign Wealth Funds-state investments on the rise [R]. Deutsche Bank Research, September 10,2007.
②本文所指的新兴经济体,绝不仅仅是指新兴市场国家,而是泛指全球所有的新兴市场和发展中国家,即IMF国家统计系列中的Emerging and Developing Economies,是世界各国中除了西方发达国家、新兴亚洲工业化国家等发达经济体之外的诸多新兴市场化国家和发展中国家的总称,具体包括中东欧、独联体、亚洲发展中国家、拉美和加勒比、中东和北非以及撒哈拉以南地区的众多国家。
① George Wehrfritz, "The New State Capitalists", Newsweek International, May 1,2006.
②英国渣打银行首席经济学家Gerard Lyons在2007年撰文“国家资本主义如何改变世界”指出,国家资本主义和资源国家主义将成为这个时代的两个主要经济问题,详见Gerard Lyons, "How state Capitalism could change the world", The Financial Times, June 8,2007.
③美国耶鲁大学管理学院教授Jeffrey Garten则在2008年撰文称“全球进入”国家资本主义‘时代”,详见Jeffrey Garten, "The unsettling zeitgeist of state capitalism", The Financial Times, January 14,2008.
④英国《金融时报》首席经济评论员Martin Wolf撰文指出,国家正在成为资源和财富的所有者,详见Martin Wolf, "We are living in a brave new world of state capitalism", The Financial Times, October 22,2007.
⑤俄罗斯国家石油公司(Rosneft)是在吸收已破产的俄罗斯石油巨头尤科斯(Yukos)剩余资产基础上建立的一家国有石油公司,并计划与俄罗斯天然气工业股份公司(Gazprom)合并控制俄罗斯石油产量的35%,并成为全球最大的石油公司。
①详见Stephen Jen, "The Definition of a Sovereign Wealth Fund", Morgan Stanley Research Global October 26, 2007.
②数据来源于Steffen Kern, "Sovereign Wealth Funds-state investments on the rise", Deutsche Bank Research, September 10,2007。
①详见Federal Reserve. Flow of Funds Accounts of the United States: Annual Flows and Outstandings 2005-2009. Board of Governors of the Federal Reserve System. March 11.2010. B.100 Balance Sheet of Households and Nonprofit Organizations.
②其中外国私人持有的美国国债为0.88万亿美元,持有美国的公司债券及其他债券为2.87万亿,因此外国私人部门持有美国债券规模约为3.75万亿美元。
③数据来自于Elena L. Nguyen, The International Investment Position of the United States at Yearend 2008, BEA, July 2009. http://www.bea.gov/scb/pdf/2009/07%20.lulv/0709 iip.pdf.
④详见Farrell, D., Lund. S.& Skau, O. Mapping global capital markets: Fifth annual report [R]. McKinsey Global Institute.2008.
⑤详见Loser. C. M. Global financial turmoil and Emerging Market Economies:Major contagion and a shocking loss of wealth? [R]. Asian Development Bank.2009.
① Sa & Viani(2009)研究发现美国投资者将73%的财富投资在股票市场上,而将其余的27%投资在债券市场上。
②欧洲央行2009年5月发布的统计数据显示,截至2008年第四季度,欧元区家庭的金融资产规模为16.45万亿欧元,其中584亿欧元投资在短期债券上,1.21万亿欧元投资在长期债券上,5903亿欧元投资在上市股票上,而1.69万亿欧元投资在非上市股票和其他股票上,因而其投资在股票市场上的资产比例约为64%,而2007年第四季度这一比例为72%。详见ECB (2008,2009). ECB Monthly Bulletin. May 2009 and July 2008. European Central Bank. http://www.eeb.int/pub/mb/html/index.en.html③日本央行的最新统计数据显示,截至2009年第三季度,日本家庭投资在债券上的资产为54.87万亿日元,而投资在股票上的资产约为97.18万亿日元,因而其投资在股票市场上的资产比例约为64%。详见The Bank of Japan, Flow of Funds,3rd Quarter 2009. http://www.boj.or.jp/en/theme/research/stat/sj/index.htm
④美国净外债的数据来源于Nguyen(2009)。该BEA的统计资料显示,截至2008年底,美国所有的海外资产约为19.89万亿美元,而外国人持有的美国资产约为23.36万亿美元,因而美国的净外债约等于3.47万亿。详见Elena L. Nguyen, The International Investment Position of the United States at Yearend 2008, BEA, July 2009. http://www.bea.gov/scb/pdf/2009/07%20.July/0709 iip.pdf.
⑤美国个人消费支出(Personal Consumption Expenditures)的数据来自BEA网站,http://www.bea.gov/national/nipaweb/nipa underlying/Table View.asp?Selected Table=14 & ViewSeries=Yes & Java=
①过度特权(The exorbitant privilege)是20世纪60年代由时任法国财政部长的瓦莱里·吉斯卡尔·德斯坦(Valery Giscard d'Estaing)创造性地提出来的,而大多数人则将该术语归功于当时的法国领导人戴高乐(Charles de Gaulle),认为他也持有类似观点。当时的过度特权主要是指美国由于美元作为国际储备货币而得到的好处,美国不会面临收支平衡的危机,因为它可以使用本国货币购买外国商品。
② Gourinchas & Rey (2005)估算了战后美国过度特权的变化,发现自1952年以来美国的总资产相对于总负债确实存在着一个相当大的超额收益,而布雷顿森林体系的崩溃则推动了超额收益的增加。其中过度特权主要来自于收益效应,但是结构效应也是确实存在的。详见Gourinchas. P. O.& Rey. H. From World Banker to World Venture Capitalist:US External Adjustment and the Exorbitant Privilege [R]. CEPR Discussion Paper. 2005.
① Gourinchas & Rey (2005)的估计结果是美国的过度特权规模约为3.32%,其中2.45%来自于收益效应,而0.86%来自于结构效应。而Sa&Viani(2009)的估计结果是美国的过度特权规模约为3.85%,其中2.65%来自于收益效应,而1.2%来自于结构效应。
② Triffin(1946,1960)的基本思想是,判断一国储备水平是否充分.应根据该国是否有能力用自身的资源来为国际交易可预见的赤字进行融资。为此,一个简单直观的指标是一国持有的储备额对该国进口额的比。如换成月份来折算,则一国储备充分性的比率,应当是其储备大约相当于该国3-4个月的进口价值额。另一个重要的指标是储备对短期对外负债比率,即所谓"Geenspan-Guidotti规则“。这一规则的具体内容是,对新兴经济体来说,它们持有的外汇储备量,最低必需能足以支付在下一年内要到期支付的外债总量。这一标准中的外债,包括了短期的、期限为一年内的外债,但也包括那些虽然总的期限超过一年,但其中在下一年将要到期偿还的那部分外债。详见张志超.最优国际储备理论与测度：文献综述[R].中国社科院国际金融研究中心.2009。
①新兴亚洲和石油出口国是当前设立主权财富基金的主要国家, Beck & Fidora(2008)利用这些国家官方外汇储备减去三个月进口需求和全部的短期外债来计算过剩储备。详见Beck. R.& Fidora. M. The impact of sovereign wealth funds on global financial markets [R]. European Central Bank,2008.
①IMF(2008)将主权财富基金的投资组合比例分为两种类型,挪威型的主权财富基金投资组合将60%的资产投资在股票,而将其余的40%投资在债券。而基于市场分析的多样化投资组合(Diversified Portfolio),则将23%投资在债券上,55%投资在股票上,7%投资在不动产上,7.5投资在对冲基金上,7.5%投资在私募基金上。而对于央行的外汇储备,则简单化假定储备资产100%投资在债券上。而在货币结构上,IMF(2008)估计挪威型主权财富基金将31.8%的资产投资在美元资产上,其他货币资产的比例为68.2%,而多样化投资组合的货币结构比例为38：62。本文考虑的主权财富基金是多样化投资组合,而不是相对保守的挪威型。详见Annex 1.Table 1.Stylized Portfolio Asset Allocation and Currency Composition, IMF. Sovereign Wealth FundS-A Work Agenda [R].IMF,2008.
②由于本文仅考虑股票和债券两种资产,因此多样化投资组合投资在股票上的资产比例为55/(55+23)=71%.
③COFER数据库2010年4月的统计数据显示,截至2009年第三季度,全球新兴市场和发展中经济体已配置的外汇储备为2.10万亿美元,其中美元为1.2万亿,美元的比例为57.46%。详见http://www.imf.org/external/np/sta/cofer/eng/cofer.pdf
Fama E.F. The Behavior of Stock-Market Prices [J]. Journal of Business,1965.38(1).34-105.
②目前,研究投资公告或投资行为对股票价格影响的较为规范、较为简单的方法便是事件研究法。
①平均异常收益的显著性检验主要参考的是约翰.Y.坎贝尔(John Y. Campbell)的《金融市场计量经济学》一书第4章。详见约翰.Y.坎贝尔等著,朱平芳等译,《金融市场计量经济学》,上海财经大学出版社,2003年4月。
②这17个主权财富基金分别是中国的中投公司、社保基金理事会、华安投资公司,卡塔尔的卡塔尔投资局,新加坡的淡马锡和GIC,阿联酋的迪拜世界、迪拜投资公司、迪拜国际金融中心、阿布扎比投资局、穆巴达拉发展公司、国际石油投资公司,科威特的科威特投资局,澳大利亚的未来基金,韩国的KIC,利比亚的利比亚投资局,马来西亚的Khazanah Nasional Berhad.
①这37个国家分别是阿尔及利亚、安哥拉、澳大利亚、阿塞拜疆、巴林、博茨瓦纳、巴西、文莱、加拿大、智利、中国、法国、中国香港、印尼、伊朗、爱尔兰、哈萨克斯坦、基里巴斯、韩国、科威特、利比亚、马来西亚、毛里塔尼亚、新西兰、尼日利亚、挪威、阿曼、卡塔尔、俄罗斯、沙特、新加坡、东帝汶、特立尼达和多巴哥、阿联酋、美国、委内瑞拉、越南。
②这3个国家分别是日本、印度和泰国。
③详见主权财富基金机构网站http://www.swfinstitute.org/funds.php
④详见Maslakovic.M.Sovereign Wealth Funds 2010[R].International Financial Services London.2010.
①详见Roxburgh. C.. Lund. S.. Atkins. C., et al. Global capital markets:Entering a new era [R]. McKinseym Global Institute.2009.在2008年全球金融资产178万亿的存量中,股票占34万亿,私人债券占51万亿,政府债券占32万亿,银行存款占61万亿,本章将前两种定为风险资产,后两种定为安全资产,因此全球金融资产中安全资产和风险资产的比率大约为1比1。
②详见IMF. World Economic Outlook Update: Restoring Confidence without Harming Recovery[R]. IMF,2010.
③这两种收益率是根据本文的资产定价模型以4077个历史数据估算出来的,详见“假定1情况下的资产价格”。
④由于外汇储备的职责在于以短期的货币稳定和流动性管理为目标,因此其投资行为往往比较保守。
⑤确定这一比例的原则来自于挪威的主权财富基金,作为世界上成立较早、最有代表性并且是透明度最高的主权财富基金,它们一直保持着基准资产组合,即60%投资于股权等风险资产,而40%投资于收益固定的安全资产。详见Larsen. P. T. Sovereign funds snap up bank stakes [N]. The Financial Times,2007, September 25.
④详见Barro. R. J. Rare Events and the Equity Premium [R]. NBER Working Paper No.11310.2005.
①详见Miles. D.. Baker. M.& Pillonca. V. What Should Equities and Bonds Be Worth in a Risky World? [R]. Morgan Stanley.2005.
②本章从全球许多国家中挑选了四十一个国家和地区,包括澳大利亚(1871-2006)、奥地利(1871-2006)、比利时(1871-2006)、加拿大(1871-2006)、丹麦(1871-2006)、芬兰(1871-2006)、法国(1871-2006)、德国(1871-2006)、意大利(1871-2006)、日本(1886-2006)、荷兰(1871-2006)、新西兰(1871-2006)、挪威(1871-2006)、瑞典(1871-2006)、瑞士(1900-2006)、英国(1871-2006)、美国(1871-2006)、希腊(1946-2005)、爱尔兰(1948-2004)、葡萄牙(1948-1994)、西班牙(1901-2006)、土耳其(1924-2006)、保加利亚(1925-1945,1951-2005)、捷克斯洛伐克(1921-1937,1949-1992)、匈牙利(1925-1942,1947-1992,1996-2005)、波兰(1930-1938,1951-2006)、苏联(1929-1940,1947-1992)、南斯拉夫(1921-1939,1947-1992)、阿根廷(1901-2006)、巴西(1901-1994,1996-2006)、智利(1901-2005)、墨西哥(1901-1910,1922-2006)、中国(1951-2006)、印度(1901-2003)、韩国(1912-2006)、中国台湾地区(1904-1992)、印度尼西亚(1901-1992)、埃及(1951-1997)、尼日利亚(1951-2003)、南非(1951-2006)和摩洛哥(1951-2006),括号中为各个国家和地区的人均GDP增长率的实际数据长度,其中1992年之前的增长率根据麦迪森《世界经济千年史》(麦迪森著,伍晓鹰等译,北京大学出版社,2003年)计算得到,1992年之后的数据根据国际货币基金组织IFS数据库中相应国家的GDP除以人口得到,已经剔除价格波动因素。
①关于本部分的详细推导过程参见Merton, R. C. Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case [J]. The Review of Economics and Statistics.1969.51(3):11.
①传统的观察认为目前平均的股票风险溢价大概为3.5%-4%,本文这里取了中间值,与本文的资产定价模型预测的股票风险溢价3.62%也是非常接近,见表6.4。
②全球主要股票市场上股票收益率的标准差在过去的几十年中大概为20%左右,最近有所下降,本章将其假定在17.5%的水平。
③公有资产投资者也就是主权财富基金和官方外汇储备的投资者。
④参见Miles. D.. Baker. M.& Pillonca. V. What Should Equities and Bonds Be Worth in a Risky World? [R]. Morgan Stanley.2005.
①详见美联储统计发布, http://www.federalreserve.gov/releases/h15/data.htm,2008-01-20.
②详见Barro. R. J. Rare Events and the Equity Premium [R].NBER Working Paper No.11310.2005.
③官方外汇储备管理者的相对风险厌恶度是主权财富基金的12倍,是私人资本的6倍。
①详见Veron. N. The Hot Summer of Sovereign Wealth Funds [J]. La Tribune,2007,原文是法文。
①Maslakovic. M. Sovereign Wealth Funds 2010 [R]. International Financial Services London.2010
①参见IWG. Sovereign Wealth Funds Generally Accepted Principles and Practices "Santiago Principles" [R]. IMF.
①参见“全球主权财富基金成立国际论坛“,财经网,2009年4月7日,http://www.caijing.com.cn/2009-04-07/110133941.html。主权财富基金国际论坛是一个自愿性质的组织,成立目的是加强主权财富基金间的交流,增加国际社会对主权财富基金“圣地亚哥原则”和其投资行为的理解,推动建立和维护公开、公正、稳定、良好的国际投资环境。
①这9个国家(地区)分布是新加坡、英国、印尼、哈萨克斯坦、澳大利亚、加拿大、美国、法国和中国香港,详见附录7.1。
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