养老金与资本市场关系及对中国养老金发展的启示——基于34个国家的向量误差修正模型的实证分析

本文利用OECD国家养老金与资本市场数据进行二者的因果分析，并采用条件异方差方法得出四种程度不同的互动关系集，然后建立起协整和向量误差修正模型分析养老金投资与资本市场的相互作用，对残差项进行拉格朗日乘子检验验证残差不存在自相关，佐证了模型定阶的稳健性。拟合结果显示，养老金与资本市场的规模扩张和稳定性的关系因各国资本积累水平、风险偏好和管理体制方面的差异而有所不同，最后得出中国养老金在入市时机、投资主体精简与统一、投资风险控制、养老金投资配套改革方面的启示。

The Relation Between Pension and Capital Market and Its Enlightenment for China Pension Development:An Empirical Analysis Based on Vector Error Correction Model of 34 Countries

This paper performs the cause-and-effect analysis via the data of OECD national pension funds and capital market and finds 4 interaction relation sets of different levels by using the method of conditional heteroscedasticity. And it then establishes the cointegration and vector error correction model to analyze the mutual effect between pension investments and capital markets. The examination of the residual item via Lagrange multiplier test verifies the fact that the residual item has no self-correlation, which proves the stability of the model order. The results show that the relation between pension investment and capital market expansion and stability varies according to different capital accumulation, risk preferences, and management system. Finally, the essay, based on the international comparative analysis, clarifies the enlightenment of China pension development in several aspects.