主权财富基金研究：成因、影响及运营模式
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摘要
21世纪初,全球经济失衡成为世界经济的主要特征之一,具体表现为全球外汇储备失衡、全球储蓄—投资失衡和全球债务失衡等方面。主权财富基金的兴起和发展,与世界经济的失衡与调整息息相关。
主权财富基金的建立最早可以追溯到1953年成立的科威特投资委员会和1956年成立的基里巴斯收入平衡储备基金。在过去几十年的发展过程中,主权财富基金并没有受到过多的关注。主要原因是整体规模较小,建立的国家在国际事务中影响力有限。2007和2008年,中国和俄罗斯这两个最具代表性的发展中大国相继建立主权财富基金,引起了国际社会的广泛关注。目前,全球主权财富基金的总体规模已经达到了3.87万亿美元,并且其规模还将进一步扩大。作为国际金融体系中迅速崛起的具有影响力的主权投资机构,主权财富基金受到国际社会的强烈关注。
全球经济失衡背景下引发的经济危机,成为各国经济平稳快速发展的隐患。2008年金融危机的爆发让世界各国清楚的认识到,在现行的不合理的国际货币体系下,美元的霸权地位不断得到强化,原本属于一国主权范畴的金融权利将会遭受侵蚀。在失衡的国际经济发展格局之下,以亚洲部分发展中国家为主的贸易盈余国家和地区,普遍选择建立主权财富基金,通过开展对外投资来应对外汇储备贬值风险和国际收支失衡风险。在这一过程中,一些经济和外贸发展较快的发展中国家的外汇储备盈余成为主权财富基金的主要资金来源。发展中国家主权财富基金的兴起和发展,对传统上以发达国家为主的国际货币体系和国际竞争格局形成了挑战,其投资活动对于世界经济失衡的调整将产生重要作用。
因此,研究主权财富基金的成因、影响及运营模式,对世界经济失衡格局的调整、国际金融体系的发展和以中国为代表的发展中国家超额外汇储备的管理,具有重要的理论和实践意义。
本文主要围绕主权财富基金的成因、对世界经济的影响,以及主权财富基金的运营模式等方面内容进行了深入的分析,主要内容如下：
首先,本文在导论部分介绍了选题背景、研究意义、结构安排、研究方法,以及创新和不足之处,并从主权财富基金的基本概念、兴起原因、规模影响因素、对世界经济的影响,以及运营模式等方面对主权财富基金的相关研究文献进行了综述和评价。
其次,本文对主权财富基金的发展历程进行了回顾,并对其资产配置特点进行了较为全面的分析。对主权财富基金发展现状和资产配置的分析表明,主权财富基金作为一类投资主体,在成立时间、资金来源、资产规模和地域分布等方面呈现出高度集中的特征。
再次,本文在对全球外汇储备失衡格局和储蓄—投资失衡格局分析的基础上,对一国主权财富基金兴起的原因,以及一国建立主权财富基金规模的影响因素进行了深入的分析。对一国建立主权财富基金的宏观经济影响因素的实证研究表明,一国的总储备、能源出口以及总储蓄对其建立主权财富基金具有显著影响。主权财富基金兴起的根本原因在于一国经济的对外和对内失衡。一国高额的外汇储备以及国内储蓄正是这两种失衡状态的表现形式。只要这种失衡状态还存在,就会不断地有新的国家加入到建立主权财富基金的行列里来。
从一国的宏观经济结构、政治民主治理环境以及基金内部治理结构等三个方面,对一国建立主权财富基金规模的影响因素进行的实证研究表明,主权财富基金的建立更多体现的是一国的政府行为,并且外汇储备、出口额、国内储蓄占GDP的比重以及人均GDP较高的国家建立主权财富基金的规模较大。此外,基金的内部治理结构对基金规模有重要影响,其中问责制和透明度一项起到了主要的作用。对主权财富基金规模的影响因素进行分析,不但可以对主权财富基金的发展趋势进行预测,还可以以此为基础对其投资行为对国际金融市场的影响等相关问题进行更加深入的研究。
第四,本文对主权财富基金建立和投资对世界政治和经济格局,以及对国际金融体系的影响进行了分析。对主权财富基金对世界政治和经济格局影响的分析表明,主权财富基金投资将从改善发展中国家的国际地位,改善现行的国际政治和经济体制,削弱美元霸权地位,改变全球国际直接投资格局,改善发展中国家融资环境等方面,对缓解世界失衡格局做出贡献。
对国际金融市场的影响分析表明,主权财富基金投资对国际金融市场稳定性的影响是双重的。在预测主权财富基金规模的基础上,本文的分析表明,随着主权财富基金规模的扩大,全球投资者风险厌恶程度将有所提高,但是其对股票、国债等资产价格和收益率的影响不足以引起国际资本市场的剧烈波动。因此,国际社会不应对主权财富基金的投资设置专门的限制。
第五,本文以挪威和俄罗斯,以及新加坡和韩国的主权财富基金为例,分别分析了资源型商品出口国与非资源型商品出口国主权财富基金的运营模式,对主权财富基金的治理结构、资产配置策略、风险管理策略等运营模式进行了比较分析。
最后,在分析中国主权财富基金成立背景的基础上,对中国主权财富基金的资产配置策略、风险管理策略,以及与国有企业的区别与合作提出了政策建议。
本文力求在以下三个方面做出创新性的探索：
第一,已有的研究主要从一国对外经济失衡的角度,对主权财富基金兴起的原因进行了研究,分析认为现行的不合理的国际货币体系导致全球外汇储备失衡,是主权财富基金兴起的主要原因。本文从一国内部经济结构失衡的角度,对主权财富基金兴起的原因进行了更加深入的研究。分析结果表明,一国的储蓄—投资结构失衡是推动主权财富基金建立的重要内因。主权财富基金兴起的根本原因在于一国经济的对外和对内失衡,高额的外汇储备和储蓄率正是这两种失衡状态的表现形式,只要这种失衡格局继续存在,就会不断有新的主权财富基金建立,全球主权财富基金的规模将继续扩大。
第二,目前针对主权财富基金规模的研究较少,现有的研究主要停留在对主权财富基金规模的统计,并且从宏观经济层面对主权财富基金规模的影响因素进行了分析。本文结合规范分析和实证分析方法,从宏观经济因素、宏观政治因素和基金治理结构因素等三个方面,对主权财富基金规模的影响因素这一问题进行了系统的分析。从宏观和微观两个层面,并结合计量分析方法对基金规模这一问题进行系统的分析,为研究主权财富基金规模的发展趋势,及基金投资规模增长对世界经济的影响提供了新的思路和方法。
第三,本文依据对基金规模影响因素的分析,对主权财富基金的规模增长趋势进行了预测。在此基础上,运用允许小概率灾难发生的资产定价模型,对主权财富基金投资对风险资产和无风险资产的收益率,以及风险溢价的影响进行了分析。分析结果表明,基金投资规模的增长将对国际资产价格产生一定影响,但是,不会引起国际资本市场的剧烈波动,因此,不应对主权财富基金的投资活动设立专门的限制条款。
本文的研究还存在以下两点不足之处：
一是由于所能获得数据的限制,只能通过经常账户余额的预测,对主权财富基金的未来规模进行大致的预测。虽然经常账户余额反映了基金规模最重要的影响因素,但是其他因素数据的完善可以使基金未来规模的预测更加准确。因此,此问题需要今后结合更加完整的数据进一步加以研究。
二是对主权财富基金投资的微观经济影响研究不足。对于主权财富基金微观经济影响的分析,包括主权财富基金对所投资目标企业的市场价值的影响,即主权财富基金持股的市场反应。但是,由于数据搜集不足,缺乏对主权财富基金持股的市场反应做大样本实证分析的数据,导致本文对主权财富基金投资的微观层面影响分析不够全面。
In early21st century, global economic disequilibrium, typically the global foreign exchange reserve disequilibrium, global savings-investment disequilibrium and global debt disequilibrium, became one of the major characteristics of the world economy. The rise and evolution of sovereign wealth funds is closely relevant to the disequilibrium and adjustment of the world economy.
The earliest sovereign wealth funds can be traced back to Kuwait Investment Board in1953and Kiribati Revenue Balance Reserve Fund in1956. In its development over the past dozens of years, sovereign wealth funds did not draw much attention, mainly due to its small scale and the limited influence of the countries with sovereign wealth funds in international affairs. During2007and2008, China and Russia, two major developing countries, successively set up sovereign wealth funds, catching the eye of the international community. So far, the total scale of sovereign wealth funds in the world has reached USD3.87trillion, and it will further expand. As the fast-growing sovereign investment institutions with influence in the international financial system, sovereign wealth funds have drawn strong attention from the international community.
The economic crisis triggered by the global economic disequilibrium has posed potential threat to the smooth and rapid economic development of each country. Following the financial crisis in2008, each country has been aware that, under the current unreasonable international monetary system, the financial rights that originally belong to the sovereign rights of a country will be undermined with the continuous raising of the hegemony of US dollar. In the face of such an unbalanced international economic pattern, most of the trade surplus countries, mainly the developing countries in Middle East and Asia, chose to establish sovereign wealth funds to invest abroad, in response to the risks from foreign exchange reserve depreciation and international revenue and expenditure disequilibrium. In the process, some developing countries with rapid economic and foreign trade development utilized foreign exchange reserve surplus as a major fund source for their sovereign wealth funds. The rise and evolution of the sovereign wealth funds in developing countries has posed challenges to the international monetary system mainly composed of developed countries and to the international competition pattern, and the investment activities of developing countries will greatly affect the adjustment of global economic disequilibrium.
Therefore, studying the determinants of formation, influence and operating mode of sovereign wealth funds is of great theoretic and practical significance to the adjustment of global economic disequilibrium, development of international financial system and the management of foreign exchange reserves by developing countries, typically China.
This dissertation focuses on the in-depth analysis of the cause of formation of sovereign wealth funds, its influence on the world economy and its operating mode, with major contents as follows:
Firstly, in the part of introduction, this dissertation introduces the topic selection background, studying significance, structural arrangement, research methods, as well as innovation and deficiencies, and gives an overview and comment of related sovereign wealth funds research papers from the perspectives of basic concepts of sovereign wealth funds, reasons for rise, influential factors of scale, influence on the world economy, and operating mode.
Secondly, this dissertation reviews the development course of sovereign wealth funds, and fully analyzes its asset allocation characteristics. The analysis of the development status and asset allocation of sovereign wealth funds shows that the funds are highly concentrated in terms of incorporation time, fund source, asset scale and regional distribution.
Thirdly, this dissertation deeply analyzes the reasons for rise of sovereign wealth funds in a country and the influential factors for the scale of such fund, based on the analysis of the global foreign exchange reserve disequilibrium and the savings-investment disequilibrium. The empirical study of the macro-economic influence factors of establishment of sovereign wealth funds in a country reveals that the country's total reserves, energy exports and total savings have significant influence on its sovereign wealth funds. The rise of sovereign wealth funds should be attributed to the internal and external disequilibrium of a country's economy. The high foreign exchange reserves and domestic savings of a country are an expression of the two disequilibrium states. As long as the two states remain, more countries will joint those setting up sovereign wealth funds.
According to the empirical study of the influential factors for the scale of sovereign wealth funds of a country from three aspects, i.e. macro-economic development, political and democratic governance environment and internal governance structure of fund, what the fund establishment embodies more is the government conduct of a country, and the funds established by the economies with better macro-economic fundamental will have larger scale. Moreover, the internal governance structure of fund, particularly accountability and transparency, has an important influence on the fund scale. Analysis of the influential factors for the scale of sovereign wealth funds can not only predict the development trend of such fund, and conduct in-depth study of the issues such as the influence of fund investment on the international financial market on that basis.
Fourthly, this dissertation analyzes the influence of establishment and investment of sovereign wealth funds on global political and economic pattern and international financial system. The analysis of the influence on global political and economic pattern reveals that investment of the fund will reinforce the international position of developing countries, improve international system in force, weaken the hegemony of US dollar, change the global direct investment pattern, improve the financing environment of developing countries and help ease the global economic disequilibrium.
The analysis of the influence on international financial system reveals that investment of sovereign wealth funds has a dual influence on the stability of the system. Based on the forecast of the scale of sovereign wealth funds, this dissertation analyzes the risk aversion of global investors of sovereign wealth funds and the international capital market prices, suggesting that global investors'risk aversion will increase with the expansion of sovereign wealth funds scale, and its influence on the prices and yields of such assets as stocks and treasury bonds will not cause the drastic fluctuation of international capital market. Accordingly, international community should not set special restrictions on the investment of sovereign wealth funds.
Fifthly, taking the sovereign wealth funds of Norway, Russia, Singapore and South Korea for example, this dissertation analyzes the operating modes of sovereign wealth funds of commodity exporting countries and non-commodity exporting countries, and compares such development modes as the governance structures, investment strategies and risk management strategies of sovereign wealth funds.
Finally, based on the analysis of the incorporation background of China's sovereign wealth funds, this dissertation puts forward suggestions on the policies regarding its asset allocation strategy, risk management strategy and the distinction of and cooperation with state-owned enterprises.
This dissertation aims to make an innovative exploration in the following three areas:
Firstly, the existing studies mainly examine the reasons for rise of sovereign wealth funds from the angle of external economic disequilibrium of a country, and argue that the unreasonable international monetary system in force results in the disequilibrium of global foreign exchange reserves and is the main reason for the rise of sovereign wealth funds. This dissertation makes more in-depth study of the reasons for the rise of sovereign wealth funds from the angle of the disequilibrium of internal economic structure of a country. The analysis reveals that the country's savings-investment structure disequilibrium is an important cause for the establishment of sovereign wealth funds. The ultimate reason for the rise of sovereign wealth funds should be the external and internal disequilibrium of the country's economy, which is manifested by high foreign exchange reserves and high saving ratio. As long as the disequilibrium continues, new sovereign wealth funds will be established constantly, thus gradually expanding the scale of global sovereign wealth funds.
Secondly, at present, there are few studies of the scale of sovereign wealth funds. The existing studies mainly focus on the statistics of the scale of sovereign wealth funds, and analyze the influential factors of the scale from the perspective of macro-economy. This dissertation uses standardized analysis and empirical analysis study methods to systematically analyze the influential factors of the scale of sovereign wealth funds from three aspects, i.e. macro-economic factors, macro-political factors and the factors of fund governance structure. From the macro and micro levels, combined with quantitative analysis method to analyze the issue of fund size, it provides a new way to study the development trend of the scale of sovereign wealth funds and the influence on world economy.
Thirdly, according to the analysis of impact factors of fund size, this dissertation predicts the growth trend of the size of sovereign wealth funds. On this basis, using the asset pricing model which allows a small probability of disaster, this dissertation analyzes the impact of sovereign wealth funds investment on the rate of return on risky assets and risk-free assets, as well as the impact of the risk premium. The results show that the growth of the scale of sovereign wealth funds investment has a certain impact on international asset prices, but does not cause the volatility of the international asset markets. Therefore, it should not set up specifical limitations on the investment activities of sovereign wealth funds.
However, there are still two deficiencies in the study of this dissertation:
Firstly, due to the limitation of data available, the author can only roughly forecast the future scale of sovereign wealth funds based on the prediction of the balance of current accounts. Although the current account balance has reflected the most influential factors of fund scale, improvement of other factors and data may help further improve the accuracy of the forecast of future fund scale. Hence, this issue should be further studied in the future based on the more complete data.
Secondly, there are deficiencies in the study of the micro-economic influence of the sovereign wealth funds investment. Analysis of the micro-economic influence of sovereign wealth funds includes the influence of the funds on the market value of target enterprises to be invested, i.e. the market response to the shareholding of sovereign wealth funds. However, due to the limitation of data available, this dissertation lacks the data of extensive empirical analysis of market response to the shareholding of sovereign wealth funds. As a result, the analysis of the micro-economic influence of sovereign wealth funds investment is less comprehensive.
主权财富基金的建立最早可以追溯到1953年成立的科威特投资委员会和1956年成立的基里巴斯收入平衡储备基金。在过去几十年的发展过程中,主权财富基金并没有受到过多的关注。主要原因是整体规模较小,建立的国家在国际事务中影响力有限。2007和2008年,中国和俄罗斯这两个最具代表性的发展中大国相继建立主权财富基金,引起了国际社会的广泛关注。目前,全球主权财富基金的总体规模已经达到了3.87万亿美元,并且其规模还将进一步扩大。作为国际金融体系中迅速崛起的具有影响力的主权投资机构,主权财富基金受到国际社会的强烈关注。
全球经济失衡背景下引发的经济危机,成为各国经济平稳快速发展的隐患。2008年金融危机的爆发让世界各国清楚的认识到,在现行的不合理的国际货币体系下,美元的霸权地位不断得到强化,原本属于一国主权范畴的金融权利将会遭受侵蚀。在失衡的国际经济发展格局之下,以亚洲部分发展中国家为主的贸易盈余国家和地区,普遍选择建立主权财富基金,通过开展对外投资来应对外汇储备贬值风险和国际收支失衡风险。在这一过程中,一些经济和外贸发展较快的发展中国家的外汇储备盈余成为主权财富基金的主要资金来源。发展中国家主权财富基金的兴起和发展,对传统上以发达国家为主的国际货币体系和国际竞争格局形成了挑战,其投资活动对于世界经济失衡的调整将产生重要作用。
因此,研究主权财富基金的成因、影响及运营模式,对世界经济失衡格局的调整、国际金融体系的发展和以中国为代表的发展中国家超额外汇储备的管理,具有重要的理论和实践意义。
本文主要围绕主权财富基金的成因、对世界经济的影响,以及主权财富基金的运营模式等方面内容进行了深入的分析,主要内容如下：
首先,本文在导论部分介绍了选题背景、研究意义、结构安排、研究方法,以及创新和不足之处,并从主权财富基金的基本概念、兴起原因、规模影响因素、对世界经济的影响,以及运营模式等方面对主权财富基金的相关研究文献进行了综述和评价。
其次,本文对主权财富基金的发展历程进行了回顾,并对其资产配置特点进行了较为全面的分析。对主权财富基金发展现状和资产配置的分析表明,主权财富基金作为一类投资主体,在成立时间、资金来源、资产规模和地域分布等方面呈现出高度集中的特征。
再次,本文在对全球外汇储备失衡格局和储蓄—投资失衡格局分析的基础上,对一国主权财富基金兴起的原因,以及一国建立主权财富基金规模的影响因素进行了深入的分析。对一国建立主权财富基金的宏观经济影响因素的实证研究表明,一国的总储备、能源出口以及总储蓄对其建立主权财富基金具有显著影响。主权财富基金兴起的根本原因在于一国经济的对外和对内失衡。一国高额的外汇储备以及国内储蓄正是这两种失衡状态的表现形式。只要这种失衡状态还存在,就会不断地有新的国家加入到建立主权财富基金的行列里来。
从一国的宏观经济结构、政治民主治理环境以及基金内部治理结构等三个方面,对一国建立主权财富基金规模的影响因素进行的实证研究表明,主权财富基金的建立更多体现的是一国的政府行为,并且外汇储备、出口额、国内储蓄占GDP的比重以及人均GDP较高的国家建立主权财富基金的规模较大。此外,基金的内部治理结构对基金规模有重要影响,其中问责制和透明度一项起到了主要的作用。对主权财富基金规模的影响因素进行分析,不但可以对主权财富基金的发展趋势进行预测,还可以以此为基础对其投资行为对国际金融市场的影响等相关问题进行更加深入的研究。
第四,本文对主权财富基金建立和投资对世界政治和经济格局,以及对国际金融体系的影响进行了分析。对主权财富基金对世界政治和经济格局影响的分析表明,主权财富基金投资将从改善发展中国家的国际地位,改善现行的国际政治和经济体制,削弱美元霸权地位,改变全球国际直接投资格局,改善发展中国家融资环境等方面,对缓解世界失衡格局做出贡献。
对国际金融市场的影响分析表明,主权财富基金投资对国际金融市场稳定性的影响是双重的。在预测主权财富基金规模的基础上,本文的分析表明,随着主权财富基金规模的扩大,全球投资者风险厌恶程度将有所提高,但是其对股票、国债等资产价格和收益率的影响不足以引起国际资本市场的剧烈波动。因此,国际社会不应对主权财富基金的投资设置专门的限制。
第五,本文以挪威和俄罗斯,以及新加坡和韩国的主权财富基金为例,分别分析了资源型商品出口国与非资源型商品出口国主权财富基金的运营模式,对主权财富基金的治理结构、资产配置策略、风险管理策略等运营模式进行了比较分析。
最后,在分析中国主权财富基金成立背景的基础上,对中国主权财富基金的资产配置策略、风险管理策略,以及与国有企业的区别与合作提出了政策建议。
本文力求在以下三个方面做出创新性的探索：
第一,已有的研究主要从一国对外经济失衡的角度,对主权财富基金兴起的原因进行了研究,分析认为现行的不合理的国际货币体系导致全球外汇储备失衡,是主权财富基金兴起的主要原因。本文从一国内部经济结构失衡的角度,对主权财富基金兴起的原因进行了更加深入的研究。分析结果表明,一国的储蓄—投资结构失衡是推动主权财富基金建立的重要内因。主权财富基金兴起的根本原因在于一国经济的对外和对内失衡,高额的外汇储备和储蓄率正是这两种失衡状态的表现形式,只要这种失衡格局继续存在,就会不断有新的主权财富基金建立,全球主权财富基金的规模将继续扩大。
第二,目前针对主权财富基金规模的研究较少,现有的研究主要停留在对主权财富基金规模的统计,并且从宏观经济层面对主权财富基金规模的影响因素进行了分析。本文结合规范分析和实证分析方法,从宏观经济因素、宏观政治因素和基金治理结构因素等三个方面,对主权财富基金规模的影响因素这一问题进行了系统的分析。从宏观和微观两个层面,并结合计量分析方法对基金规模这一问题进行系统的分析,为研究主权财富基金规模的发展趋势,及基金投资规模增长对世界经济的影响提供了新的思路和方法。
第三,本文依据对基金规模影响因素的分析,对主权财富基金的规模增长趋势进行了预测。在此基础上,运用允许小概率灾难发生的资产定价模型,对主权财富基金投资对风险资产和无风险资产的收益率,以及风险溢价的影响进行了分析。分析结果表明,基金投资规模的增长将对国际资产价格产生一定影响,但是,不会引起国际资本市场的剧烈波动,因此,不应对主权财富基金的投资活动设立专门的限制条款。
本文的研究还存在以下两点不足之处：
一是由于所能获得数据的限制,只能通过经常账户余额的预测,对主权财富基金的未来规模进行大致的预测。虽然经常账户余额反映了基金规模最重要的影响因素,但是其他因素数据的完善可以使基金未来规模的预测更加准确。因此,此问题需要今后结合更加完整的数据进一步加以研究。
二是对主权财富基金投资的微观经济影响研究不足。对于主权财富基金微观经济影响的分析,包括主权财富基金对所投资目标企业的市场价值的影响,即主权财富基金持股的市场反应。但是,由于数据搜集不足,缺乏对主权财富基金持股的市场反应做大样本实证分析的数据,导致本文对主权财富基金投资的微观层面影响分析不够全面。
In early21st century, global economic disequilibrium, typically the global foreign exchange reserve disequilibrium, global savings-investment disequilibrium and global debt disequilibrium, became one of the major characteristics of the world economy. The rise and evolution of sovereign wealth funds is closely relevant to the disequilibrium and adjustment of the world economy.
The earliest sovereign wealth funds can be traced back to Kuwait Investment Board in1953and Kiribati Revenue Balance Reserve Fund in1956. In its development over the past dozens of years, sovereign wealth funds did not draw much attention, mainly due to its small scale and the limited influence of the countries with sovereign wealth funds in international affairs. During2007and2008, China and Russia, two major developing countries, successively set up sovereign wealth funds, catching the eye of the international community. So far, the total scale of sovereign wealth funds in the world has reached USD3.87trillion, and it will further expand. As the fast-growing sovereign investment institutions with influence in the international financial system, sovereign wealth funds have drawn strong attention from the international community.
The economic crisis triggered by the global economic disequilibrium has posed potential threat to the smooth and rapid economic development of each country. Following the financial crisis in2008, each country has been aware that, under the current unreasonable international monetary system, the financial rights that originally belong to the sovereign rights of a country will be undermined with the continuous raising of the hegemony of US dollar. In the face of such an unbalanced international economic pattern, most of the trade surplus countries, mainly the developing countries in Middle East and Asia, chose to establish sovereign wealth funds to invest abroad, in response to the risks from foreign exchange reserve depreciation and international revenue and expenditure disequilibrium. In the process, some developing countries with rapid economic and foreign trade development utilized foreign exchange reserve surplus as a major fund source for their sovereign wealth funds. The rise and evolution of the sovereign wealth funds in developing countries has posed challenges to the international monetary system mainly composed of developed countries and to the international competition pattern, and the investment activities of developing countries will greatly affect the adjustment of global economic disequilibrium.
Therefore, studying the determinants of formation, influence and operating mode of sovereign wealth funds is of great theoretic and practical significance to the adjustment of global economic disequilibrium, development of international financial system and the management of foreign exchange reserves by developing countries, typically China.
This dissertation focuses on the in-depth analysis of the cause of formation of sovereign wealth funds, its influence on the world economy and its operating mode, with major contents as follows:
Firstly, in the part of introduction, this dissertation introduces the topic selection background, studying significance, structural arrangement, research methods, as well as innovation and deficiencies, and gives an overview and comment of related sovereign wealth funds research papers from the perspectives of basic concepts of sovereign wealth funds, reasons for rise, influential factors of scale, influence on the world economy, and operating mode.
Secondly, this dissertation reviews the development course of sovereign wealth funds, and fully analyzes its asset allocation characteristics. The analysis of the development status and asset allocation of sovereign wealth funds shows that the funds are highly concentrated in terms of incorporation time, fund source, asset scale and regional distribution.
Thirdly, this dissertation deeply analyzes the reasons for rise of sovereign wealth funds in a country and the influential factors for the scale of such fund, based on the analysis of the global foreign exchange reserve disequilibrium and the savings-investment disequilibrium. The empirical study of the macro-economic influence factors of establishment of sovereign wealth funds in a country reveals that the country's total reserves, energy exports and total savings have significant influence on its sovereign wealth funds. The rise of sovereign wealth funds should be attributed to the internal and external disequilibrium of a country's economy. The high foreign exchange reserves and domestic savings of a country are an expression of the two disequilibrium states. As long as the two states remain, more countries will joint those setting up sovereign wealth funds.
According to the empirical study of the influential factors for the scale of sovereign wealth funds of a country from three aspects, i.e. macro-economic development, political and democratic governance environment and internal governance structure of fund, what the fund establishment embodies more is the government conduct of a country, and the funds established by the economies with better macro-economic fundamental will have larger scale. Moreover, the internal governance structure of fund, particularly accountability and transparency, has an important influence on the fund scale. Analysis of the influential factors for the scale of sovereign wealth funds can not only predict the development trend of such fund, and conduct in-depth study of the issues such as the influence of fund investment on the international financial market on that basis.
Fourthly, this dissertation analyzes the influence of establishment and investment of sovereign wealth funds on global political and economic pattern and international financial system. The analysis of the influence on global political and economic pattern reveals that investment of the fund will reinforce the international position of developing countries, improve international system in force, weaken the hegemony of US dollar, change the global direct investment pattern, improve the financing environment of developing countries and help ease the global economic disequilibrium.
The analysis of the influence on international financial system reveals that investment of sovereign wealth funds has a dual influence on the stability of the system. Based on the forecast of the scale of sovereign wealth funds, this dissertation analyzes the risk aversion of global investors of sovereign wealth funds and the international capital market prices, suggesting that global investors'risk aversion will increase with the expansion of sovereign wealth funds scale, and its influence on the prices and yields of such assets as stocks and treasury bonds will not cause the drastic fluctuation of international capital market. Accordingly, international community should not set special restrictions on the investment of sovereign wealth funds.
Fifthly, taking the sovereign wealth funds of Norway, Russia, Singapore and South Korea for example, this dissertation analyzes the operating modes of sovereign wealth funds of commodity exporting countries and non-commodity exporting countries, and compares such development modes as the governance structures, investment strategies and risk management strategies of sovereign wealth funds.
Finally, based on the analysis of the incorporation background of China's sovereign wealth funds, this dissertation puts forward suggestions on the policies regarding its asset allocation strategy, risk management strategy and the distinction of and cooperation with state-owned enterprises.
This dissertation aims to make an innovative exploration in the following three areas:
Firstly, the existing studies mainly examine the reasons for rise of sovereign wealth funds from the angle of external economic disequilibrium of a country, and argue that the unreasonable international monetary system in force results in the disequilibrium of global foreign exchange reserves and is the main reason for the rise of sovereign wealth funds. This dissertation makes more in-depth study of the reasons for the rise of sovereign wealth funds from the angle of the disequilibrium of internal economic structure of a country. The analysis reveals that the country's savings-investment structure disequilibrium is an important cause for the establishment of sovereign wealth funds. The ultimate reason for the rise of sovereign wealth funds should be the external and internal disequilibrium of the country's economy, which is manifested by high foreign exchange reserves and high saving ratio. As long as the disequilibrium continues, new sovereign wealth funds will be established constantly, thus gradually expanding the scale of global sovereign wealth funds.
Secondly, at present, there are few studies of the scale of sovereign wealth funds. The existing studies mainly focus on the statistics of the scale of sovereign wealth funds, and analyze the influential factors of the scale from the perspective of macro-economy. This dissertation uses standardized analysis and empirical analysis study methods to systematically analyze the influential factors of the scale of sovereign wealth funds from three aspects, i.e. macro-economic factors, macro-political factors and the factors of fund governance structure. From the macro and micro levels, combined with quantitative analysis method to analyze the issue of fund size, it provides a new way to study the development trend of the scale of sovereign wealth funds and the influence on world economy.
Thirdly, according to the analysis of impact factors of fund size, this dissertation predicts the growth trend of the size of sovereign wealth funds. On this basis, using the asset pricing model which allows a small probability of disaster, this dissertation analyzes the impact of sovereign wealth funds investment on the rate of return on risky assets and risk-free assets, as well as the impact of the risk premium. The results show that the growth of the scale of sovereign wealth funds investment has a certain impact on international asset prices, but does not cause the volatility of the international asset markets. Therefore, it should not set up specifical limitations on the investment activities of sovereign wealth funds.
However, there are still two deficiencies in the study of this dissertation:
Firstly, due to the limitation of data available, the author can only roughly forecast the future scale of sovereign wealth funds based on the prediction of the balance of current accounts. Although the current account balance has reflected the most influential factors of fund scale, improvement of other factors and data may help further improve the accuracy of the forecast of future fund scale. Hence, this issue should be further studied in the future based on the more complete data.
Secondly, there are deficiencies in the study of the micro-economic influence of the sovereign wealth funds investment. Analysis of the micro-economic influence of sovereign wealth funds includes the influence of the funds on the market value of target enterprises to be invested, i.e. the market response to the shareholding of sovereign wealth funds. However, due to the limitation of data available, this dissertation lacks the data of extensive empirical analysis of market response to the shareholding of sovereign wealth funds. As a result, the analysis of the micro-economic influence of sovereign wealth funds investment is less comprehensive.
引文
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②石油依赖度指石油收入占政府总收入的比重。
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②本文的风险和无风险资产以股票和国债为代表。
③ Miles, D. and Jen, S.2007, "Sovereign Wealth Funds and Bond and Equity Prices", http://www.morganstanley.com/views/gef/archive/2007/20070601-Fri.htm1#anchor4979.
④这是目前较为典型的挪威主权财富基金的全球资产配置比例。
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①选择1820—2010年期间人均GDP的增长率,因为在此期间内,在世界范围内发生了多次模型中所定义的Vt+1型小概率灾难,如1914年和1939年爆发的两次世界大战、20世纪30年代的大萧条、1973—1990年间爆发的三次石油危机、1998年亚洲金融危机、911事件,以及2008年爆发的金融危机、主权债务危机等,可以较为充分的反映出小概率灾难对世界经济产出增长的影响。1820-1992年人均GDP年复合增长率数据来源于安格斯·麦迪森,伍晓鹰等译.世界经济千年史[M].北京大学出版社,2003年11月；1993-2010数据来源于World Bank:http://data.worldbank.org/o
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①资本损失是指投资者对资产高买低卖而产生的账面损失。这里指当国际储备货币(如美元、欧元、日元)对本币贬值时,一国持有价值下跌的外汇储备所造成的账面损失。
②重估成本是指为了冲销外汇资本而发行以本币计价的证券票息,与换算成本币的国际储备收益之间的差额。
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①中国投资有限责任公司2008年年度报告。
②中国投资有限责任公司2010年年度报告。
①中国投资有限责任公司2009年年度报告。
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②指孤立的、不与其他部门联系的方式。
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②石油依赖度指石油收入占政府总收入的比重。
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②本文的风险和无风险资产以股票和国债为代表。
③ Miles, D. and Jen, S.2007, "Sovereign Wealth Funds and Bond and Equity Prices", http://www.morganstanley.com/views/gef/archive/2007/20070601-Fri.htm1#anchor4979.
④这是目前较为典型的挪威主权财富基金的全球资产配置比例。
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①选择1820—2010年期间人均GDP的增长率,因为在此期间内,在世界范围内发生了多次模型中所定义的Vt+1型小概率灾难,如1914年和1939年爆发的两次世界大战、20世纪30年代的大萧条、1973—1990年间爆发的三次石油危机、1998年亚洲金融危机、911事件,以及2008年爆发的金融危机、主权债务危机等,可以较为充分的反映出小概率灾难对世界经济产出增长的影响。1820-1992年人均GDP年复合增长率数据来源于安格斯·麦迪森,伍晓鹰等译.世界经济千年史[M].北京大学出版社,2003年11月；1993-2010数据来源于World Bank:http://data.worldbank.org/o
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①资本损失是指投资者对资产高买低卖而产生的账面损失。这里指当国际储备货币(如美元、欧元、日元)对本币贬值时,一国持有价值下跌的外汇储备所造成的账面损失。
②重估成本是指为了冲销外汇资本而发行以本币计价的证券票息,与换算成本币的国际储备收益之间的差额。
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①中国投资有限责任公司2008年年度报告。
②中国投资有限责任公司2010年年度报告。
①中国投资有限责任公司2009年年度报告。
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②指孤立的、不与其他部门联系的方式。
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