主权财富基金的规模预测及对国际金融市场的影响

›› 2016, Vol. 28 ›› Issue (10): 27-38.

主权财富基金的规模预测及对国际金融市场的影响

马放, 陈伟忠

同济大学经济与管理学院, 上海 201804

收稿日期:2015-11-05 出版日期:2016-10-28 发布日期:2016-10-31
作者简介:马放,同济大学经济与管理学院博士研究生;陈伟忠,同济大学经济与管理学院教授,博士生导师,博士。
基金资助:
国家自然科学基金项目（71173153）。

Sovereign Wealth Funds Forecasting Scale and Their Impact on International Financial Market

Ma Fang, Chen Weizhong

School of Economics and Management, Tongji University, Shanghai 201804

Received:2015-11-05 Online:2016-10-28 Published:2016-10-31

摘要/Abstract

摘要：

近十几年来，主权财富基金迅速崛起，其规模急剧扩大，现已成为国际金融市场上重要的机构投资者之一，对全球金融市场的影响与日俱增，该问题已引起各国政府和学界的广泛关注。本文通过情景分析法预测了主权财富基金的未来发展规模，并通过改进的Barro模型探讨分析了主权财富基金对全球金融市场以及稳定性的影响，涉及资产价格、股票风险溢价和金融市场市盈率受主权财富基金风险偏好的影响。本文结论显示：全球金融市场受主权财富基金的影响并不显著，主权财富基金的迅速崛起对全球金融市场具有稳定作用。中国政府可以考虑增加主权财富基金规模，以更好地支持国家“一带一路”发展战略。

关键词: 主权财富基金, 规模预测, 风险规避指数, 资产价格

Abstract:

In recent ten years, sovereign wealth funds (SWFs) develop rapidly, and the scale of SWFs enlarges promptly. At present, SWFs have become one of the important institutional investors in international financial market, and have more and more impact on global financial market. It has aroused attention from the governments of many countries and scholars. By scenario analysis, the paper forecasts the future scale of SWFs, and discusses the impact of SWFs on the global financial market and its stability through revised Barro model, including SWFs risk preference having impact on asset price, equity risk premium and the price-earning ratio of financial market. The results reveal that the boom of SWFs is beneficial to global financial market stability, and the impact of SWFs on the asset price of the global financial market is not obvious. The Chinese government can consider enlarging the asset size of its SWF in order to support the Belt and Road Initiative better.

Key words: sovereign wealth funds, forecasting scale, coefficient of relative risk aversion, asset price

马放, 陈伟忠. 主权财富基金的规模预测及对国际金融市场的影响[J]. , 2016, 28(10): 27-38.

Ma Fang, Chen Weizhong. Sovereign Wealth Funds Forecasting Scale and Their Impact on International Financial Market[J]. , 2016, 28(10): 27-38.

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