勞退基金委外績效與總體變數關聯性之研究

Abstract

勞退基金之績效影響著廣大勞工的未來退休生活，為順應投資專業化以及提升操作績效，自2007年9月新制勞退基金進行第一批次委外經營起，委外經營績效就一直是國人關注的議題。過往對於政府基金績效之研究多探討個體因素之影響，本研究目標觀察總體因素與新制勞退基金中國內委外經營績效之關聯性，觀察總體變數是否可以合理解釋並預測委外績效之表現，並藉此了解總體環境之變化和衝擊對於委外績效之影響。 本研究分析2007年10月至2014年2月之國內委託經營月資料，以向量自我迴歸模型檢驗委外績效與台股報酬率、那史達克報酬率和M1B變動率間之關聯性，並配合相關檢定加強解釋力。實證結果發現委外績效不受所觀察總體變數的影響，但其落後期卻對於台股報酬率有正向顯著影響且具有領先效果。除自身衝擊對委外績效影響顯著外，台股報酬率與那史達克報酬率變動亦造成委外績效有著不小的反應且效果具有一定持續性。

The performance of the Labor Pension Fund affects the future life quality of many workers. In order to improve the fund performance and specialize the investment, the new Labor Pension Fund started its first outsourcing operation since September 2007, meanwhile, the outsourcing performance has become one of the public concerns. The previous researches of the performance of government funds always put emphasis on the effects of microeconomic factors. However, this study aims to analyze the relationship between the domestic outsourcing performance of the labor pension fund and macroeconomic variables to see whether macroeconomic factors could explain or predict the outsourcing performance, and also to know how the change and the impulse of the environments affect the performance. Our monthly sample data of the domestic outsourcing operation dated from September 2007 to February 2014. We used vector autoregression model to examine the relationship between the domestic outsourcing performance and the return rate of TAIEX, the return rate of NASDAQ and the change of M1B, and also implemented some related tests to enhance the explanatory power. The empirical results indicates that the domestic outsourcing performance was not influenced by the chosen macroeconomic variables; otherwise, the outsourcing performance in the former period had a significantly positive effect on the return rate of TAIEX and was also provided with the leading effect. Moreover, the outsourcing performance fluctuates greatly due to the changes of the return rate of TAIEX, the return rate of NASDAQ and itself, meanwhile, this fluctuations of the impulse responses sustained for a while.