Macroeconomic Factors on the Equity Investment Income of National Social Security Funds: An Empirical Analysis Based on Var Model

摘要

This study selects the top ten heavily held by stock of National Social Security Funds (NSSF) as the research samples, then uses the VAR model and stress tests to analyze the macroeconomic factors of NSSF and the investment security. The results show that short-term effects of the price factors, the money supply and fixed asset investment are more significant but the mechanism is different significantly. And the interest rate is once again proved that the impact is not significant. The constructed of three macroeconomic scenarios of extreme stress test studies in this study have shown the social security fund to pay equity portfolio will have a certain risk. These conclusions will contribute to improve the investment income of NSSF and reduce the affects of adverse systemic risk of macroeconomic factors, which will provide an important theoretical and empirical basis.