<제목 차례>

<요약> ·············································································································· 1

제 1부 국민연금기금이 경제 각 분야에 미치는 영향 ························ 1

Ⅰ. 서론 ·············································································································· 3

Ⅱ. 국민연금기금의 거시경제 파급효과 ······················································ 6

1. 국민연금의 거시경제 파급 메카니즘 ················································· 6

1.1. 기본 거시경제모형의 구축 ··························································· 6

1.2. 정책효과분석 ··················································································· 9

2. 국민연금기금 축적이 경제성장에 미치는 영향 ····························· 10

2.1. 이론적 경로 분석 ········································································· 10

2.2. 계약저축 및 국민연금기금 규모가 경제성장에 미치는

영향에 대한 패널분석 ································································· 13

Ⅲ. 국민연금과 경제 행태의 변화 ······························································ 17

1. 국민연금기금이 민간 저축률에 미치는 영향 ································· 17

1.1. 기존문헌연구 ················································································· 17

1.2. 모형 ································································································· 19

1.3. 국민연금 도입의 효과 ································································· 23

1.4. 소득대체율 축소에 따른 효과분석 ··········································· 25

1.5. 신뢰성이 민간저축에 미치는 효과분석 ··································· 26

2. 기업의 행태 변화: 국민연금이 기업투자와 경영행태에 미치는 영향 ··· 26

2.1. 국민연금과 주식투자 ································································· 26

2.2. 기관투자자와 기업경영과의 관계 ············································· 27

2.3. 국민연금의 주식투자 현황과 투자기업의 특성 ····················· 30

2.4. 국민연금의 지분투자가 기업의 경영과 투자에 미치는 효과 ·· 32

3. 국민연금기금의 노동시장 파급효과 ················································· 39

3.1. 국민연금기금과 노동시장: 이론적 검토 ·································· 39

3.2. 국민연금이 취업기간에 미치는 영향 ······································· 42

3.3. 국민연금이 임금근로자의 은퇴행동에 미치는 효과 ············· 47

3.4. 국민연금 예상 연금급여액의 변화가 중고령자 경제활동

참가에 미치는 영향 ····································································· 50

3.5. 국민연금보험료가 노동수요에 미치는 효과 ··························· 53

IV. 국민연금기금규모의 적정성 ································································· 57

1. 주요국과의 연금기금 규모 비교 ······················································· 57

1.1. 기간별 가변 경제성장률 하에서의 GDP 대비 국민연금기금

규모 추계결과 비교 ····································································· 57

1.2. 장기거시경제모형 내에서의 명목 GDP 대비 국민연금기금

규모의 추계결과 비교 ································································· 59

1.3. 국민연금기금의 변동성의 국제비교 ········································· 60

2. 연금기금규모의 시계열에 대한 평가지표 개발 ····························· 64

2.1. 한국의 연금기금 모형(60세대 중첩 신고전학파적 성장 모형) · 64

2.2. 60세대중첩모형을 이용한 의태분석(simulation) ··················· 66

2.3. 60세대중첩모형 의태분석결과를 이용한 연금제도에 대한 평가 ··· 73

Ⅴ. 정책 제언 ·································································································· 84

1. 경제성장을 위한 국민연금제도 운영방안 ······································· 84

2. 저축 및 자본축적 ················································································· 85

3. 기업의 성장과 건실화에 도움이 되는 기관투자자가 되기 위한

국민연금의 역할과 과제 ··································································· 86

4. 노동시장의 부정적 효과 최소화 방안 ············································· 88

4.1. 소득대체율 인하와 조기은퇴방지 ············································· 88

4.2. 여성 및 중고령자의 노동시장 참여를 높일 수 있는 정책

방안 필요 ······················································································· 89

4.3. 노동수요 촉진 정책의 필요성 ··················································· 89

5. 국민연금기금의 변동성 제어방안 마련 ··········································· 90

제 2부 국민연금의 장기 기금운용방향 ················································· 91

I. 서론 ·············································································································· 93

II . 국민연금 기금포트폴리오와 거시경제 ··············································· 99

1. 개요 ········································································································· 99

2. 선행연구 ······························································································· 101

3. 분석모형 ······························································································· 102

4. 소결 ······································································································· 102

III. 인구구조 고령화와 자산수요형태변화 ·············································· 104

1. 개요 ······································································································· 104

2. 인구구조 고령화와 총량 금융지표 ················································· 105

2.1. 저축률의 결정요인 ····································································· 105

2.2. 저축률 결정요인에 대한 분석 ················································· 106

2.3. 인구구조와 경상수지 ································································· 107

3. 인구구조 고령화와 자산수요 ··························································· 108

3.1. 고령화에 따른 자산수요 변화에 대한 이론적 논의 ··········· 108

3.2. 고령화에 따른 자산수요 변화에 대한 실증적 논의 ··········· 110

3.3. 인구구조 변화에 따른 자산 구성의 변화에 대한 논의 ····· 116

4. 인구구조의 고령화에 따른 자산 간 상대적 수익률의 변화 ····· 119

4.1. 논의의 배경 ················································································· 119

4.2. 본 연구의 실증분석 자료 ························································· 120

4.3. 실증분석 ······················································································· 121

5. 국민연금기금의 장기 투자 방향 ····················································· 122

5.1. 국민연금기금 관점 ····································································· 122

5.2. 국민경제 관점 ············································································· 123

IV. 국민연금의 포트폴리오 변화가 자본시장에 미치는 영향 ··········· 124

1. 개요 ······································································································· 124

2. 국민연금 기금투자 환경의 변화 및 자본시장 지배력 예측 ····· 125

2.1. 연금자산과 자본시장 규모에 대한 국제비교 ······················· 125

2.2. 국가별 자료를 이용한 주식 및 채권시장 규모 추정 ········· 127

2.3. 국민연금 기금의 자본시장 지배력 예측 ······························· 128

3. 국민연금이 자본시장 발전에 미치는 영향 ··································· 129

3.1. 기존 문헌의 논의 ······································································· 129

3.2. 우리나라 자본시장에 대한 평가 ············································· 130

4. 국민연금 기금의 주식시장 지배력 확대의 영향 분석 ··············· 133

4.1. 주식투자 총액자료를 이용한 분석 ········································· 134

4.2. 개별 주식거래자료를 이용한 분석 ········································· 135

5. 국민연금기금의 유동화와 전략적 행동-이론분석 ······················ 138

5.1. 논의의 배경 ················································································· 138

5.2. 이론모형 및 함의 ······································································· 140

6. 소결 ······································································································· 145

V. 거시 경제적 파급효과를 고려한 국민연금기금 장기운용전략 ····· 150

1. 개요 ······································································································· 150

2. 국민연금 자산 운용에서 거시 경제적 파급효과 고려의 필요성 ···· 151

3. 국민연금기금의 장기 자산운용방안 결정의 구체적 기준과 방향 ····· 152

4. 구체적 전략 ························································································· 155

4.1. 해외투자 확대 전략 ··································································· 155

4.2. 기금적립 국면에 따른 장기자산배분 전략 ··························· 156

5. 해외투자의 위험관리 전략 ······························································· 159

5.1. 해외투자의 환위험 관리 ··························································· 160

5.2. 해외투자의 외화유동성위험 관리 ··········································· 161

VI. 정책 제언 ······························································································· 164