목 차
제1장 서언 ··························································1
1. 연구 배경 및 목적 ···············································1
2. 연구 내용 ·························································2
3. 연구의 시사점 및 제언 ·········································5
제1부 사회경제 환경 변화와 국민연금의 장기 기금운용 방향 ·············9
제2장 사회경제적 여건 변화에 따른 국민연금기금의 발전방안 ··········11
1. 서론 ··············································································11
2. 세계 및 국내 경제 환경 변화 ················································11
3. 금융위기 이후 금융시장 및 규제의 변화 ··································15
4. 고령화 추세의 사회경제적 영향 ············································18
5. 국민연금과 사적연금간의 관계 정립 ·······································20
6. 국민연금기금 운용에 대한 전반적 평가 ···································25
7. 결론 ··············································································28
제3장 거시경제에 대한 영향을 고려한 장기 기금운용 방향 ·············29
1. 서론 ············································································29
2. 문헌연구 ······································································30
3. 2기 중첩세대모형 ····························································31
4. 다기간 모형으로의 확장 ····················································36
5. 정책적 함의 ···································································44
제2부 국민연금의 자본시장에 대한 영향과 국내 및 해외자산 투자전략 45
제4장 국민연금의 주식시장에 대한 영향 분석 및 이를 고려한 국내 주식투자전략 47
1. 서론 ·············································································47
2. 국민연금의 국내 주식시장 비중 ············································47
3. 국민연금기금의 국내 주식시장 영향력 ····································48
4. 국민연금기금의 주식투자 상한 및 위험 프리미엄 ·······················57
5. 결론 ··············································································60
제5장 국민연금의 채권시장에 대한 영향 분석 및 이를 고려한 국내 채권투
자 전략 ···········································································62
1. 서론 ············································································62
2. 국민연금기금의 섹터별 국내 채권시장 점유율 추정 ···················64
3. 국민연금기금의 국채 발행시장 영향 점검 ·······························69
4. 시사점 ··········································································70
5. 국민연금기금의 단계적 채권투자 및 투자상한 설정 전략 ·············71
6. 주택담보대출과 채권시장 ···················································74
제6장 국민연금의 대체자산시장에 대한 영향 분석 및 이를 고려한 국내 대체투자 전략 76
1. 서론 ···············································································76
2. 대체자산군별 시장규모 추정 및 국민연금기금의 투자 파급효과 ·······80
3. 대체자산군별 수익률 결정요인 및 장기 목표수익률 설정 방안 ·········85
4. 신규 투자대상 대체자산 검토: 헤지펀드를 중심으로 ·····················87
제7장 해외 주식 및 채권투자 방안 ··············································89
1. 서론 ················································································89
2. 접근 방법 ··········································································89
3. 분석 방법 및 자료 ································································92
4. 해외 자산시장 분석 ······························································96
5. 해외자산 투자 전략 ·····························································100
6. 지역별 자산시장 분석 및 투자 전략 ··········································102
7. 결론 ················································································105
제8장 외환위험 관리 방안 ·························································107
1. 서론 ················································································107
2. 접근 방법 ··········································································108
3. 외환위험과 해외투자의 운용성과 ·············································109
4. 외환 위험관리 전략 ······························································114
5. 결론 ·················································································119
제9장 해외 대체투자 방안 ··························································121
1. 서론 ·················································································121
2. 접근 방법 ···········································································121
3. 대체투자의 개관 ···································································123
4. 세부 대체자산군별 투자 방안 ···················································125
5. 해외 대체투자 전략 ·······························································133
6. 결론 ··················································································135
제3부 국민연금의 장기 자산운용전략과 위험관리 방안 ························137
제10장 기금규모 단계별 자산운용전략 및 실행방안 ····························139
1. 서론 ··················································································139
2. 접근 방법 ············································································140
3. 장기 최적 자산배분안 ·····························································145
4. 기금규모단계별 자산운용전략 ···················································154
5. 자산운용 전략의 실행 방안 ·······················································158
6. 결론 ···················································································159
제11장 기금운용의 리스크관리 강화방안 ·········································161
1. 금융위기 이후 세계 자산시장의 변화와 위험관리 ····························161
2. 연구 방법 및 자료 ··································································162
3. 금융위기 발생에 따른 위험요인 분석과 포트폴리오 다변화 효과 · ········164
4. 금융위기를 고려한 국민연금의 투자 및 헤지 전략 ···························168
5. 국민연금의 Active risk 수준 검토 ···············································171
6. 결론 및 향후 국민연금 위험관리 강화 방안 제언 ·····························172
제12장 장기-중기-단기 자산운용전략의 유기적 연계방안 ·····················174
1. 금융위기 이후 해외 연기금의 자산운용 전략 추이 ····························174
2. 국민연금의 자산배분과 운용 전략 현황 ·········································179
3. 국민연금의 중기 자산배분 전략과 전술적 자산배분과의 연계 방안·········180
4. 국민연금의 장기 자산배분 전략과 중기 자산배분과의 연계 방안 ·········· 185
5. 기금 감소에 대비한 자산배분과 운용 ············································188
참고문헌 ·················································································190