指導教授：李顯峰臺灣大學：經濟學研究所莊立德Chuang, Li-TeLi-TeChuang2014-11-292018-06-282014-11-292018-06-282014http://ntur.lib.ntu.edu.tw//handle/246246/263393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.目 錄 第一章 緒論…………………………………………………………1 1.1 研究背景…………………………………………………………1 1.2 研究目的與動機…………………………………………………3 1.3 研究方法與架構…………………………………………………3 第二章 新制勞退基金與委外經營…………………………………5 2.1 新制勞退基金制度介紹…………………………………………5 2.2 新制勞退基金投資運用範圍與限制……………………………6 2.3 新制勞退基金經營現況…………………………………………8 2.4 委外經營概述……………………………………………………11 2.5 新制勞退基金委外經營現況……………………………………12 第三章 文獻回顧.……………………………………………………15 3.1 股價指數與總體變數間之關聯性之文獻………………………15 3.2 各國股市間之連動關係之文獻…………………………………16 3.3 勞退基金相關之文獻……………………………………………18 第四章 研究方法與流程.……………………………………………20 4.1 實證研究流程……………………………………………………20 4.2 研究方法…………………………………………………………22 4.3 研究樣本…………………………………………………………29 第五章 實證研究結果與分析………………………………………33 5.1 資料敘述統計……………………………………………………33 5.2 單根檢定(Unit Root Test)……………………………………35 5.3 向量自我迴歸模型(Vector Autoregression Model, VAR)…38 5.4 Granger因果檢定(Granger Causality Test)………………40 5.5 衝擊反應分析( Impulse Response Analysis)………………42 5.6 預測誤差變異數分析……………………………………………44 第六章 結論與檢討…………………………………………………47 6.1 結論………………………………………………………………47 6.2 限制與檢討………………………………………………………48 參考文獻………………………………………………………………511376018 bytesapplication/pdf論文公開時間：2016/07/16論文使用權限：同意有償授權(權利金給回饋學校)勞退新制基金委外經營績效單根檢定向量自我迴歸模型衝擊反應分析預測誤差變異數分析thesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/263393/1/ntu-103-R01323062-1.pdf