【作者】 刘玄；

【导师】 洪银兴；

【作者基本信息】 南京大学 ， 理论经济学， 2011， 博士

【摘要】 本文以次贷危机作为背景,研究资产证券化中的风险特别是宏观风险及其形成原因,提出了防范资产证券化中宏观风险的对策措施并对我国发展资产证券化的意义进行了阐述。本文从资产证券化的产生及发展出发,结合马克思的虚拟资本理论,详细分析MBS、ABS、CDO等资产证券化产品结构和特征,研究资产证券化的虚拟特征。资产证券化是一种复杂的金融衍生工具,具有虚拟资本的特征。资产证券化不能简单地归类于某一种传统的虚拟资本类型,而是更为复杂的金融衍生品,是将传统的几类虚拟资本有机结合的产物,也是虚拟经济发展的更高阶段。同时,资产证券化是间接融资和直接融资的复杂结合,它的出现成为沟通两类资金配置模式的工具和桥梁。虚拟经济都具有正负二重效应,作为一种迅猛发展的金融创新产品,资产证券化当然也不例外。其正向功能,微观上,资产证券化是一种能够为参与者提供流动性转化功能、规避监管功能和风险转移功能的产品；宏观上,资产证券化改变了金融体系结构,提高了效率；提供了有效的风险再分配机制和推动了金融基础设施的变革。正因为资产证券化的功能如此显著,才能在几十年时间里得以迅猛发展,银行也借助资产证券化技术并利用其微观功能导致次级贷款及其证券化产品大行其道。资产证券化中的风险也可分为微观和宏观两个层面,其中微观风险是指给参与者带来的风险,大致可分为基础资产现金流的风险和证券化过程的风险两种,前者是指由于基础资产所产生的现金流的不确定性而带来的风险,包括信用风险和提前偿付风险。后者则是指在证券化过程中所产生的风险,包括产品设计风险和结构风险。长期以来,微观风险受到重点关注,实践中也设计和创造出一系列方法与工具进行管理,而宏观风险却没有得到充分认识。次贷危机正是宏观风险积累到一定程度后集中爆发的产物。本文的研究重点在深入认识资产证券化的宏观风险。资产证券化产品作为创新的虚拟资本,距离现实资本更远,不受现实资本的约束,容易脱离实体经济过度发展,从而推动资产价格泡沫。本文研究了资产证券化的信贷扩张效应及其与资产泡沫之间的联系。增加流动性和监管资本套利是银行进行证券化的最主要动因,而这两者最终都会产生相同的结果,即通过出售资产扩大融资来源,进而使银行能在短期内更多地发放贷款。当证券化标的对象是房地产抵押贷款时,此类信贷的扩张将使更多资金涌入房地产市场,推动房地产价格持续上升。危机前住房抵押贷款证券化产品的快速发展是引发资产泡沫的重要原因之一。次贷危机发端于美国房地产市场,最初的局部风险因为资产证券化的特征而传导扩散至整个金融体系。一方面,次级抵押贷款违约率上升导致次级抵押贷款支持证券的违约风险上升,市场价格大幅度缩水,使次级抵押贷款的信用风险从商业银行转移至资本市场。另一方面,商业银行直接或间接地购买了大量次级抵押贷款支持证券又使资本市场的危机积累到一定程度后反馈传导回信贷市场。危机在双向传导效应的刺激下波及面不断扩大,从而使局部风险最后演变为系统性危机。在资产证券化条件下,由于缺乏适当的制衡机制,借款人和发起人之间的逆向选择问题表现的更加严重。借款人不顾偿还能力疯狂借贷,而发起人缺乏监督动力,也无心采取措施防范逆向选择。构建不完全信息动态博弈模型研究发起人和投资者之间的逆向选择问题。证券化对贷款人的最大作用是影响了其收集借款人隐性信息的激励机制。当证券化超过一定程度后,贷款出售所获得的差价收入越来越高。这时不同的贷款人需要根据对贷款项目质量的判断在持有贷款获得利息收入还是卖出贷款赚取差价间做出权衡。由于存在信息不对称,投资者无法判断哪类贷款人对贷款项目的信息掌握得更充分,因此,只能根据平均标准对贷款定价,低风险贷款人会因为价格低于预期而逐步退出市场。逆向选择程度会随着证券化程度的提高而增加,市场上高风险贷款人会越来越多,抵押贷款的质量也就越低。资产证券化中特殊目的机构、投资银行和信用评级机构存在道德风险问题,不合理的激励机制的存在使得本应承担鉴别证券化产品质量的中介机构不但未能尽责,反而推波助澜。由于资产证券化中存在严重的逆向选择和道德风险问题,最终导致美国抵押贷款的整体质量不断下滑,这时诱发危机的重要原因。吸取次贷危机教训,为保证资产证券化继续发挥其自身正常功能而防止对金融体系产生过大的负面影响,需要改进现有的货币政策和金融监管政策以加强对该市场的调控。传统的货币政策并未将资本市场及有关机构纳入直接调控范围,仅关注通货膨胀,而没有包含资产价格水平。即使传统的货币政策试图将资产证券化类的金融产品纳入调控范围,也会因为资产证券化的特点而使现有的货币政策工具失去效果。针对这些问题,本文提出货币政策改进的方向,一方面,将“影子银行”纳入货币政策调控范围,创造性地使用准备金和公开市场操作工具。另一方面,应更加积极地应对资产价格波动。在此基础上,结合中国资产证券化发展现状,阐述了对中国货币政策调控的启示。在前文研究的基础上设计对资产证券化进行监管的制度安排。一是建立宏观审慎监管框架,加强对资产证券化各个环节和相关机构的监管,包括加强基础资产质量监管,从源头防范风险；加强对资产证券化运作模式的监管；加强对评级机构的监管,促使其提供更客观、中立的评级服务；加强对混业经营范围、产品的监管,设置防火墙。二是对于资产证券化产品必须建立有效的信息披露制度,全面揭示风险,帮助投资者权衡利弊。三是以本次危机为契机,适应形势变化,改进当前金融危机预警系统,指标体系应具有综合性,能更敏感和前瞻性地反映信贷市场和资本市场的变化,容纳金融机构、金融市场、金融产品等因素。本文还对我国资产证券化下一步的发展战略作出思考,认为无论是从金融机构的角度,还是从投资者、融资者的角度,或是从多层次资本市场的角度,推行资产证券化都是有利的。如果说美国发生次贷危机是因为创新过度,那么我国目前面临的现状则是金融创新严重不足从而降低了金融体系运行效率,因此,还需采取各类措施促进中国资产证券化的发展。更多还原

【Abstract】 This thesis sets Subprime Lending Crisis as a background to study the risk of asset securitization, especially in the form of macro risk and the reasons put forward to prevent the risk of asset securitization in the macro-countermeasures and the development of asset securitization of significance are described.In this thesis, the generation of asset securitization and development, combined with the fictitious capital of Marxist theory, detailed analysis of the MBS, ABS, CDO and other asset-backed securities on the basis of the structure and characteristics of the fictitious features of asset securitization. Asset securitization is a complex financial derivatives, with the characteristics of fictitious capital, as long as a steady flow of cash income, the assets can be securitized. We can say that it can not simply categorize a particular type of a traditional fictitious capital, but on the basis of Marx’s analysis of more complex financial derivatives, is the traditional combination of several types of fictitious product of capital is Fictitious higher stage of economic development. Meanwhile, asset securitization can also be seen as indirect financing and direct financing of the complex combination, it appears as two types of capital allocation model of communication tools and bridge. According to Marx’s analysis, based on the form of fictitious capital of the fictitious economy has generated double effect of positive and negative, as a rapid development of financial innovation, asset securitization, of course, is no exception. The positive features, micro, asset securitization is a way to provide liquidity for the participants transformation function, to avoid regulatory functions and the function of risk transfer products; the macro level, changes in asset securitization structure of the financial system and improve efficiency; Provides an effective mechanism for redistribution of risk and promote the financial infrastructure changes. Because the function of asset securitization so significant to a few decades to the rapid development time, the banks with asset securitization technology and using its microscopic features lead to sub-prime loans and securitized products in great demand.On the other hand, the risk of asset securitization in the micro and macro can be divided into two levels, including micro risk is the risk to participants, can be divided into the risk of the underlying asset and cash flow risk securitization process Two, the former refers to the underlying asset as the cash flow generated by the uncertainty and risks, including credit risk and prepayment risk. The latter refers to the process of securitization of the risks arising, including product design, risk and structural risk. Over the years, been focused on micro-risk, practice has also designed and created a series of methods and tools for management, and macro risks are not fully understood. Macro-risk subprime mortgage crisis is accumulated to a certain extent the product of concentration of the outbreak. This thesis focuses on in-depth understanding of the macro risks of asset securitization.First, the capital securities products as an innovative fictitious capital, running on top of other fictitious capital, farther away from the reality of capital, not the reality of capital constraints, easy to over-development from the real economy, thus promoting the asset price bubble. In this thesis, asset securitization and credit expansion effect and the link between asset bubbles. The micro level, increase liquidity and regulatory capital arbitrage is the most important banks securitization motives, both of which will eventually produce the same results, that is expanded through the sale of assets and effective source of financing, which made banks more in the short term More loans. When the object is the subject of the securitization of real estate mortgage loans, such credit expansion will bring more money into the real estate market, to promote real estate prices continued to rise. Since the effect of the existence of pre-crisis mortgage backed securities caused the rapid development of asset bubbles is one important reason.Second, the use of vector autoregressive (VAR) systems Granger causality test, impulse response (Impulse responses) analysis tools to study the transmission asset securitization’s role in the crisis. The sub-prime crisis originated in the U.S. housing market, the initial local risk characteristics of asset securitization as the conduction spread to the entire financial system. On the one hand, the secondary rise in mortgage defaults led to the subprime mortgage-backed securities increased risk of default, the market price significantly diminished, so that the credit risk of subprime mortgages from commercial banks transferred to the capital markets. On the other hand, commercial banks, directly or indirectly to buy a large number of subprime mortgage-backed securities and the crisis in the capital market to a certain extent the accumulation of the feedback transfer back to the credit markets. Effect of the crisis in the two-way conduction growing magnitude of the stimulation, so that the final evolution of the local risk of systemic crisis.Third, a comprehensive study of the process of asset securitization existing adverse selection and moral hazard.With Stiglitz and Winston (1981) classic model borrowers and adverse selection between the promoters.Found in a condition of asset securitization, due to the lack of appropriate checks and balances, borrowers and sponsors of the performance between the adverse selection problem more serious.Crazy regardless of borrower ability to repay loans, and lack of oversight power promoters, and too busy to take measures to prevent adverse selection.Construction of incomplete information dynamic game model between the promoters and investors, adverse selection problems. That the Securitization of the role of lender of the largest borrowers of its collection of information hidden incentives.When more than a certain degree of securitization, the loans obtained by the sale price difference higher incomes. Different lenders now need to determine the quality of the loan project loans were interest in holding or selling loans earn the difference between the trade-off. Because of asymmetric information, investors can not determine the type of loan program lenders to master the information more fully, therefore, can only be based on the average standard of loan pricing, low-risk loans because the price would gradually withdraw from the market than expected. The degree of adverse selection would increase with the degree of securitization and increasing high-risk loans on the market will more and more the quality of mortgages lower. Under asymmetric information with the principal-agent model of asset securitization special purpose entities, investment banks and credit rating agencies, the moral hazard problem, the existence of irrational incentives makes the identification of the securities shall bear the quality of products not only intermediaries Not responsible, but waves. As Asset Securitization serious adverse selection and moral hazard problems, since 2001, before the outbreak of the subprime crisis to, as the degree of deepening the securities, leading to the overall quality of U.S. mortgages continue to decline, when the crisis induced Important reasons.Draw lessons from the subprime crisis, asset securitization in order to ensure to continue to play its own normal function of the financial system by preventing the negative effects of too much, the need to improve the existing monetary policy and financial regulation policies to strengthen the regulation of the market.First, the analysis of asset securitization impact on the effectiveness of monetary policy on how to improve the object and the way monetary policy to improve the effectiveness of monetary policy. First, the traditional monetary policy is not the capital markets and related institutions into the scope of direct control. Second, the ultimate goal of monetary policy from the point of view, is concerned only with inflation, and does not contain the level of asset prices. Again, even if the traditional monetary policy attempt to asset securitization into the regulation of the class range of financial products, also because of the characteristics of asset securitization leaving the existing monetary policy tools lose results. For these problems, the direction of future monetary policy improvements, on the one hand, the "shadow banking" into the scope of monetary policy, the creative use of reserves and open market operations. On the other hand, should be more active in responding to asset price volatility. On this basis, combining the development status of asset securitization in China, elaborated on China’s monetary policy in China.Second, the research asset securitization impact on the effectiveness of regulatory policies that the current "co-existence of multiple micro-prudential regulator"model can not conduct a comprehensive asset-backed securities regulators, there are serious gaps in the regulatory and supervisory arbitrage.Thus, with the constant deepening of securitization, making the overall quality of U.S. mortgages falling into one of the important reasons for the crisis.Third, the previous paper based on the research design of the asset securitization arrangements to monitor the system. One is to establish macro-prudential framework to enhance all aspects of asset securitization and related supervision, including the strengthening of the underlying asset quality control, risk prevention from the source; strengthen the operation of asset securitization regulation; to strengthen the supervision of rating agencies, Facilitate the provision of more objective and neutral rating services; strengthen Mixed range, product regulation, setting up a firewall. Second, the asset securitization products must establish an effective information disclosure system, fully reveal the risks and help investors to trade-offs. Third, this crisis as an opportunity to adapt to changing circumstances, improving the current financial crisis early warning system should have a comprehensive indicator system would be more sensitive and forward-looking reflect the credit market and capital market changes, to accommodate financial institutions, financial markets, Financial products and other factors.Affected by the crisis in 2008, issued after the securitization of domestic assets and environmental degradation, China Banking Regulatory Commission has suspended accepting new credit asset securitization program. This thesis is also the next step of the development of asset securitization strategies to think that both from the perspective of financial institutions, or from the investors,financiers point of view, or from the perspective of multi-level capital market, the implementation of asset securitization are Beneficial. If the United States subprime mortgage crisis is because innovation over, then the status of our country is currently facing a serious shortage of financial innovation, which reduces the efficiency of the financial system, therefore, need to take various measures to promote the development of asset securitization in China.更多还原