【作者】 曹棣泉；

【导师】 江春；

【作者基本信息】 武汉大学 ， 金融学， 2010， 博士

【摘要】 本文主旨在于以复杂信贷衍生交易制度下的债务治理结构这样一个制度经济学视角来探讨美国次贷危机与信贷衍生交易关系。过去30年,伴随着交易制度和金融工具的创新,信贷资产交易成为金融市场的一种常态。信贷资产交易引起产权关系的变更(或部分变更)从而改变对债务的原有治理结构。信贷资产交易通常涉及债权人内部对交易成本与风险收益分摊的新的结构性安排,这些安排演变成为一系列复杂的交易制度。由于它们都基于基础的商业银行信用,同时在交易安排当中构造了较为相似的多重委托代理人关系,因此,将其定义为信贷衍生交易制度。狭义的信贷衍生交易是指,以商业银行表内资产为交易标的的交易行为,等同于信贷资产交易的概念；而广义的信贷衍生交易则还包括：商业银行表内、表外资产交易以及基于商业银行信用所派生出的在金融市场主体之间的权益互换和风险收益分配过程。本文采用广义的信贷衍生交易概念。同时,根据是否存在可观测的行动结果,信贷衍生交易类型可分为简单信贷衍生交易和复杂信贷衍生交易。信贷衍生交易的蓬勃发展前所未有地影响和改变了金融市场运行、金融主体行为以及金融市场风险,更为重要的是信贷衍生交易改变了对债务原有治理结构,因此对金融中介相关问题理论研究提出了新的挑战。传统金融中介理论认为,在非对称信息状态下,存款合同是解决投资者对银行激励的最佳方式。而信贷衍生交易制度则是试图通过其他合同形式和制度安排来替代存款合同,以实现对银行行为激励与效率改进。与传统金融中介理论尤其是对基础借贷行为问题一样,信贷衍生交易的相关研究始终贯穿对交易成本的重视,前者更关注于非竞争状态下借款人、银行以及存款人三者的最优均衡,而后者则立足整个信贷市场考虑存在多个金融中介竞争时的信贷市场效率改进与成本分摊,因此从这个意义上来说,信贷衍生交易制度研究是传统金融中介理论问题的继承与延续。与此同时,信贷衍生交易制度又对传统金融中介理论进行了补充和发展。总体而言,目前关于信贷衍生交易的研究多是则重于某一种特定类型的衍生交易,系统全面的归纳整理文献并不多见。同时,主流的信贷衍生交易研究大多继承了传统金融中介理论关于商业银行“发放——持有到期”的间接融资模式的假定,这显然无法反映信贷市场的最新发展。特别地,进入20世纪90年代以来,信贷衍生交易形态呈现出一系列有别于以往的新特点和新趋势。这使得深入分析和反思对信贷衍生交易的研究成为重要且迫切的任务。2007年次贷危机并引发全球性的经济衰退可能成为信贷衍生交易理论发展进程的一个重要转折点,也是理论与实务界重新回归非对称信息范式轨道的新起点。对次贷危机的反思不应该只停留在用现有理论去解释现象本身,而更重要的任务是通过深入分析现象背后的本质和规律,以发现当前信贷衍生交易研究当中的缺陷与不足,并籍此提出新的理论视角与理论方法改进,使理论更充分地反映现实与指导实践。作为一种衍生债务治理,信贷衍生交易的核心功能在于通过市场交易引入具有信息比较优势或资金比较优势的新的市场主体,构造出相对原有债务治理关系更有效率或成本更低的治理结构,以实现信贷市场和宏观经济的帕累托改进。因此,首先,信贷衍生交易在本质上是一种制度,信贷衍生交易的研究范式应该是制度经济学的；其次,信贷衍生交易在制度演化层次上属于治理机制的范畴,治理结构分析应作为研究信贷衍生交易制度效率的重要视角；再次,在治理结构安排当中如何解决对代理人激励与约束是最为核心的问题。进一步讲,由于信贷市场治理由货币配置机制、事前甄别与事后控制机制以及收益与风险分摊机制等四种机制所共同构成的复杂体系,因此有效的激励机制是信贷市场运行效率稳定性的重要基础。通常,在信贷市场中,存在产权激励与合同激励两种激励方式,其中产权激励有效的前提是产权具有完备性、清晰性和排他性；而合同激励有效的前提是存在一个对代理人的可观测的行为结果以及可根据观测结果而采取的事后奖惩策略。在简单信贷衍生交易中,产权激励与合同激励具有相互替代性。在复杂信贷衍生交易中,产权激励具有唯一性。由于初始权利束的裂变及衍生产权束的总量与结构通过“产权构成—产权属性—产权功能”的这一关系链条传导并影响到衍生信贷产权的有效性,并最终影响新的债务治理结构的稳定性。具体来说,复杂衍生交易治理结构非稳定性存在三个方面原因：一是在复杂衍生交易中由于缺乏直观的、有效的可观测指标,因此,通过提供合同激励使得信贷发行机构和资产管理机构采取最优行动十分困难。这是复杂衍生交易治理结构非稳定的原因之一；二是复杂衍生交易引起初始信贷产权发生结构式裂变。衍生产权在新的治理结构中被不同的市场主体持有,责权利重新配比的过程中可能导致衍生产权残缺,产权的激励功能下降并影响治理结构的稳定性。这是原因之二；三是在外部激励不足的情况下,信贷发行机构和资产管理机构的信息策略往往取决于错综复杂的潜在收益函数,导致甄别与控制权执行者在担任信贷发行人(资产管理者)和潜在收益权人时可能存在角色冲突的外部性问题。由于目前采取的商业保密原则,可能导致对其他利益相关者的损害行为。这是原因之三。美国次贷危机源于：一方面,复杂衍生交易为房地产市场信贷膨胀构织了庞大的全球性融资体系,提供了源源不断的信贷资金支持；另一方面,复杂信贷衍生交易引致初始信贷资产产权裂变并形成新的衍生产权,合同不完全性和衍生产权残缺性降低了信贷发行机构和资产管理机构对初始债务人违约监督的合同激励与产权激励,导致复杂信贷衍生交易制度下新的债务治理结构具有非稳定性,最终导致次贷危机。因此,改革信贷衍生交易制度应沿着建立国际经济新秩序、改革国际货币体系、完善信贷衍生交易制度的内生激励与约束机制、完善国际合作机制的方向。同时,作为发展中大国,中国正处在一个金融全球化和金融体制改革的波澜壮阔的时代。发展信贷衍生交易制度有着十分重要的意义。我国应该高度重视和正确处理信贷衍生交易与金融体制改革的关系,形成有利于信贷衍生交易健康发展的合理的制度需求与供给,使信贷衍生交易制度沿着改进市场配置效率和改善治理结构的方向发展,最后还要不断加强和改善对信贷衍生交易的宏观管理与市场监测。更多还原

【Abstract】 This thesis studies the relationship between the subprime crisis and complex credit derivative transactions (hereinafter referred to as CDTs) under an institutional economics perspective of debt governance structure.In the past 30 years, credit assets transaction has evolved into an indispensible part of financial market, along with innovations on transaction institution and financial instrument. Credit assets transactions result in transfer (or partly transfer) of property rights and transform the credit governance structure in the initial state. Credit assets transactions generally involve new structural arrangements on transaction cost and allocation of risk premium between creditors bounded together through transactions. These arrangements shape up a series of complicated transaction system, which is categorized as CDTs institutional system because they rely on fundamental commercial banking credit and create similar multi-principal-agent relationships. In a narrow sense, CDTs refer to transactions of credit assets on the balance sheet of a commercial bank, synonymous to credit assets transaction; in a broad sense, CDTs should also include commercial bank’s on-balance and off-balance sheet transactions, as well as other types of swaps of right and obligation based on credit derivatives of commercial banks. We treat CDTs in the broad sense in this thesis. Further,according to the observation of agent’s behavior,we classify CDTs to simple CDTs and complex CDTs.The rapid development of CDTs has dramatically changed the operation of financial market, the behavior of market participants, as well as the market risk. More importantly, CDTs has reformed the routine governance structure of debt, proposing a new challenge to the traditional theories of financial intermediation, which claim that deposit contracts provide banks the optimal incentive under information asymmetry. CDTs institutional system optimizes bank’s incentive and improves market efficiency by substituting contract of alternative forms for deposits contract. Similar to the conventional theories of financial intermediation, in particular the study on basic credit behaviors, researches on CDTs pay much attention to transaction cost all along the exploration in this field. But unlike the traditional theories which focus on the optimal equilibrium among borrower, creditor and depositor under the non-competitive condition, CDTs theory studies efficiency improvement and costs allocation in a competitive credit market. From this point of view, studies on CDTs institutional system are both an inheritance and an extension of the theories of financial intermediation.In general, present literature on CDTs is filled with researches on particular types of derivative transactions, but lack of systematic and comprehensive reviews of this field. Conventional research on CDTs, meanwhile, mostly adopt the routine hypothesis of financial intermediation that commercial bank finance indirectly in an ’Originate-and-hold’mode, which is counterfactual and out-of-date. The evolving process and burgeoning characteristics of CDTs, especially after 1990’s, make it imperative to study the current CDTs in detail. The global economic recession triggered by the subprime crisis is a landmark in the development of CDTs theories, bringing the theory and practice back to the asymmetric information paradigm. Researchers now should not be satisfied with explaining the crisis with available theories, but should look through the phenomenon to advance innovative and practical perspectives and methodologies to improve the existing theories.The core function of CDTs, which is defined by derivative debt governance, is to construct a more efficient and low-cost debt governance by encouraging market entries with comparative advantages in information or financing cost, achieving Pareto improvement in credit market and macro-economy. Hence, CDTs firstly is a kind of institution in essence, and the studies of derivative transaction should be regarded as institutional economics. Secondly, CDTs is a type of governance mechanism in the hierarchical theory of institutional evolution. Thus governance structure analysis should be an important perspective of the research on the efficiency of CDTs institution. Thirdly, agency problem is the crux of the arrangement of governance structure.Moreover, credit market governance is a complicated system consisting of capital allocation mechanism, ex-ante screening mechanisms, ex-post controlling mechanism, and risk-premium allocation mechanism. Therefore an effective incentive mechanism provides an important base for the steady operation of credit market. Usually, two kinds of incentive modes-property right incentive and contract incentive-exist in credit market. The prerequisites of the former include integrity, perspicuity, and exclusiveness, while a punishing strategy contingent on the observation of agent’s behavior guarantees the effectiveness of contract incentive. Property rights incentive and contract incentive are mutually substitutable. In the process of a complex CDTs, the fission of initial property rights bundle would influence the effectiveness of derivative credit property rights via the communication channel of "property rights composition-property rights nature-property rights function", and affect the steadiness of new credit governance structure. Specifically, factors that undermine the steadiness of complex derivative transaction governance structure are mainly the following:First, it is very difficult to provide a contract incentive for the credit-issuing institutions or asset management institutions to select the optimal actions due to deficiency of perceivable and indicative information.Second, complex derivative transactions lead to a structural fission of initial property rights bundle. Derivative property rights belong to mutually independent market entities in the new governance structure, and ultimately result in fragmentation of derivative property rights and unsteadiness of credit governance structure in the reallocating process of rights and responsibilities and interests.Third, the information strategy of credit-issuing institution and asset management institution depend on their complicated utility functions, which create externality of role conflicts, as they screen and control as the credit-issuers and potential beneficiaries. Under the current business confidential principle, the strategy possibly causes damage to the interest of other stakeholders.What’s the real cause of the subprime crisis? On one hand, complex derivative transactions in an extensive global capital network generated a huge credit supply to drive up the U.S. housing market. On the other hand, complex CDTs led to the fission of credit assets property rights and the birth of new derivative property rights. Consequently the incompleteness of contract and the fragmentation of derivative property rights weakened the steadiness of credit governance structure, breeding the crisis.Hence, the reform of CDTs institutional system should entail a new order of international economy, a revision of international monetary system, an amendment of the endogenous incentive of CDTs institution, and an improvement of the international co-operation mechanism. In the meantime, with a rapidly growing economy, China stages up in the grand era of economic globalization and financial innovation. It’s compelling for China to establish a sound CDTs institutional system to further its economic growth. China’s policy makers should treat carefully the relationship between CDTs and the reform of financial system, foster a healthy environment for the development of the CDTs institutional system, improve the efficiency of market and the governance structure, and enhance the macro-management and regulation of CDTs.更多还原