本文選題：影子銀行系統(tǒng)　切入點(diǎn)：資產(chǎn)證券化　出處：《南開大學(xué)》2013年博士論文

【摘要】：2007年發(fā)生的美國金融危機(jī)造成了對(duì)新型金融產(chǎn)品及其中介結(jié)構(gòu)的沉重沖擊。自危機(jī)發(fā)生以來,對(duì)本次危機(jī)的起因、結(jié)果和影響機(jī)制的研究逐漸成為金融學(xué)研究的重點(diǎn)。而新型金融產(chǎn)品及其中介結(jié)構(gòu)在研究中則以“影子銀行系統(tǒng)”這樣一個(gè)整體性概念出現(xiàn)。作為新興的流動(dòng)性和信用創(chuàng)造體系,影子銀行系統(tǒng)與傳統(tǒng)銀行部門緊密相連且功能近似,但是其也有不直接吸收存款、杠桿率高、幾乎不受國家金融安全監(jiān)管、資產(chǎn)期限錯(cuò)配、交易鏈復(fù)雜等自身特性。 本次美國金融危機(jī)的爆發(fā)對(duì)世界經(jīng)濟(jì)格局和金融體系都產(chǎn)生了深遠(yuǎn)的影響,金融創(chuàng)新活動(dòng)對(duì)金融中介部門功能和安全設(shè)置的影響大幅提升。影子銀行系統(tǒng)作為一系列市場流動(dòng)性和銀行流動(dòng)性相互轉(zhuǎn)化的金融創(chuàng)新產(chǎn)品和市場機(jī)制,對(duì)其展開多角度研究是反思金融危機(jī)爆發(fā)原因,研究金融傳導(dǎo)機(jī)制,更新金融監(jiān)管方法和手段的重要途徑。 本文的結(jié)構(gòu)重點(diǎn)在于從創(chuàng)新性金融產(chǎn)品入手,建立短期產(chǎn)品維度為主,長期產(chǎn)品維度為輔的研究安排。對(duì)于影子銀行系統(tǒng)的已有研究中,關(guān)注金融產(chǎn)品影響的研究占有相當(dāng)數(shù)量。但其中對(duì)短期金融產(chǎn)品的研究最能體現(xiàn)影子銀行系統(tǒng)期限錯(cuò)配、累積金融風(fēng)險(xiǎn)的特性。在本文的研究框架中,重點(diǎn)關(guān)注的是ABCP(資產(chǎn)支持商業(yè)票據(jù))、repo(回購證券)、MMMF(貨幣市場共同基金)這三種短期金融產(chǎn)品。 ABCP在傳統(tǒng)意義上被認(rèn)為是“明確的商業(yè)銀行流動(dòng)性期權(quán)”。對(duì)實(shí)際數(shù)據(jù)的觀察可以發(fā)現(xiàn)：雖然危機(jī)期間銀行借貸是收縮的,但債券融資卻是呈增長趨勢的。本文以ABCP為觀察對(duì)象,建立了貸款與債券之間的替代性關(guān)聯(lián)模型。通過對(duì)非金融部門資金流向關(guān)系的觀察,建立了以美國家庭部門、美國借款人部門、歐洲銀行部門為主體的全球資金流動(dòng)體系,完成了金融危機(jī)期間銀行借貸和債券融資之間的替代性分析。對(duì)危機(jī)時(shí)期的市場表現(xiàn)進(jìn)行了較好的擬合與解釋說明。 repo在場外交易市場中是借方和貸方之間、證券與現(xiàn)金之間快速轉(zhuǎn)換的重要媒介。回購證券以其期限短、高流動(dòng)性的特征成為影子銀行系統(tǒng)中“現(xiàn)金”的表現(xiàn)形式。通過對(duì)repo市場建立潰逃機(jī)制分析,既能觀測影子銀行系統(tǒng)內(nèi)部產(chǎn)品傳染的作用方式,也能體現(xiàn)影子銀行系統(tǒng)期限錯(cuò)配的特性。本文基于證券化過程中基礎(chǔ)資產(chǎn)的不同組成形式,及其危機(jī)時(shí)期的不同重組方式選擇,對(duì)影子銀行系統(tǒng)內(nèi)部長期基礎(chǔ)資產(chǎn)崩潰引發(fā)短期衍生產(chǎn)品潰逃的連鎖反應(yīng)進(jìn)行了系統(tǒng)分析。從博弈的觀點(diǎn)將影子銀行系統(tǒng)潰逃機(jī)制歸結(jié)為危機(jī)時(shí)期不同的重組方式選擇,其中基礎(chǔ)資產(chǎn)的不同組成則是重組是否有效的關(guān)鍵因素。通過對(duì)美國repo市場建立潰逃機(jī)制和杠桿影響分析,并結(jié)合歐洲r(nóng)epo市場的變動(dòng)事實(shí),對(duì)全球repo市場交易特性予以說明。 在本文中,采取觀察MMMF市場表現(xiàn)的方式研究影子銀行系統(tǒng)與系統(tǒng)性風(fēng)險(xiǎn)的關(guān)聯(lián),比較MMMF的不同發(fā)行形式對(duì)其風(fēng)險(xiǎn)分擔(dān)機(jī)制的影響。將MMMF共分為在美國國內(nèi)發(fā)行和離岸發(fā)行兩種不同的發(fā)行方式,從其流動(dòng)特征、組織形式、持有者支持和持有者類型等幾個(gè)方面對(duì)風(fēng)險(xiǎn)選擇的影響進(jìn)行討論。分析結(jié)果認(rèn)為,美國國內(nèi)發(fā)行的MMMF產(chǎn)品不論自身的保險(xiǎn)機(jī)制設(shè)置情況如何,風(fēng)險(xiǎn)性高收益性高的資產(chǎn)是其較為偏好的資產(chǎn)類型。而對(duì)于離岸發(fā)行的MMMF(以歐洲為代表進(jìn)行分析),其自身因無保障性支持而風(fēng)險(xiǎn)水平較高,但是歐洲MMMF市場的整體風(fēng)險(xiǎn)水平較高,所以離岸產(chǎn)品的風(fēng)險(xiǎn)性并不顯著。所以從整體情況來看,MMMF基礎(chǔ)資產(chǎn)包含的風(fēng)險(xiǎn)水平是偏高的,應(yīng)該在未來的市場操作情況中進(jìn)一步加以規(guī)范。 在影子銀行系統(tǒng)中,MMMF將傳統(tǒng)銀行零散的資金進(jìn)行了整合；證券化(ABCP為其中重要參與者)將傳統(tǒng)銀行的資產(chǎn)轉(zhuǎn)移到表外,增進(jìn)了市場流動(dòng)性；repo將金融交易中的債券變成了新的形式的“貨幣”。再結(jié)合影子銀行的定義,可以看出：影子銀行系統(tǒng)的基底是ABS、MBS等資產(chǎn)證券化的債務(wù)融資,通過ABCP、repo、MMMF等金融產(chǎn)品實(shí)現(xiàn)了其流動(dòng)性和期限的轉(zhuǎn)化。而影子銀行信用中介流程中也包含了CDO、CDS等其他類型的金融產(chǎn)品,通過影子銀行系統(tǒng)的交易鏈,將上述產(chǎn)品整合成為信用創(chuàng)造的過程。 通過上述對(duì)國外影子銀行系統(tǒng)的研究,本文已經(jīng)對(duì)影子銀行系統(tǒng)發(fā)展的經(jīng)驗(yàn)和教訓(xùn)有了一定的掌握。那么在此基礎(chǔ)上,將之與中國的金融中介創(chuàng)新活動(dòng)進(jìn)行對(duì)照,提出建議和可行的方法也是理論研究的重要實(shí)踐應(yīng)用。本次美國金融危機(jī)是金融創(chuàng)新活動(dòng)安全性重建和監(jiān)管方法改革的契機(jī)。中國金融業(yè)應(yīng)借此機(jī)會(huì)一方面理清已存在的市場風(fēng)險(xiǎn),提升中國金融產(chǎn)業(yè)的市場安全度；另一方面開展與國內(nèi)市場需求相匹配的金融產(chǎn)品創(chuàng)新活動(dòng),抓住這次中國金融系統(tǒng)發(fā)展的重要機(jī)遇。
[Abstract]:The financial crisis of 2007 caused a heavy impact on the new financial products and intermediaries. Since the crisis, the cause of the crisis, the research results and influence mechanism has gradually become the focus of financial research, and new financial products and intermediaries in the study by the "shadow banking system" this one the whole concept of liquidity and credit system. As a new creation, the shadow banking system and the traditional banking sector are closely linked and function approximation, but it also has no direct deposits, high leverage, is almost not affected by the national financial safety supervision, asset maturity mismatch, the transaction chain complex characteristics.
The US financial crisis has had a far-reaching impact on the world economy and financial system, the impact of the financial innovative activities of the financial intermediary sector function and security settings increased dramatically. As a series of transformation between market liquidity and the liquidity of financial innovation products and the market mechanism of the shadow banking system, multi angle research the reflection of financial crisis, the research on the transmission mechanism of finance, an important way to update financial supervision methods and means.
This paper focuses on the structure starting from the innovation of financial products, the establishment of short-term product dimensions, arranged by studying the long-term product dimensions. For the existing of the shadow banking system, the research pay attention to the influence of financial products account for a considerable proportion. But the studies of short-term financial products can best embody the shadow banking system maturity mismatch, characteristics the accumulated financial risks. In the framework of this study, the focus is ABCP (ABCP), repo (repo), MMMF (money market mutual funds) these three kinds of short-term financial products.
ABCP in the traditional sense is considered to be the "liquidity option" clear commercial banks. To observe the actual data can be found: Although bank lending during the crisis is shrinking, but the bond financing is a growing trend. This paper takes ABCP as the object of observation, the establishment of alternative models for the association between loans and bonds. Through the observation of the non financial sector capital flows to the United States to establish relationships, family department, United States Department of global capital flows the borrower, the European bank department as the main body of the system, completed the analysis of alternative funds between bank lending and financial crisis during the crisis period. The bond market performance fit and well explain that.
Repo in the OTC market is between debit and credit, is an important medium for rapid conversion between securities and cash to repurchase securities. Its short duration, high mobility characteristics of the shadow banking system in the form of "cash". Through the establishment of collapse mechanism of repo market analysis, which can observe the internal effect of shadow banking products the system can also reflect the characteristics of the epidemic, the shadow banking system maturity mismatch. In this paper, different forms of foundation in the process of Asset Securitization Based on choice and crisis different ways of restructuring, the shadow banking system internal long-term asset base triggered the collapse of short-term derivatives flight chain reaction were analyzed. From the view of game the flight mechanism of the shadow banking system is attributed to choose the way of restructuring crisis is different, the different composition of basic assets is whether the restructuring The key factors of efficiency. Through the establishment of flight mechanism and lever effect on American repo market analysis, combined with changes in the European repo market, explains the transaction characteristics of the global repo market.
In this paper, take the related observation of MMMF market performance of the shadow banking system and systemic risk, the risk sharing mechanism of influence of different forms of distribution compared to the MMMF. The MMMF is divided into domestic and offshore issuance in the United States issued two different distribution methods, characteristics, flow from the organization form of Discussion on the influence of the choice of risk holders and holders of several support types. The analysis result indicates that the United States issued MMMF products regardless of insurance mechanism self set to high income high risk assets is the preferred type for offshore assets. The release of the MMMF (European representative analysis) because of its own, no security support and a high level of risk, but the overall risk level is higher in the European MMMF market, so the risk of offshore products is not significant. So from the whole As a matter of fact, the risk level of the MMMF basic assets is high and should be further standardized in the future market operation.
In the shadow banking system, the MMMF will fund the traditional banks scattered were integrated; Securitization (ABCP is one of the important participants) will be the traditional bank transfer of assets to the balance sheet, improve market liquidity; repo financial transactions of bonds into a new form of "money". Combined with the definition of the shadow the bank can be seen: the basement of the shadow banking system is ABS, MBS and other asset securitization debt financing through ABCP, repo, MMMF and other financial products to achieve the transformation of its liquidity and duration. And the credit intermediary process of shadow banking also contains CDO, CDS and other types of financial products through the shadow banking the transaction chain, these products will be integrated into the process of credit creation.
The study of foreign shadow banking system, this paper has experience and lessons for the development of the shadow banking system has a certain grasp. Then on this basis, the financial intermediary and Chinese innovation activities were important, practice suggestions and feasible method and theory research. This is the financial crisis in the United States safety supervision method of reconstruction and reform of financial innovation opportunity. China financial industry should take the opportunity to hand out the existing market risk, improve China financial industry market security; on the other hand to carry out financial product innovation activities to match the demand of domestic market, seize the important opportunity of the China financial system development.

【學(xué)位授予單位】：南開大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2013
【分類號(hào)】：F831.2

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