本文選題：資產(chǎn)證券化　切入點(diǎn)：微觀效應(yīng)　出處：《江西財經(jīng)大學(xué)》2012年碩士論文

【摘要】：資產(chǎn)證券化是推動經(jīng)濟(jì)金融發(fā)展的重要動力,是金融創(chuàng)新的重要成果。資產(chǎn)證券化作為一種創(chuàng)新,不僅促進(jìn)了全世界的金融活動,也加快推進(jìn)了全球金融一體化。資產(chǎn)證券化最傳統(tǒng)的意義主要體現(xiàn)在對傳統(tǒng)金融的改變,它促使金融中介向市場化轉(zhuǎn)變,不僅拓寬了資金需求與供給渠道,還提高了資產(chǎn)的市場流動性。它豐富了投資品種,擴(kuò)大了資本市場的規(guī)模,為銀行等金融機(jī)構(gòu)提供了多種風(fēng)險轉(zhuǎn)移工具與資產(chǎn)負(fù)債管理工具,將金融市場的運(yùn)作效率再提升一個檔次。經(jīng)過40余年的發(fā)展,資產(chǎn)證券化正逐漸發(fā)展成為世界金融市場的主要構(gòu)成力量。然而,本文研究發(fā)現(xiàn),資產(chǎn)證券化從微觀上會改變參與主體的激勵機(jī)制和信息結(jié)構(gòu),并且從宏觀上影響貨幣政策的傳導(dǎo)并產(chǎn)生系統(tǒng)性風(fēng)險,這些經(jīng)濟(jì)效應(yīng)很可能產(chǎn)生不良后果,美國次貸危機(jī)的爆發(fā)正是受這些經(jīng)濟(jì)效應(yīng)的影響而產(chǎn)生的。本文從宏觀和微觀兩個角度對資產(chǎn)證券化風(fēng)險進(jìn)行研究和細(xì)化分析,為資產(chǎn)證券化的風(fēng)險防范提供建議。本文的主要內(nèi)容如下： 第一,本文對參與資產(chǎn)證券化過程中的微觀個體可能產(chǎn)生的風(fēng)險進(jìn)行研究,發(fā)現(xiàn)資產(chǎn)證券化會改變參與主體的激勵機(jī)制。資產(chǎn)證券化產(chǎn)生后,銀行的審查激勵制度發(fā)生了改變,貸款模式從傳統(tǒng)的“發(fā)起——持有”模式向“發(fā)起——銷售”模式轉(zhuǎn)變。傳統(tǒng)的貸款模式就是銀行將資金貸出,這一資產(chǎn)記錄在資產(chǎn)負(fù)債表中,且不具有流動性；而資產(chǎn)證券化技術(shù)產(chǎn)生以后,銀行可以先發(fā)放貸款,然后將這一資產(chǎn)賣給特殊目的機(jī)構(gòu)收回資金,并且在賣出貸款的同時把信用風(fēng)險也轉(zhuǎn)移出去,從而形成所謂的“發(fā)起——銷售”貸款業(yè)務(wù)模式,通過證券化處理,貸款不再出現(xiàn)在銀行的資產(chǎn)負(fù)債表上,發(fā)起人不再承擔(dān)借款人是否償還貸款的風(fēng)險。兩種貸款業(yè)務(wù)模式的重大差異就表現(xiàn)在銀行的貸款審查激勵發(fā)生了改變,在知道自己發(fā)放的貸款可以賣出時,銀行不僅沒有動力去篩選資信好的借款人,甚至為了賺取收益,搶占市場,主動向資信不良的借款人提供貸款。 第二,本文通過研究資產(chǎn)證券化對銀行貸款的影響時發(fā)現(xiàn),資產(chǎn)證券化可能使信貸擴(kuò)張過度,超出政策制定者的預(yù)期。當(dāng)中央銀行采取緊縮政策時,資產(chǎn)證券化依然可以擴(kuò)張信貸,使央行調(diào)控?zé)o法達(dá)到預(yù)期目標(biāo)。另外,由于資產(chǎn)證券化極大的弱化了貨幣政策的傳導(dǎo)效果,它會通過銀行的資產(chǎn)負(fù)債表增加對于市場利率的沖擊,從而導(dǎo)致較低的利率彈性。其次,資產(chǎn)證券化及其鏈條的拉長,容易造成信息的缺失和不透明,使整個金融體系復(fù)雜化,不僅催生了大批中介機(jī)構(gòu)和盈利模式,而且催生了龐大的短期債務(wù)市場。顯然,資產(chǎn)證券化在宏觀方面對經(jīng)濟(jì)產(chǎn)生巨大的風(fēng)險。 第三,根據(jù)資產(chǎn)證券化在微觀和宏觀方面對經(jīng)濟(jì)產(chǎn)生的風(fēng)險,筆者認(rèn)為監(jiān)管機(jī)構(gòu)應(yīng)該進(jìn)行與之相關(guān)的一系列改革。首先我們必須增加交易信息的透明,尤其是資產(chǎn)池貸款構(gòu)成和利息收取的狀況,并根據(jù)實際情況增加商業(yè)銀行表外業(yè)務(wù)的信息披露。在產(chǎn)品細(xì)節(jié)設(shè)計方面,在發(fā)行人發(fā)行的產(chǎn)品中規(guī)定將發(fā)行人加入到利益既得方中,增加這一條款的目的是為了防止商業(yè)銀行在貸款發(fā)放過程中放松對被審查人資質(zhì)的審核。在宏觀方面,由于資產(chǎn)證券化的信貸創(chuàng)造功能弱化了貨幣政策效應(yīng),那么我國在推行資產(chǎn)證券化時,必須將其與利率市場化的改革相結(jié)合,在按照先貸款、后存款、逐步放開存貸款利率管制的既定路徑穩(wěn)步推進(jìn)的同時,進(jìn)一步完善和細(xì)化實施路線圖。同時鼓勵商業(yè)銀行綜合化經(jīng)營,營造良好的市場氛圍,促進(jìn)商業(yè)銀行加快轉(zhuǎn)型發(fā)展。
[Abstract]:Asset securitization is an important driving force to promote the development of economy and finance, is an important achievement of financial innovation. The asset securitization is a kind of innovation, not only to promote the world's financial activities, also accelerate the integration of global finance. Asset securitization is the most traditional significance is mainly reflected in the traditional financial change, it encourages financial intermediaries to the market transformation, not only broadens the channels of capital supply and demand, but also improve the liquidity of the market. It enriches the variety of investment, expand the scale of the capital market, provide the risk transfer tools and asset liability management tool for banks and other financial institutions, the financial market efficiency to improve a grade after 40 years of development, asset securitization is becoming the main force of the world financial market. However, this study found that the asset securitization from the micro perspective will change The incentive mechanism and the information structure of participants, and the impact of monetary policy from the macro transmission and produce systemic risk, the economic effect is likely to have adverse consequences, the U.S. subprime mortgage crisis is affected by the economic effect produced. This paper analyzed and refined the risk of asset securitization from the macro and the micro two angles, for asset securitization risk prevention suggestions. The main contents are as follows:
First, this paper studied the risk may have on individuals involved in asset securitization, asset securitization that will change the incentive mechanism of participants. Asset securitization has changed after the review of incentive system of banks, loans from the traditional mode of "initiated hold" mode to "launch sales" mode. The traditional lending model is bank lending funds, the assets recorded in the balance sheet, and does not have the liquidity; after the asset securitization technology, banks can make loans, then the assets sold to the SPV to recover the funds, the credit risk is transferred out and at the same time selling loans, thus forming the so-called "launch sales" loan business model, through securitization, loans are no longer in the bank's balance sheet, The sponsors no longer bear the risk if the borrower to repay the loan. The major difference between the two kinds of loan business model is changed in reviewing incentive of bank loan, in that their loans could be sold, the bank not only has the power to select a good credit loan, even in order to earn income, to seize the market, take the initiative to provide bad credit loans to borrowers.
Second, this paper found that impact on bank loans through the study of asset securitization, asset securitization may lead to excessive credit expansion, beyond the policymakers expected. When the central bank tightening policy, asset securitization can still expand credit, make the central bank can not reach the expected goal. In addition, the conduction effect of asset securitization the great weakening of the monetary policy, it will increase the market interest rate shocks through the bank's balance sheet, which leads to lower rates of flexibility. Secondly, the asset securitization and its chain stretched, easy to cause the lack of information and opaque, so that the entire financial system is complicated, not only gave birth to a large number of intermediary institutions and the profit model, and spawned a huge short-term debt market. Obviously, asset securitization in macro aspects have a great risk to the economy.
Third, according to the risk of asset securitization on the economy in the micro and macro aspects, the author thinks that regulators should make a series of reforming. First we must increase transaction information transparency, especially the asset pool loans constitute and the condition of the charge interest, and increase business table information disclosure of commercial banks, according to the actual. In the product detail design, the provisions in the issuer's products issued by the issuer will be added to the interests of both parties, this provision increases the purpose is to prevent the commercial banks in the loan to the audit qualification examination people relax in the process. In the macroscopic aspect, because the asset securitization credit creation function the weakening of the effect of monetary policy, so in the implementation of China's asset securitization, it must be the reform and marketization of interest rate in accordance with the combination of the first loan, after the gradual liberalization of deposit Meanwhile, we must further improve and refine the implementation of the roadmap. At the same time, we encourage the comprehensive operation of commercial banks, create a good market atmosphere, and accelerate the transformation and development of commercial banks.

【學(xué)位授予單位】：江西財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 李興法;王慶石;;基于CreditMetrics模型的商業(yè)銀行信用風(fēng)險應(yīng)用研究[J];財經(jīng)問題研究;2006年12期

2 舒樂;;我國商業(yè)銀行與資產(chǎn)證券化[J];科技和產(chǎn)業(yè);2010年02期

3 陳三毛;;美國信用評級業(yè)及其未來的監(jiān)管政策調(diào)整[J];當(dāng)代財經(jīng);2009年03期

4 蘇敬勤;宋華東;姜照華;;基于前景理論的資產(chǎn)證券化投資模型及模擬分析[J];大連理工大學(xué)學(xué)報(社會科學(xué)版);2009年04期

5 劉少波,林永森;美國資產(chǎn)證券化發(fā)展的新態(tài)勢及其啟示[J];南方金融;2000年03期

6 彭惠,李勇;不良資產(chǎn)證券化的收益分析與風(fēng)險管理——資產(chǎn)證券化對發(fā)起人的影響[J];國際金融研究;2004年06期

7 劉傳哲;史國慶;;住房抵押貸款支持證券定價模型的發(fā)展與啟示[J];國際金融研究;2006年09期

8 李嘉焱;陶長高;;資本市場、資產(chǎn)證券化與我國銀行經(jīng)營[J];國際融資;2006年11期

9 樓夢丹;陳婷;朱黎強(qiáng);;我國住房抵押貸款證券化產(chǎn)品定價模型[J];石家莊經(jīng)濟(jì)學(xué)院學(xué)報;2007年01期

10 劉健;加拿大的資產(chǎn)證券化和市場觀察[J];杭州金融研修學(xué)院學(xué)報;2004年10期

相關(guān)博士學(xué)位論文 前3條

1 呂川;資產(chǎn)證券化對金融體系的影響研究[D];華中科技大學(xué);2006年

2 王保岳;資產(chǎn)證券化風(fēng)險研究[D];中國社會科學(xué)院研究生院;2009年

3 王心如;資產(chǎn)證券化與金融穩(wěn)定的關(guān)聯(lián)性研究[D];吉林大學(xué);2010年

，

本文編號：1665307