本文選題：美聯(lián)儲(chǔ)貨幣政策　切入點(diǎn)：量化寬松　出處：《吉林大學(xué)》2014年博士論文　論文類型：學(xué)位論文

【摘要】：美聯(lián)儲(chǔ)成立百年以來，不斷調(diào)整貨幣政策目標(biāo)，實(shí)施貨幣政策工具的調(diào)整與創(chuàng)新，逐漸將資產(chǎn)價(jià)格穩(wěn)定、金融穩(wěn)定納入到其政策體系當(dāng)中。在這一目標(biāo)下，美聯(lián)儲(chǔ)可以提前識(shí)別可能存在的資產(chǎn)價(jià)格泡沫，并采取逆向的事前主動(dòng)貨幣政策。隨著歷史的演變，美聯(lián)儲(chǔ)貨幣政策應(yīng)對經(jīng)濟(jì)危機(jī)、金融危機(jī)的態(tài)度和能力有了顯著的提升。貨幣政策工具從傳統(tǒng)的貼現(xiàn)窗口政策、法定準(zhǔn)備政策和公開市場操作三大工具，發(fā)展到2008年金融危機(jī)期間和后續(xù)時(shí)期推出的一系列非傳統(tǒng)貨幣政策工具，如針對不同機(jī)構(gòu)的不同創(chuàng)新工具和量化寬松，特別是本文重點(diǎn)討論的房產(chǎn)抵押債券的回購業(yè)務(wù)。美聯(lián)儲(chǔ)貨幣政策發(fā)展到今天，其影響超越了傳統(tǒng)的貨幣政策范圍，起到了一部分財(cái)政政策的職能，不僅可以調(diào)節(jié)資本市場的流動(dòng)性，也可以調(diào)節(jié)資本市場的結(jié)構(gòu)，同時(shí)對美國實(shí)體經(jīng)濟(jì)的結(jié)構(gòu)性調(diào)整和美國在國際金融市場的地位也產(chǎn)生了重大影響。 在金融危機(jī)爆發(fā)之后，美聯(lián)儲(chǔ)相繼推出了一系列貨幣政策創(chuàng)新，之后又推出了量化寬松QE1、QE2，扭曲操作OT1、OT2，量化寬松QE3、QE4。QE1和QE2給銀行系統(tǒng)注入了充足的流動(dòng)性，卻沒有刺激銀行對企業(yè)和個(gè)人發(fā)放貸款。OT1和OT2在保持QE1和QE2提供的流動(dòng)性基礎(chǔ)上，進(jìn)一步壓低了長期債券的收益率，也沒有激發(fā)商業(yè)銀行對企業(yè)和個(gè)人發(fā)放貸款。2011年8月的國債上限危機(jī)導(dǎo)致全球?qū)γ绹畏�(wěn)定、經(jīng)濟(jì)增長前景悲觀。美聯(lián)儲(chǔ)進(jìn)一步推出了更為激進(jìn)的量化寬松政策創(chuàng)新：QE3和QE4。QE3和QE4創(chuàng)新性的提出房產(chǎn)抵押債券（MBS）的回購業(yè)務(wù)，以美聯(lián)儲(chǔ)的優(yōu)質(zhì)資產(chǎn)置換銀行資產(chǎn)負(fù)債表上的高風(fēng)險(xiǎn)、高杠桿率的房產(chǎn)抵押債券余額，實(shí)質(zhì)性的增加了金融系統(tǒng)的流動(dòng)性，最終釋放了銀行的放貸能力，刺激了經(jīng)濟(jì)復(fù)蘇，并增加了就業(yè)。同時(shí)，大規(guī)模采購房產(chǎn)抵押債券整體上壓低了長期債券的價(jià)格，使得企業(yè)可以在債券市場以更低廉的成本融資，促進(jìn)了生產(chǎn)環(huán)節(jié)的流動(dòng)性。 美聯(lián)儲(chǔ)房產(chǎn)抵押債券的回購業(yè)務(wù)對刺激經(jīng)濟(jì)起效的關(guān)鍵在于房產(chǎn)抵押債券特殊的定價(jià)機(jī)制和風(fēng)險(xiǎn)特征。在房產(chǎn)抵押貸款的證券化過程中，債券發(fā)起人和特殊目的公司的破產(chǎn)隔離設(shè)計(jì)，對投資人是必要的法律保障。信用評級(jí)機(jī)構(gòu)對債券給出的信用評級(jí)讓投資人對債券的定價(jià)和風(fēng)險(xiǎn)程度有明晰的了解，信用增級(jí)增加了對投資人的保障。美國的房產(chǎn)抵押貸款幾乎可以在放貸的同時(shí)就生成房產(chǎn)抵押債券，改變了房產(chǎn)抵押貸款流動(dòng)性差，周期長的根本特征。房產(chǎn)抵押債券的結(jié)構(gòu)為了滿足投資者不同的需求和風(fēng)險(xiǎn)偏好也變得越來越復(fù)雜，從最初結(jié)構(gòu)簡單的過手型MBS衍生發(fā)展出來CMO，SMBSs等。各個(gè)具體類別MBS的早償風(fēng)險(xiǎn)特征分為緊縮風(fēng)險(xiǎn)和延期風(fēng)險(xiǎn)，早償風(fēng)險(xiǎn)的測量模型有靜態(tài)模型和動(dòng)態(tài)模型。基于房產(chǎn)抵押債券內(nèi)嵌的隱含期權(quán)可以通過期權(quán)調(diào)整利差（OAS）計(jì)算，在OAS的基礎(chǔ)上提出的有效久期和有效凸性理論進(jìn)一步完善了房產(chǎn)抵押債券的定價(jià)機(jī)制和風(fēng)險(xiǎn)模型。美聯(lián)儲(chǔ)房產(chǎn)抵押債券回購業(yè)務(wù)的貨幣政策創(chuàng)新，對世界各國央行的貨幣政策發(fā)展有著重要深遠(yuǎn)的影響。 美聯(lián)儲(chǔ)回購房產(chǎn)抵押債券，刺激了美國房市的復(fù)蘇和股市、債市的繁榮，同時(shí)直接扭轉(zhuǎn)了商業(yè)銀行由于房產(chǎn)抵押債券余額高企，惜貸的情形。商業(yè)銀行終于開始向生產(chǎn)和消費(fèi)環(huán)節(jié)大規(guī)模放貸，進(jìn)而增加了就業(yè)，降低了美國的失業(yè)率，并且使通貨膨脹逐漸回到美聯(lián)儲(chǔ)預(yù)期的理想?yún)^(qū)間，有效防范了通貨緊縮。在全球市場來看，美聯(lián)儲(chǔ)回購房產(chǎn)抵押債券，催生了美元套利交易。美元套利交易導(dǎo)致全球匯市、債市、股市和大宗商品市場進(jìn)入了一個(gè)新的美元主導(dǎo)的時(shí)代。“弱勢”美元削減了美國的債務(wù)負(fù)擔(dān)，縮減了其他國家的外匯儲(chǔ)備，使其被迫增加從美國進(jìn)口商品和對美國的直接投資。美元套利交易使得美元的流動(dòng)性外溢，打擊了各國的貨幣和資本市場。美聯(lián)儲(chǔ)房產(chǎn)抵押債券回購業(yè)務(wù)使美國成為各方面的大贏家，美元成為“披著羊皮的狼”，是美國新全球金融戰(zhàn)略掠奪財(cái)富的有力武器。 量化寬松產(chǎn)生的美元套利交易，加上美國在全球政治上的影響力，使得美國擁有了控制全球金融市場的“風(fēng)險(xiǎn)供給”水平的能力。美國可以根據(jù)需要，在任何時(shí)候觸發(fā)某個(gè)國家市場的風(fēng)險(xiǎn)爆發(fā)，讓套利資本回流美國本土，實(shí)現(xiàn)美元的避險(xiǎn)功能。美國憑借其對金融衍生品市場的控制權(quán)以及對國際信用評級(jí)機(jī)構(gòu)的監(jiān)管權(quán)力，實(shí)際上可以調(diào)節(jié)全球經(jīng)濟(jì)風(fēng)險(xiǎn)的大小，，這種能力成為美國削弱和打擊其潛在的競爭對手，如歐盟、中國、日本等國的重要手段和工具。 美聯(lián)儲(chǔ)房產(chǎn)抵押債券回購業(yè)務(wù)的成功經(jīng)驗(yàn)給中國央行提供很多貨幣政策方面的啟示：貨幣政策目標(biāo)的調(diào)整、貨幣政策工具的創(chuàng)新和利率市場化改革是央行前行的方向。房產(chǎn)抵押貸款證券化是解決中國房地產(chǎn)市場泡沫的一個(gè)途徑。中國目前僅有很少量的試點(diǎn)型房產(chǎn)抵押債券，在可操作性上目前還缺乏成熟的信用評級(jí)制度和信用評級(jí)機(jī)構(gòu)，但是美聯(lián)儲(chǔ)房產(chǎn)抵押債券回購業(yè)務(wù)的成功經(jīng)驗(yàn)給中國央行提供了解決問題的新思路。
[Abstract]:Since the establishment of the Federal Reserve for hundred years, constantly adjust the goal of monetary policy adjustment and innovation, the implementation of monetary policy tools, will gradually asset price stability and financial stability into its policy system. Under the objective, the Fed can advance to identify possible asset price bubbles, and take the initiative to reverse the advance of monetary policy with the evolution of history, the Fed's monetary policy response to the economic crisis, the financial crisis of the attitude and ability have been significantly improved. The tools of monetary policy from the traditional discount window policy, legal reserve policy and open market operations three tools, launched in 2008 to develop during the financial crisis and the subsequent period of a series of non traditional currency policy tools, such as different innovative tools for different institutions and quantitative easing, especially this paper focuses on the real estate mortgage bond repurchase business. The Fed's monetary policy Until today, its influence beyond the traditional scope of monetary policy, fiscal policy played a part in the function of liquidity can not only regulate the capital market structure, also can adjust the capital market, but also has a significant impact on the real economy and the structural adjustment of the position of the United States in the international financial market.
In the wake of the financial crisis, the Fed launched a series of monetary policy innovation, after the introduction of quantitative easing QE1, QE2, OT1, OT2, operation twist, quantitative easing QE3, QE4.QE1 and QE2 to inject sufficient liquidity to the banking system, but did not stimulate the bank for enterprises and personal loans to.OT1 and OT2 on the basis of QE1 and maintain the liquidity provided by QE2, and further down the long-term bond yields, did not stimulate commercial bank loans in August.2011 to the enterprise and individual debt crisis led to the global stability of the American political, economic growth prospects. The fed further introduced a more aggressive quantitative easing policy innovation QE3 and QE4.QE3 and QE4 proposed innovative mortgage bonds (MBS) the repurchase operations, to the Fed's high quality assets on bank balance sheets of high risk, high leverage ratio of real estate credit Mortgage bonds outstanding, a substantial increase in liquidity in the financial system, the final release of the bank's lending capacity to stimulate economic recovery, and increased employment. At the same time, large-scale purchase of mortgage bonds overall down long-term bond prices, making enterprises in the bond market at a lower cost of financing, promote the liquidity of production.
The Fed's key mortgage bond repurchase business of stimulus onset is the pricing mechanism and risk characteristics of real estate mortgage bonds special. In the process of securitization of real estate mortgage loans, bonds and bankruptcy isolation design sponsor Special Purpose Company, for investors is the necessary legal protection. The credit rating agency credit rating of bonds are made the investor has a clear understanding of the bond pricing and the degree of risk, credit enhancement increased investor protection. American mortgage lending in the meantime almost can generate real estate mortgage bonds, mortgage loans changed poor liquidity, the fundamental characteristics of long period structure. In order to meet the real estate mortgage bond investors different needs and risk appetite has become more and more complex, the development of CMO, derived from her MBS first SMBSs. The structure is simple A specific category MBS prepayment risk characteristics into deflation risk and extension risk, prepayment risk measurement model with static model and dynamic model. Based on the implicit option mortgage bonds can be embedded by the option adjusted spread (OAS) calculation theory, effective duration and convexity is proposed on the basis of OAS to further improve the pricing mechanism and risk model of real estate mortgage bonds. The innovation of monetary policy the Fed's mortgage bond repurchase business, has important and far-reaching impact on the development of the world's central banks monetary policy.
The Fed's repurchase mortgage bonds to stimulate the U.S. recovery in the housing market and the stock market, bond market prosperity, also directly reversed the commercial bank for the mortgage bond balance high credit crunch situation. Commercial banks finally began to the production and consumption of large-scale lending, and increase employment and reduce the unemployment rate in the United States, ideal the interval and inflation gradually back to expectations that the Federal Reserve, effectively preventing deflation. In the global market, the Fed's repurchase mortgage bonds, spawned a dollar carry trade. Dollar arbitrage caused by global currencies, bonds, stock and commodity markets have entered a new dollar dominated era. "The dollar cut America's debt burden, reduce the foreign exchange reserves of other countries, it was forced to increase imports from the United States and direct investment in the United States dollar arbitrage. It is easy to spill the liquidity of the US dollar and strike the currencies and capital markets of all countries. The Fed's repurchase business makes the us a big winner in all aspects. The US dollar has become a wolf in sheep's clothing, and a powerful weapon for us to seize wealth by the new global financial strategy.
Quantitative easing the dollar carry trade, with the United States in the global political influence, makes the United States has control of the global financial market risk of "supply" level of ability. The United States can according to the needs of a national market risk triggered the outbreak at any time, let the arbitrage capital back into the United States, the dollar hedge functions the United States. By virtue of its financial derivatives market control and supervision of the international credit rating agencies in the global economic power, can adjust the size of the risk, the ability to become the United States to weaken and hit the potential competitors, such as the European Union, Chinese, an important tool to Japan and other countries.
The successful experience of the Fed's mortgage bond repurchase business to provide a lot of Chinese central bank monetary policy implications: the goal of monetary policy adjustment, innovation of tools of monetary policy and interest rate reform is the central bank's direction. The real estate mortgage securitization is a way to solve the Chinese real estate market bubble. China is currently the only pilot type a small amount of mortgage bonds, in the operation of the current lack of mature credit rating system and credit rating agencies, but the successful experience of the Fed's bond repurchase business real estate mortgage to the Chinese central bank provides a new way to solve the problem.

【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2014
【分類號(hào)】：F827.12;F293.3

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