本文選題：信貸資產(chǎn)證券化　切入點：信貸效應(yīng)　出處：《北京科技大學(xué)》2017年博士論文　論文類型：學(xué)位論文

【摘要】：近年來隨著中國經(jīng)濟發(fā)展進入調(diào)整與換擋的新常態(tài)時期,經(jīng)濟發(fā)展方式正發(fā)生轉(zhuǎn)變,金融創(chuàng)新也加速推進。2012年以來信貸資產(chǎn)證券化發(fā)展迅速,成為金融創(chuàng)新的亮點。信貸資產(chǎn)證券化的發(fā)展能夠為金融市場注入活力,有利于經(jīng)濟發(fā)展,但也存在隱患,美國信貸資產(chǎn)證券化的過度發(fā)展,引致了2007年次貸危機,對美國及全球經(jīng)濟都產(chǎn)生了嚴重沖擊。因此推進信貸資產(chǎn)證券化發(fā)展之際,洞悉信貸資產(chǎn)證券化對經(jīng)濟運行的影響十分重要。本文進行了以下幾點創(chuàng)新研究,深入分析了信貸資產(chǎn)證券化對中國經(jīng)濟波動的影響。第一,基于實例解析構(gòu)建了信貸資產(chǎn)證券化影響信貸規(guī)模的理論模型,分析了信貸資產(chǎn)證券化對信貸規(guī)模的影響機制和影響效應(yīng)。第二,將信貸資產(chǎn)證券化對信貸規(guī)模的影響效應(yīng)引入動態(tài)隨機一般均衡(DSGE)模型,以信貸為渠道,打通了信貸資產(chǎn)證券化影響信貸規(guī)模、信貸規(guī)模變化影響宏觀經(jīng)濟運行的理論機制,構(gòu)建了一個分析信貸資產(chǎn)證券化對經(jīng)濟波動影響的宏觀經(jīng)濟模型。第三,基于模型進行數(shù)量分析,重點考察了信貸資產(chǎn)證券化對中國經(jīng)濟波動的影響效應(yīng),并進一步揭示了信貸資產(chǎn)證券化影響宏觀經(jīng)濟波動的內(nèi)在機制與路徑。(1)信貸資產(chǎn)證券化對信貸規(guī)模影響的分析結(jié)果表明：第一,在信貸資產(chǎn)證券化經(jīng)營模式下,銀行信貸乘數(shù)會有所擴張,進一步的理論剖析發(fā)現(xiàn),對于進行信貸資產(chǎn)證券化的銀行來說,其每一期的信貸規(guī)模,都要大于不進行信貸資產(chǎn)證券化的銀行,說明信貸資產(chǎn)證券化會促進銀行信貸擴張,從而促進整體經(jīng)濟信貸規(guī)模擴張。第二,信貸資產(chǎn)證券化能夠使銀行獲得超額收益,加速銀行部門自有資本積累,在此效應(yīng)下,信貸資產(chǎn)證券化對信貸擴張的促進效應(yīng)會逐漸增強。這些結(jié)論都說明信貸資產(chǎn)證券會促進信貸擴張。(2)信貸資產(chǎn)證券化對經(jīng)濟波動影響的理論分析結(jié)果表明：信貸是宏觀經(jīng)濟波動的重要影響因素,而信貸資產(chǎn)證券化會對信貸規(guī)模產(chǎn)生影響；以信貸為橋梁,將信貸資產(chǎn)證券化對信貸規(guī)模的影響效應(yīng)引入DSGE模型后,信貸資產(chǎn)證券化影響信貸規(guī)模、信貸規(guī)模變化影響宏觀經(jīng)濟波動,這兩種機制在DSGE模型中實現(xiàn)了銜接融合。DSGE模型的理論分析結(jié)果表明,信貸資產(chǎn)證券化會通過信貸渠道對宏觀經(jīng)濟運行產(chǎn)生重要影響,進而影響經(jīng)濟波動。(3)信貸資產(chǎn)證券化對經(jīng)濟波動影響的數(shù)量分析結(jié)果表明：第一,信貸資產(chǎn)證券化的信貸擴張效應(yīng),使金融市場信貸環(huán)境更加寬松,經(jīng)濟運行活躍度提升,有利于刺激經(jīng)濟增長。第二,在信貸資產(chǎn)證券化刺激經(jīng)濟運行活躍度提升的同時,經(jīng)濟運行的波動幅度也被放大,經(jīng)濟運行的頂點更高、底點更低,周期落差變大,經(jīng)濟波動加�。浑S著信貸資產(chǎn)證券化發(fā)展進程中信貸擴張效應(yīng)的增強,經(jīng)濟波動加劇會愈演愈烈,信貸資產(chǎn)證券化也存在加劇經(jīng)濟波動甚至引發(fā)劇烈經(jīng)濟波動的風(fēng)險。這些表明信貸資產(chǎn)證券化對宏觀經(jīng)濟運行是一把利弊共存的“雙刃劍”,中國既要利用信貸資產(chǎn)證券化有利一面為金融市場注入活力,助力經(jīng)濟轉(zhuǎn)型發(fā)展：也要注意規(guī)避其加劇經(jīng)濟波動的風(fēng)險,循序漸進的推進信貸資產(chǎn)證券化發(fā)展。
[Abstract]:In recent years, with the economic development China into the adjustment and shift of the new normal period, the mode of economic development is changing, financial innovation is accelerating.2012 years of credit asset securitization in the rapid development of financial innovation, become the highlights. The development of credit asset securitization to inject vitality into the financial market, is conducive to economic development, but also exist hidden dangers, the excessive development of American credit asset securitization, caused the subprime crisis of 2007, has had a serious impact on the United States and the global economy. Therefore, the promotion of credit asset securitization development, insight into the credit asset securitization impact on the economy is very important. This paper carried out the following research, in-depth analysis credit asset securitization Chinese effect on economic fluctuations. First, analysis construct a theoretical model of the credit scale of Credit Asset Securitization Based on the analysis. The credit asset securitization impact mechanism and the effect of the size of credit. Second, the credit asset securitization effects on credit scale introduction of dynamic stochastic general equilibrium (DSGE) model on credit channel, through the impact of the credit scale of credit asset securitization theory, mechanism of the macroeconomic effects of changes in the size of credit. The construction of macroeconomic model influence on economic fluctuation in an analysis of credit asset securitization. In third, the number of models based on the analysis focuses on the credit asset securitization China effect on economic fluctuation, and further reveals the inner mechanism and path of macroeconomic fluctuations of the credit asset securitization of credit assets (1). The securitization of the credit scale effect analysis results show that: first, in the business model of credit asset securitization, bank credit multiplier will be further expanded. The theoretical analysis showed that for the securitization of credit assets of banks, each period must be greater than the size of credit, not credit asset securitization of bank credit asset securitization, that will promote the expansion of bank credit, so as to promote the overall economic expansion. Second the size of credit, credit asset securitization enables the bank to obtain excess revenue, accelerate the banking sector capital accumulation, in effect, credit asset securitization of credit expansion effect will be gradually enhanced. These results indicate that credit asset securitization will promote credit expansion. (2) the results of the theoretical analysis of credit asset securitization impact on economic fluctuation shows that credit is an important factor affecting the macroeconomic fluctuation however, the securitization of credit assets will affect the credit scale; to credit for the bridge, the credit asset securitization of the credit scale effect theory After the DSGE model, the impact of the credit scale of credit asset securitization, credit scale changes in macroeconomic fluctuations, these two kinds of mechanisms in the DSGE model to achieve the theoretical analysis of cohesion fusion.DSGE model show that the credit asset securitization will have an important impact on the macro economy through the credit channel, thereby affecting the economic fluctuation (3). The results of quantitative analysis of credit asset securitization impact on economic fluctuation shows that: first, credit expansion effect of credit asset securitization, the more relaxed credit environment of financial market, economic activity improved, is conducive to stimulating economic growth. In second, the securitization of credit assets to stimulate economic activity to enhance the operation at the same time, economic fluctuations the operation has been enlarged, the economic operation of the vertex is higher, the end point is lower, the cycle gap becomes large, economic volatility; with the credit asset securitization development. Enhance the credit expansion effect in the process of economic volatility will be intensified, credit asset securitization has increased the risk of economic fluctuations and even lead to severe economic fluctuations. These indicate that the credit asset securitization on the macro economic operation is the coexistence of advantages and disadvantages of "double-edged sword", Chinese should use credit asset securitization for financial advantage market vitality, economic restructuring and development of power: should pay attention to avoid the risk of fluctuations in economy, gradual advance credit asset securitization development.

【學(xué)位授予單位】：北京科技大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2017
【分類號】：F832.51;F124.8

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