资产证券化的供给和需求:文献综述

The Supply and Demand of Securitization: A Literature Review

本文从供给和需求层面梳理和评述了与资产证券化有关的理论文献。在供给层面,信息不对称假说认为打包和拆分有利于克服逆向选择,提高资产的流动性;监管套利假说认为证券化能够帮助银行规避最低资本监管,优化资本结构。在需求层面,风险重置假说认为资产证券化满足了投资者对安全资产的需求,而便利收益假说则认为资产支持证券缓解了金融交易中高质量担保品短缺的问题。然而,美国次贷危机的爆发揭露出资产证券化过程中的若干重要问题,这使得上述假说面临新的挑战。大量实证研究结果表明:拓宽融资来源、提高流动性是资产证券化的最主要动机;资产证券化对商业银行的风险管理、信贷供给和盈利能力具有显著的影响;证券化过程中存在显著的激励扭曲,尤其是道德风险。在梳理文献的基础上,本文指出迄今为止的证券化研究文献存在的一些局限。

This Article summarizes literatures about asset securitization from the perspective of supply and demand. On the supply side, information asymmetry hypothesis assumes that asset pooling and tranching can overcome adverse selection and improve asset liquidity while regulatory arbitrage hypothesis assumes that securitization can facilitate bank to circumvent capital requirement and to optimize capital structure. On the demand side, risk reallocation hypothesis assumes that securitization satisfies investors' demand for safe asset while convenience yield hypothesis assumes that ABSs mitigate the shortage of high quality collateral in financial deal. However, the subprime crisis revealed several problems in securitization. According to massive empirical analysis, exploiting funding resources and improving liquidity are main motivations of securitization. Securitization has significant impacts on commercial banks ' risk management, loan supply and profitability. There exists significant distortion of incentives in securitization process, especially moral hazard.