关于美国次贷危机严重性的实证判断

Empirical Judgment of the Seriousness of American Subprime Crisis

本文从六重视角对2007～2009年的美国次贷危机严重性作了实证判断。主要结论是:本轮次贷违约的恶化程度及速度在美国房贷史上空前;危机的爆发和加重与2004～2006年高风险、低质量次贷(the subprime loans with high-risk and low-quality)的过度发放关系密切;目前非机构抵押债券(Non-agency MBS)已停发,抵押债券发行市场(market of MBS issuance)全部依赖政府和政府资助企业的支撑;决定投行命运的关键因素不是高倍杠杆率(high leverage rate),而是引发资产质量下降的违约问题;五大投行的倒闭、兼并和转型,标志着次贷危机最严重的阶段已经过去。作者预计2009年因次贷发放风险导致的违约压力将逐渐减轻,但因经济衰退带来的违约压力会继续加重;次贷违约率将进一步上升,但上升幅度呈收缩趋势;金融市场的动荡局面将归于平静;未来美国经济可能不会陷入深度衰退,但经济的低迷可能会持续较长时间。

The article makes an empirical judgment of the seriousness of the subprime crisis from 2007 through 2009 from a six dimensional angle.The conclusion is:the seriousness and worsening speed of the current subprime default is unprecedented in American morgage history.The outbreak and worsening of the crisis is closely linked with the extensive issuance of the subprime loans with high risk and low quality.Currently,the issuance of non-agency MBS has ceased and the market of MBS issuance totally relies on the support of government and government-funded enterprises.The fate of investment banks is determined not by high leverage rate but by default which leads to the lowering of asset quality.The bankruptcy,merging and transformation of the five investment banks signified the passing of the most serious stage of the subprime crisis.The author expects that in 2009 the default pressure caused by the risk of over-issuance of subprime loans will reduce while the default pressure caused by economic recession will increase;the default rate will go up but the increase scale will be narrowed.The turbulent situation of the financial market will calm down and American economy may not fall into deep recession in the future but will remain in poor performance for a relatively long period of time.