次贷证券化下金融机构的道德风险及危机传导

The Moral Hazard and Transmitting Crisis of Financial Institutions Under the Condition of Subprime Mortgage Securitization

次级抵押贷款证券化由于能够成功实现贷款风险的转移,为金融机构放松风险控制提供了条件,由此产生了极其严重的道德风险。次级贷款证券化、金融机构以市定价的会计记帐方法和以在险价值为基础的资产负债管理模式,导致危机从信贷市场传导至资本市场,而资产价格泡沫破灭通过负向财富效应对居民消费的抑制,通过托宾Q效应和金融加速器效应影响企业投资,使得危机从金融市场传导至实体经济。

Because the subprime mortgage secufitization can successfully transfer the credit risk and provide conditions for financial institutions to relax the risk control, it results in an extremely serious moral hazard. The subprime mortgage securitization, the mark to market accounting of financial institutions and the asset liability management model based on Value at Risk induce the crisis transfer from credit market to capital markets, but the bursting of asset price bubble restrain consumer through the negative wealth effect, and impact on business investment through the Tobin Q effect and finance accelerator effect, making the crisis transfer from financial market to the real economy.