美国金融体系的利率风险分析——以次贷危机的引发和扩散为例

An Analysis on Interest Rate Risk of U.S.Financial System:Implication from Triggering and Spread of the Sub-prime Crisis

本文通过实证方法探讨次贷危机引发和扩散中的利率风险问题。主要结论是:从长期利率角度看,对房市的"松"货币政策从2001年降息一直持续到2005年6月;过低的长期利率会过度挤压金融机构放贷的长期收益,进而增大金融体系的利率风险。次贷危机的直接原因是,高利率、强美元导致的大量外资流入与混合调息抵押初始低利率相结合,共同推动了高风险次贷的发放;在高息和房价下跌条件下,大量混合调息抵押集中进入初次利率重置期,导致次贷违约状况的急速恶化。次贷危机扩散中,尽管联邦基金利率快速下降,但高风险的金融环境导致低利率对增加金融市场流动性的刺激作用失效。

This paper conducts an empirical analysis on the dynamics of interest rates risk in the subprime crisis. Seen from long-term interest rate, ＂easing＂ monetary policy towards US housing market began in 2001 and ended in June 2005; extremely low long-term interest rate eroded yields on long-term loan and amplified the interest rate risk of US financial system. The subprime crisis was directly caused by lax extending of high-risk subprime loans, which was stimulated both by large scale foreign capital inflow backed by high federal fund rate and strong dollar, and low initial interest rates of US home loans. Under the condition of high interest rates and decreasing house prices, large amount of adjustable rate mortgages （ARMs） and the initial rate reset rapidly aggravated default of subprime mortgages. Even though the Fed decreased the fund rates rapidly to contain the crisis, it is impotent to stimulate supply of market liquidity due to the increasing default risks spreading across financial markets.