资产证券化的信贷规模扩张效应及房地产价格泡沫研究

The Credit Expansion Effect of Asset Securitization and the Real Estate Price Bubble

资产证券化在创新初始被当作是金融机构增加流动性、进行信用风险管理的一种有效手段,而次贷危机的爆发却充分暴露了资产证券化业务发展到一定阶段所聚集的系统性风险。本文通过建立金融体系结构模型,并采用杠杆倍数模型进行研究,发现危机前资产证券化业务是美国银行体系扩大资金来源、支持房地产信贷扩张、进而助推房地产价格泡沫的一个重要途径。最后,本文提出我国商业银行体系应在充分吸收美国次贷危机教训的基础上大力发展资产证券化业务,从而减缓商业银行资本金补充压力、平滑信贷波动以及改善资产负债期限错配等问题,为金融体系提供新的流动性管理机制。

The most initial motives of bank's securitization are increasing liquidity and managing the credit risk,but the outbreak of subprime mortgage crisis fully reflects the accumulation of systemic risks when the asset securitization business developed to a certain stage.In this paper,the author establishes a theoretical model to illustrate that pre-crisis securitization business is an important way,through which,the U.S.banking system increases the size of funding to support the expansion of real estate credit,and to boost the real estate price bubble.For the current stage,in terms of the domestic banking system,China should vigorously develop the securitization business,which may mitigate asset complement burden,alleviate fluctuation of credit and partly solve the issue of asset mismatch in order to provide a new liquidity management framework.