美国住房金融市场的风险积聚研究

Research on the Risk Accumulation of the US Housing Financial Market

对美国住房政府赞助企业的风险管理工具和风险管理策略实践进行定性和定量分析评价的结果表明,在次贷危机中住房政府赞助企业风险积聚的原因是:住房政府赞助企业在风险管理工具的使用中为降低成本,采取了不完美对冲策略;为追求高收益,利用其较低的融资成本购买私人标准抵押贷款债券以获得套利收入;在不具备合理的目标实现路径时,向政府监管目标压力妥协,扩大了风险暴露。政策性金融机构的逐利行为会放大信贷风险,忽视监管目标的实现路径是风险积聚的隐患。因此,我国的政策性住房金融机构应该提高自主监管能力,建立完美风险管理策略。

In this paper, we conducted both qualitative and quantitative analysis of the risk management tools and practices of the US housing GSEs （government-sponsored enterprises）. It was found that the reasons for the risk accumulation of the GSEs in the subprime mortgage crisis are： （1） to reduce costs when using the risk management tools, the GSEs adopted the imperfect hedging strategy; （2） to pursue high returns, they took advantage of their relatively lower financing costs and bought private standard mortgage bonds in order to benefit through arbitrage; （3） while there was no reasonable pathway to attain the target, they pressured the government about the regulatory objectives, leading to the expansion of risk exposure. This paper thinks that the profits-reaping acts of the policy-related financial institutions will increase the credit risk, and ignoring the pathway to achieve the regulatory objectives is the latent danger behind the accumulation of risk. Therefore, China＇s policy-related housing financial institutions should improve their self-regulatory capacity in order to establish a perfect risk management strategy