“收益率宽幅”与美国次贷危机再回顾

A Review of the “Return Spread” and the Subprime Mortgage Crisis in the United States

美国次贷危机所引发的金融危机对世界经济造成了严重影响。从会计学收益的微观视角回顾次贷危机产生、发展的过程,分析货币政策、资产价格与会计收益的关系,对于防范金融风险和加强金融监管具有一定的参考价值。运用2000-2009年美联储基金利率变化与次贷危机爆发期间的房地产投资收益率数据,分析美联储的利率变化与房地产投资收益率的关系后发现:持续降息的刺激性货币政策导致持有货币性资产收益率走低、投资性房地产收益率持续走高,两者之间"收益率宽幅"的持续拉大,导致杠杆率攀升、资产泡沫加剧,为金融风险埋下隐患;紧缩的货币政策致使"收益率宽幅"突然收窄,资产泡沫破灭,引发了次贷危机。因此,通过"收益率宽幅"的变化以有效观察货币政策对资产价格、杠杆与资产泡沫的影响,从而为金融监管提供微观依据。

The subprime mortgage crisis in United States has had a serious impact on the world economy. This paper reviews the process of the emergence and development of the subprime mortgage crisis on the purpose of enhancing supervision and improving risk management, establishes a model containing monetary policies, asset price and accounting income, and analyses the relationship between the United States’ Fed interest rate and asset price, based on the data of Fed interest rate changes and the return rate of real estate in the U.S. from 2000 to 2009. It shows that the "return spread", caused by the lower rate of return of holding monetary assets while the investment in real estate continued to rise, eventually leaded to the rise of leverage and the aggravation of the asset bubble. When monetary policyturned contractionary and "return spread" narrowed suddenly, triggering the burst of bubbles and exposing the entire economy to financial crisis. Therefore, "return spread" reflects the effects of monetary policy on asset price, leverage and asset bubbles, and it provides a new perspective for financial regulating.