摘要
次贷危机是一场金融市场流动性紧缩的危机。在流动性紧缩的过程中,连接多个利益主体的资产证券化负有很大责任。本文采用计量经济理论中的VAR模型对次贷危机中资产证券化对金融市场流动性的影响进行实证分析,发现在次贷危机的演进过程中,资产证券化确实对金融市场的流动性产生了持久的负面冲击效应,并导致了流动性紧缩的传导和扩散。因此,必须加强对资产证券化产品的监管,防止资产证券化运作中的委托—代理问题,加强信息披露,提高信用评级的有效性,同时应从风险识别、风险预警和风险对策三个方面来构建资产证券化的风险预警机制。
The subprime mortgage crisis is a crunch crisis of the financial market liquidity. The asset securitization, connecting multiple benefit gainers, has a great responsibility for the process of liquidity crunch. By the VAR model of econometric theory, this paper empirically analyses the impacts of asset securitization on financial market liquidity in subprime mortgage crisis. The results show that the asset securitization indeed has lasting negative impacts on the liquidity of financial markets in the subprime mortgage crisis and leads to the conduction and diffusion of liquidity crunch. Therefore, it is necessary to supervise the asset securitization, prevent the principal-agent problem in the process of asset securitization, strengthen the information disclosure, improve the effectiveness of credit rating and meanwhile, to build the risk warning mechanism of asset securitization in three aeras, i.e. risk identification, risk warning and risk measures.
出处
《金融论坛》
CSSCI
北大核心
2011年第1期25-30,共6页
Finance Forum
关键词
次贷危机
资产证券化
金融市场
流动性
subprime mortgage crisis
asset securitization
financial market
liquidity
