美国资产证券化研究

发布时间：2018-03-21 20:32

本文选题：资产证券化　切入点：金融创新　出处：《西南财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：20世纪60、70年代,美国经济出现滞涨局面,美联储推行了利率市场化改革,信贷机构的利率风险、流动性风险等金融风险日益凸显。为适应金融市场的这一变化,资产证券化在政府的推动下发展起来。资产证券化是将流动性差的,但是具有可预期的未来收益的资产打包重组为可以销售的证券,卖给投资者而迅速回笼资金的一项金融创新工具,它的产生和发展也得益于信息技术的革命性发展。资产证券化在当时有效地解决了储蓄机构因发放大量长期贷款而造成的严重期限错配问题,盘活了资产,增强了储蓄机构资金流动性。以此为契机,资产证券化被日益广泛地应用到其他不同领域,并被其他国家借鉴使用。作为一项金融创新工具,资产证券化同时也给金融系统带来了新的风险,资产证券化的过度使用和过度创新被认为是造成次贷危机的重要原因之一。美国次贷危机给全球经济带来深重灾难,但是资产证券化并没有因此而消亡,美国监管机构在如何监管这项业务上进行了一系列改革,以规范和引导资产证券化的良性发展。我国在2005年开始试点资产证券化,在次贷危机的影响下08年后暂停试点。随着网络金融的创新发展和经济发展的客观需要,我国也在不断推动利率市场化,银行系统的流动性风险、期限错配风险也日益严重,中小企业的融资难问题以及我国在推进城市化进程中所面临的巨大资金缺口,金融系统面临更为严格的资本约束都需通过资产证券化途径,盘活资产增加流动性。在2012年我国重启资产证券化试点,2013年加快了试点节奏,扩大试点规模3000亿元。2014年证监会表示将全面推动资产证券化深入发展,大力发展应收账款证券化等企业资产证券化业务,借鉴成熟市场,加强立法研究和立法建议。从我国开始的试点来看,政府部门始终保持审慎的态度,注重对风险的防范。截止2013年底,我国发行证券化产品约为1408亿元,信贷支持产品占比为72.88%,其中基础资产主要是优质贷款；证券类产品占比为27.12%,其基础资产主要是国资企业类资产。在扩大的试点规模中,国开行获得1000亿元的配额,其主要也是满足国有企业的资产证券化需求。与美国资产证券化的发展相比,我国的资产证券化发展处于初步发展的阶段,因此,研究美国资产证券化,从中汲取经验和教训,结合我国资产证券化发展的现状,为更好地发展我国资产证券化提供经验与借鉴具有重要的现实意义。本文主要是从金融监管和金融创新的视角研究美国的资产证券化,分析在其发展的过程中与金融监管之间的相互联系和影响。本文运用历史分析与现实分析相结合的方法,定量分析与定性分析相结合的方法,以资产证券化的相关理论为依托,首先以历史为主线,从金融创新和金融监管的视角,研究美国资产证券化的发展历程,并论述了资产证券化带来的影响、潜在的风险以及给金融监管带来的风险,在分析资产证券化的积极影响时先给出定性的分析,再结合具体数据,借助EViews对证券化的积极影响进行实证检验；其次是以次贷危机为案例分析了次贷危机的发展过程以及危机过后的监管改革；最后结合我国目前资产证券化发展的现状及存在的问题,试图从美国证券化发展历程中获得有益的启示。全文分为六章,具体结构如下：第一章为绪论,阐述了本文的选题背景和意义、梳理了资产证券化相关研究现状,阐述了本文的结构以及本文的创新和不足。第二章为相关理论概述。首先阐述了资产证券化的概念、一般运作流程以及资产证券化的现金流原理,它是证券化的基础。资产重组机制、风险隔离机制和信用增级机制。其次归纳了金融创新和金融监管的概念,归纳了金融创新的动因理论和金融监管基础理论。最后分析金融创新与金融监管的相互影响,得出金融创新与金融监管对立统一的关系。第三章回顾了美国资产证券化的发展历程。从金融创新和金融监管的角度,结合当时具体的经济环境等各个方面的因素分析,我们发现在美国资产证券化发展过程中,金融监管能够有效的引导和规范资产证券化的发展,证券化的发展也促进了金融监管的不断完善。但本文也说明金融监管不是资产证券化产生和发展的唯一原因,而是多种因素综合的结果。第四章分析了资产证券化的影响。作为一项金融创新,资产证券化为金融领域注入了活力,但同时也伴随着风险。本章从资产证券化的利弊两方面进行了论述,分析其积极的影响和消极影响,在分析积极影响部分时,先结合资产证券化的相关理论,定性地分析了资产证券化为金融领域带来的革新变化,再利用单位根检验、协整检验、线性回归模型等计量分析方法对美国商业银行具体数据进行检验,实证表明资产证券化对于提高商业银行的流动性具有显著作用；其次分析了资产证券化在没有适当金融监管下对金融系统造成的潜在风险,主要是造成系统性风险的可能,最后分析了资产证券化对金融监管本身造成的风险。第五章是在第四章分析的基础上研究了次贷危机的发生以及危机后的金融监管改革。资产证券化的过度使用和过度创新是次贷危机发生的重要原因,监管的缺失诱发了各方的道德风险,最终形成系统性风险。本章最后一部分梳理了次贷危机后美国一系列的监管改革,为最后一章发展我国资产证券化,提出参考意见做出铺垫。第六章主要是讲述美国资产证券化对我国的启示。首先分析了我国资产证券化的现状,具体有目前的规模和产品结构特征,其次分析了我国目前发展资产证券化过程中的相关问题,最后结合美国资产证券化的发展历程,特别是次贷危机后的监管改革,提出了对我国发展资产证券化的参考建议。
[Abstract]:In twentieth Century 60,70, the United States economic stagflation situation, the Fed implemented market-oriented interest rate reform, the credit mechanism of interest rate risk, liquidity risk, financial risk has become increasingly prominent. In order to adapt to the change of the financial market, Asset Securitization under the impetus of the government. The development of Asset Securitization is the poor liquidity however, with the expected future earnings assets reorganization can sell securities, a financial innovation tool sold to investors and the rapid return of funds, the emergence and development of information technology has also benefited from the revolutionary development. At the time of asset securitization can effectively solve the serious maturity mismatch problem by making savings institutions a large number of long-term loans caused, revitalize the assets, enhance the savings institutions liquidity. With this opportunity, asset securitization is widely applied to different fields, and Other countries use. As a tool of financial innovation, brings new risks of asset securitization also to the financial system, and the excessive use of excessive asset securitization is considered to be one of the important causes of the subprime mortgage crisis. The U.S. subprime mortgage crisis to the global economy brought grave disaster, but asset securitization is not so and die, US regulators conducted a series of reforms on how to regulate the business, to standardize and guide the benign development of asset securitization.
China began to pilot asset securitization in 2005, under the influence of the sub-prime crisis in 08 years suspended pilot. With the needs of network financial innovation and economic development, China is also constantly promote the marketization of interest rate, liquidity risk in the banking system, the maturity mismatch risk is becoming more and more serious, and the problem of our country facing the city in advance in the process of huge funding gap to the financing of small and medium enterprises, the financial system is facing more stringent capital constraints are required by the way of asset securitization, make an inventory of assets to increase liquidity. In 2012 the resumption of China's asset securitization pilot, the pilot in 2013 to accelerate the pace of expansion of the pilot scale, 300 billion yuan.2014 the Commission said it will comprehensively promote asset securitization development, vigorously develop the corporate accounts receivable securitization asset securitization business, learn from the mature market, strengthen the legislative research and legislative suggestions. Discussion. From the beginning of the pilot's point of view, the government has always maintained a cautious attitude, paying attention to the prevention of the risks. By the end of 2013, China's issuance of securitized products is about 140 billion 800 million yuan, credit products accounted for 72.88%, which is the basis of quality assets are mainly loans; securities products accounted for 27.12%, the the basic assets are mainly state-owned enterprise assets. In the pilot scale, CDB 100 billion yuan quota, the main asset securitization is to meet the needs of state-owned enterprises. Compared with the development of asset securitization in the United States, the development of asset securitization in our country is still at the preliminary stage of development, therefore, the study of asset securitization and learn from the experience and lessons learned, combined with the status quo of the development of asset securitization in our country, for the better development of China's asset securitization to provide experience and reference has important practical significance.
This paper studies asset securitization in the United States from the perspective of financial regulation and financial innovation, and analyzes the relationship and influence between financial regulation and its development process.
This paper uses the method of combining historical analysis and realistic analysis, quantitative analysis and qualitative analysis, based on the related theory of Asset Securitization Based on the first in history, from the perspective of financial innovation and financial supervision of asset securitization in the United States, development process, and discusses the impact of asset securitization the potential risks and risks to financial supervision, in the positive impact of asset securitization, the analysis is first given qualitative, combined with the specific data, with the help of EViews positive impact on Securitization empirical test; the second is taking the case of the subprime crisis after the development process of the subprime mortgage crisis and the crisis finally, in connection with the current regulatory reform; asset securitization development in China and the existing problems, trying to obtain beneficial enlightenment from the development of the American securitization. This paper is divided For the six chapter, the concrete structure is as follows:
The first chapter is the introduction, which describes the background and significance of this paper, combs the related research status of asset securitization, and expounds the structure of this paper, as well as the innovation and deficiency of this paper.
The second chapter is an overview of the relevant theory. First elaborated the concept of asset securitization, general operation flow and asset securitization cash flow principle, which is the foundation of securitization. Asset restructuring mechanism, risk isolation mechanism and credit enhancement mechanism. Secondly summarized the concept of financial innovation and financial supervision, summarizes the theory of motivation theory the basis of financial innovation and financial supervision. Finally, the analysis of interaction between financial innovation and financial supervision and the relationship between the unity of opposites of financial innovation and financial supervision.
The third chapter reviews the development of asset securitization in the United States. From the perspective of financial innovation and financial supervision, combining the factors of the specific economic environment and other aspects of the analysis, we found that in the United States the development of asset securitization in the process of financial supervision can effectively guide and regulate the development of asset securitization, securitization of development to promote the perfection of financial supervision. But this paper also shows that the financial supervision is not only cause the emergence and development of asset securitization, but various factors result.
The fourth chapter analyzes the influence of asset securitization as a financial innovation, asset securitization for the financial sector has injected vitality, but also accompanied by risks. This chapter from the two aspects of the pros and cons of asset securitization are discussed, analyzed the positive and negative effects, positive effects in the analysis. First, combined with the theory of asset securitization, qualitative analysis of asset securitization innovation changes in financial field, and then use the unit root test, cointegration analysis, linear regression model and other measurement methods to test the commercial bank specific data, empirical evidence shows that asset securitization has a significant effect to improve the liquidity of commercial banks the analysis of asset securitization; secondly, the potential risk caused in the absence of adequate financial supervision under the financial system, is mainly caused by systemic risk, the final analysis of the assets card Voucher's risks to financial regulation itself.
The fifth chapter is based on the fourth chapter of the sub-prime crisis and post crisis financial regulatory reform. And the excessive use of excessive asset securitization is an important cause of the subprime crisis, the absence of supervision of the moral hazard of all parties, and ultimately the formation of systemic risk. A series of the US regulatory reform last part of the chapter reviews after the subprime crisis, for the last chapter of the development of asset securitization in our country, put forward suggestions to make bedding.
The sixth chapter is mainly about the asset securitization enlightenment. Firstly analyzed the status quo of China's asset securitization, specifically the current scale and product structure characteristics, followed by analysis of the related problems in the process of asset securitization, the current development of our country, and finally combined with the development of asset securitization in the United States, especially after the subprime mortgage crisis regulatory reform, put forward the development of China's asset securitization proposals.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F837.12;F832.51

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