信贷资产证券化对中国经济波动的影响分析

发布时间：2018-03-07 00:17

本文选题：信贷资产证券化　切入点：信贷效应　出处：《北京科技大学》2017年博士论文　论文类型：学位论文

【摘要】：近年来随着中国经济发展进入调整与换挡的新常态时期,经济发展方式正发生转变,金融创新也加速推进。2012年以来信贷资产证券化发展迅速,成为金融创新的亮点。信贷资产证券化的发展能够为金融市场注入活力,有利于经济发展,但也存在隐患,美国信贷资产证券化的过度发展,引致了2007年次贷危机,对美国及全球经济都产生了严重冲击。因此推进信贷资产证券化发展之际,洞悉信贷资产证券化对经济运行的影响十分重要。本文进行了以下几点创新研究,深入分析了信贷资产证券化对中国经济波动的影响。第一,基于实例解析构建了信贷资产证券化影响信贷规模的理论模型,分析了信贷资产证券化对信贷规模的影响机制和影响效应。第二,将信贷资产证券化对信贷规模的影响效应引入动态随机一般均衡(DSGE)模型,以信贷为渠道,打通了信贷资产证券化影响信贷规模、信贷规模变化影响宏观经济运行的理论机制,构建了一个分析信贷资产证券化对经济波动影响的宏观经济模型。第三,基于模型进行数量分析,重点考察了信贷资产证券化对中国经济波动的影响效应,并进一步揭示了信贷资产证券化影响宏观经济波动的内在机制与路径。(1)信贷资产证券化对信贷规模影响的分析结果表明：第一,在信贷资产证券化经营模式下,银行信贷乘数会有所扩张,进一步的理论剖析发现,对于进行信贷资产证券化的银行来说,其每一期的信贷规模,都要大于不进行信贷资产证券化的银行,说明信贷资产证券化会促进银行信贷扩张,从而促进整体经济信贷规模扩张。第二,信贷资产证券化能够使银行获得超额收益,加速银行部门自有资本积累,在此效应下,信贷资产证券化对信贷扩张的促进效应会逐渐增强。这些结论都说明信贷资产证券会促进信贷扩张。(2)信贷资产证券化对经济波动影响的理论分析结果表明：信贷是宏观经济波动的重要影响因素,而信贷资产证券化会对信贷规模产生影响；以信贷为桥梁,将信贷资产证券化对信贷规模的影响效应引入DSGE模型后,信贷资产证券化影响信贷规模、信贷规模变化影响宏观经济波动,这两种机制在DSGE模型中实现了衔接融合。DSGE模型的理论分析结果表明,信贷资产证券化会通过信贷渠道对宏观经济运行产生重要影响,进而影响经济波动。(3)信贷资产证券化对经济波动影响的数量分析结果表明：第一,信贷资产证券化的信贷扩张效应,使金融市场信贷环境更加宽松,经济运行活跃度提升,有利于刺激经济增长。第二,在信贷资产证券化刺激经济运行活跃度提升的同时,经济运行的波动幅度也被放大,经济运行的顶点更高、底点更低,周期落差变大,经济波动加剧；随着信贷资产证券化发展进程中信贷扩张效应的增强,经济波动加剧会愈演愈烈,信贷资产证券化也存在加剧经济波动甚至引发剧烈经济波动的风险。这些表明信贷资产证券化对宏观经济运行是一把利弊共存的“双刃剑”,中国既要利用信贷资产证券化有利一面为金融市场注入活力,助力经济转型发展：也要注意规避其加剧经济波动的风险,循序渐进的推进信贷资产证券化发展。
[Abstract]:In recent years, with the economic development China into the adjustment and shift of the new normal period, the mode of economic development is changing, financial innovation is accelerating.2012 years of credit asset securitization in the rapid development of financial innovation, become the highlights. The development of credit asset securitization to inject vitality into the financial market, is conducive to economic development, but also exist hidden dangers, the excessive development of American credit asset securitization, caused the subprime crisis of 2007, has had a serious impact on the United States and the global economy. Therefore, the promotion of credit asset securitization development, insight into the credit asset securitization impact on the economy is very important. This paper carried out the following research, in-depth analysis credit asset securitization Chinese effect on economic fluctuations. First, analysis construct a theoretical model of the credit scale of Credit Asset Securitization Based on the analysis. The credit asset securitization impact mechanism and the effect of the size of credit. Second, the credit asset securitization effects on credit scale introduction of dynamic stochastic general equilibrium (DSGE) model on credit channel, through the impact of the credit scale of credit asset securitization theory, mechanism of the macroeconomic effects of changes in the size of credit. The construction of macroeconomic model influence on economic fluctuation in an analysis of credit asset securitization. In third, the number of models based on the analysis focuses on the credit asset securitization China effect on economic fluctuation, and further reveals the inner mechanism and path of macroeconomic fluctuations of the credit asset securitization of credit assets (1). The securitization of the credit scale effect analysis results show that: first, in the business model of credit asset securitization, bank credit multiplier will be further expanded. The theoretical analysis showed that for the securitization of credit assets of banks, each period must be greater than the size of credit, not credit asset securitization of bank credit asset securitization, that will promote the expansion of bank credit, so as to promote the overall economic expansion. Second the size of credit, credit asset securitization enables the bank to obtain excess revenue, accelerate the banking sector capital accumulation, in effect, credit asset securitization of credit expansion effect will be gradually enhanced. These results indicate that credit asset securitization will promote credit expansion. (2) the results of the theoretical analysis of credit asset securitization impact on economic fluctuation shows that credit is an important factor affecting the macroeconomic fluctuation however, the securitization of credit assets will affect the credit scale; to credit for the bridge, the credit asset securitization of the credit scale effect theory After the DSGE model, the impact of the credit scale of credit asset securitization, credit scale changes in macroeconomic fluctuations, these two kinds of mechanisms in the DSGE model to achieve the theoretical analysis of cohesion fusion.DSGE model show that the credit asset securitization will have an important impact on the macro economy through the credit channel, thereby affecting the economic fluctuation (3). The results of quantitative analysis of credit asset securitization impact on economic fluctuation shows that: first, credit expansion effect of credit asset securitization, the more relaxed credit environment of financial market, economic activity improved, is conducive to stimulating economic growth. In second, the securitization of credit assets to stimulate economic activity to enhance the operation at the same time, economic fluctuations the operation has been enlarged, the economic operation of the vertex is higher, the end point is lower, the cycle gap becomes large, economic volatility; with the credit asset securitization development. Enhance the credit expansion effect in the process of economic volatility will be intensified, credit asset securitization has increased the risk of economic fluctuations and even lead to severe economic fluctuations. These indicate that the credit asset securitization on the macro economic operation is the coexistence of advantages and disadvantages of "double-edged sword", Chinese should use credit asset securitization for financial advantage market vitality, economic restructuring and development of power: should pay attention to avoid the risk of fluctuations in economy, gradual advance credit asset securitization development.

【学位授予单位】：北京科技大学
【学位级别】：博士
【学位授予年份】：2017
【分类号】：F832.51;F124.8

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