资产证券化的供给和需求:文献综述

发布时间：2018-01-22 03:18

本文关键词： 资产证券化供给与需求流动性　出处：《金融评论》2014年04期 　论文类型：期刊论文

【摘要】：本文从供给和需求层面梳理和评述了与资产证券化有关的理论文献。在供给层面,信息不对称假说认为打包和拆分有利于克服逆向选择,提高资产的流动性;监管套利假说认为证券化能够帮助银行规避最低资本监管,优化资本结构。在需求层面,风险重置假说认为资产证券化满足了投资者对安全资产的需求,而便利收益假说则认为资产支持证券缓解了金融交易中高质量担保品短缺的问题。然而,美国次贷危机的爆发揭露出资产证券化过程中的若干重要问题,这使得上述假说面临新的挑战。大量实证研究结果表明:拓宽融资来源、提高流动性是资产证券化的最主要动机;资产证券化对商业银行的风险管理、信贷供给和盈利能力具有显著的影响;证券化过程中存在显著的激励扭曲,尤其是道德风险。在梳理文献的基础上,本文指出迄今为止的证券化研究文献存在的一些局限。
[Abstract]:This paper reviews the theoretical literature related to asset securitization from the supply and demand levels. On the supply side, the information asymmetry hypothesis holds that packaging and splitting can overcome adverse selection and improve the liquidity of assets. The regulatory arbitrage hypothesis holds that securitization can help banks avoid the minimum capital supervision and optimize the capital structure. On the demand side, the risk replacement hypothesis believes that asset securitization meets the needs of investors for safe assets. The convenience return hypothesis holds that asset-backed securities alleviate the shortage of high-quality collateral in financial transactions. However, the outbreak of the subprime mortgage crisis in the United States reveals some important problems in the process of asset securitization. This makes the above hypothesis face new challenges. A large number of empirical results show that broadening financing sources and increasing liquidity are the main motivations of asset securitization; Asset securitization has a significant impact on the risk management, credit supply and profitability of commercial banks; In the process of securitization, there is significant incentive distortion, especially moral hazard. On the basis of combing the literature, this paper points out some limitations of the securitization research literature up to now.
【作者单位】：中国社会科学院研究生院世界经济与政治系;中国社会科学院世界经济与政治研究所国际投资室;中国社会科学院世界经济与政治研究所;
【分类号】：F831.51
【正文快照】： 资产证券化是指将之前由金融中介持有至到期的信贷资产打包并分割成标准化的债券,最终在资本市场上出售的过程。资产证券化的实质是通过结构化安排将低流动性的非标准化资产转变为高流动性的标准化资产。资产证券化模糊了贷款和债券之间的界限,改变了金融中介的运行模式,对传

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