美联储房产抵押债券回购业务研究

发布时间：2018-03-23 07:59

本文选题：美联储货币政策　切入点：量化宽松　出处：《吉林大学》2014年博士论文　论文类型：学位论文

【摘要】：美联储成立百年以来，不断调整货币政策目标，实施货币政策工具的调整与创新，逐渐将资产价格稳定、金融稳定纳入到其政策体系当中。在这一目标下，美联储可以提前识别可能存在的资产价格泡沫，并采取逆向的事前主动货币政策。随着历史的演变，美联储货币政策应对经济危机、金融危机的态度和能力有了显著的提升。货币政策工具从传统的贴现窗口政策、法定准备政策和公开市场操作三大工具，发展到2008年金融危机期间和后续时期推出的一系列非传统货币政策工具，如针对不同机构的不同创新工具和量化宽松，特别是本文重点讨论的房产抵押债券的回购业务。美联储货币政策发展到今天，其影响超越了传统的货币政策范围，起到了一部分财政政策的职能，不仅可以调节资本市场的流动性，也可以调节资本市场的结构，同时对美国实体经济的结构性调整和美国在国际金融市场的地位也产生了重大影响。在金融危机爆发之后，美联储相继推出了一系列货币政策创新，之后又推出了量化宽松QE1、QE2，扭曲操作OT1、OT2，量化宽松QE3、QE4。QE1和QE2给银行系统注入了充足的流动性，却没有刺激银行对企业和个人发放贷款。OT1和OT2在保持QE1和QE2提供的流动性基础上，进一步压低了长期债券的收益率，也没有激发商业银行对企业和个人发放贷款。2011年8月的国债上限危机导致全球对美国政治稳定、经济增长前景悲观。美联储进一步推出了更为激进的量化宽松政策创新：QE3和QE4。QE3和QE4创新性的提出房产抵押债券（MBS）的回购业务，以美联储的优质资产置换银行资产负债表上的高风险、高杠杆率的房产抵押债券余额，实质性的增加了金融系统的流动性，最终释放了银行的放贷能力，刺激了经济复苏，并增加了就业。同时，大规模采购房产抵押债券整体上压低了长期债券的价格，使得企业可以在债券市场以更低廉的成本融资，促进了生产环节的流动性。美联储房产抵押债券的回购业务对刺激经济起效的关键在于房产抵押债券特殊的定价机制和风险特征。在房产抵押贷款的证券化过程中，债券发起人和特殊目的公司的破产隔离设计，对投资人是必要的法律保障。信用评级机构对债券给出的信用评级让投资人对债券的定价和风险程度有明晰的了解，信用增级增加了对投资人的保障。美国的房产抵押贷款几乎可以在放贷的同时就生成房产抵押债券，改变了房产抵押贷款流动性差，周期长的根本特征。房产抵押债券的结构为了满足投资者不同的需求和风险偏好也变得越来越复杂，从最初结构简单的过手型MBS衍生发展出来CMO，SMBSs等。各个具体类别MBS的早偿风险特征分为紧缩风险和延期风险，早偿风险的测量模型有静态模型和动态模型。基于房产抵押债券内嵌的隐含期权可以通过期权调整利差（OAS）计算，在OAS的基础上提出的有效久期和有效凸性理论进一步完善了房产抵押债券的定价机制和风险模型。美联储房产抵押债券回购业务的货币政策创新，对世界各国央行的货币政策发展有着重要深远的影响。美联储回购房产抵押债券，刺激了美国房市的复苏和股市、债市的繁荣，同时直接扭转了商业银行由于房产抵押债券余额高企，惜贷的情形。商业银行终于开始向生产和消费环节大规模放贷，进而增加了就业，降低了美国的失业率，并且使通货膨胀逐渐回到美联储预期的理想区间，有效防范了通货紧缩。在全球市场来看，美联储回购房产抵押债券，催生了美元套利交易。美元套利交易导致全球汇市、债市、股市和大宗商品市场进入了一个新的美元主导的时代。“弱势”美元削减了美国的债务负担，缩减了其他国家的外汇储备，使其被迫增加从美国进口商品和对美国的直接投资。美元套利交易使得美元的流动性外溢，打击了各国的货币和资本市场。美联储房产抵押债券回购业务使美国成为各方面的大赢家，美元成为“披着羊皮的狼”，是美国新全球金融战略掠夺财富的有力武器。量化宽松产生的美元套利交易，加上美国在全球政治上的影响力，使得美国拥有了控制全球金融市场的“风险供给”水平的能力。美国可以根据需要，在任何时候触发某个国家市场的风险爆发，让套利资本回流美国本土，实现美元的避险功能。美国凭借其对金融衍生品市场的控制权以及对国际信用评级机构的监管权力，实际上可以调节全球经济风险的大小，，这种能力成为美国削弱和打击其潜在的竞争对手，如欧盟、中国、日本等国的重要手段和工具。美联储房产抵押债券回购业务的成功经验给中国央行提供很多货币政策方面的启示：货币政策目标的调整、货币政策工具的创新和利率市场化改革是央行前行的方向。房产抵押贷款证券化是解决中国房地产市场泡沫的一个途径。中国目前仅有很少量的试点型房产抵押债券，在可操作性上目前还缺乏成熟的信用评级制度和信用评级机构，但是美联储房产抵押债券回购业务的成功经验给中国央行提供了解决问题的新思路。
[Abstract]:Since the establishment of the Federal Reserve for hundred years, constantly adjust the goal of monetary policy adjustment and innovation, the implementation of monetary policy tools, will gradually asset price stability and financial stability into its policy system. Under the objective, the Fed can advance to identify possible asset price bubbles, and take the initiative to reverse the advance of monetary policy with the evolution of history, the Fed's monetary policy response to the economic crisis, the financial crisis of the attitude and ability have been significantly improved. The tools of monetary policy from the traditional discount window policy, legal reserve policy and open market operations three tools, launched in 2008 to develop during the financial crisis and the subsequent period of a series of non traditional currency policy tools, such as different innovative tools for different institutions and quantitative easing, especially this paper focuses on the real estate mortgage bond repurchase business. The Fed's monetary policy Until today, its influence beyond the traditional scope of monetary policy, fiscal policy played a part in the function of liquidity can not only regulate the capital market structure, also can adjust the capital market, but also has a significant impact on the real economy and the structural adjustment of the position of the United States in the international financial market.
In the wake of the financial crisis, the Fed launched a series of monetary policy innovation, after the introduction of quantitative easing QE1, QE2, OT1, OT2, operation twist, quantitative easing QE3, QE4.QE1 and QE2 to inject sufficient liquidity to the banking system, but did not stimulate the bank for enterprises and personal loans to.OT1 and OT2 on the basis of QE1 and maintain the liquidity provided by QE2, and further down the long-term bond yields, did not stimulate commercial bank loans in August.2011 to the enterprise and individual debt crisis led to the global stability of the American political, economic growth prospects. The fed further introduced a more aggressive quantitative easing policy innovation QE3 and QE4.QE3 and QE4 proposed innovative mortgage bonds (MBS) the repurchase operations, to the Fed's high quality assets on bank balance sheets of high risk, high leverage ratio of real estate credit Mortgage bonds outstanding, a substantial increase in liquidity in the financial system, the final release of the bank's lending capacity to stimulate economic recovery, and increased employment. At the same time, large-scale purchase of mortgage bonds overall down long-term bond prices, making enterprises in the bond market at a lower cost of financing, promote the liquidity of production.
The Fed's key mortgage bond repurchase business of stimulus onset is the pricing mechanism and risk characteristics of real estate mortgage bonds special. In the process of securitization of real estate mortgage loans, bonds and bankruptcy isolation design sponsor Special Purpose Company, for investors is the necessary legal protection. The credit rating agency credit rating of bonds are made the investor has a clear understanding of the bond pricing and the degree of risk, credit enhancement increased investor protection. American mortgage lending in the meantime almost can generate real estate mortgage bonds, mortgage loans changed poor liquidity, the fundamental characteristics of long period structure. In order to meet the real estate mortgage bond investors different needs and risk appetite has become more and more complex, the development of CMO, derived from her MBS first SMBSs. The structure is simple A specific category MBS prepayment risk characteristics into deflation risk and extension risk, prepayment risk measurement model with static model and dynamic model. Based on the implicit option mortgage bonds can be embedded by the option adjusted spread (OAS) calculation theory, effective duration and convexity is proposed on the basis of OAS to further improve the pricing mechanism and risk model of real estate mortgage bonds. The innovation of monetary policy the Fed's mortgage bond repurchase business, has important and far-reaching impact on the development of the world's central banks monetary policy.
The Fed's repurchase mortgage bonds to stimulate the U.S. recovery in the housing market and the stock market, bond market prosperity, also directly reversed the commercial bank for the mortgage bond balance high credit crunch situation. Commercial banks finally began to the production and consumption of large-scale lending, and increase employment and reduce the unemployment rate in the United States, ideal the interval and inflation gradually back to expectations that the Federal Reserve, effectively preventing deflation. In the global market, the Fed's repurchase mortgage bonds, spawned a dollar carry trade. Dollar arbitrage caused by global currencies, bonds, stock and commodity markets have entered a new dollar dominated era. "The dollar cut America's debt burden, reduce the foreign exchange reserves of other countries, it was forced to increase imports from the United States and direct investment in the United States dollar arbitrage. It is easy to spill the liquidity of the US dollar and strike the currencies and capital markets of all countries. The Fed's repurchase business makes the us a big winner in all aspects. The US dollar has become a wolf in sheep's clothing, and a powerful weapon for us to seize wealth by the new global financial strategy.
Quantitative easing the dollar carry trade, with the United States in the global political influence, makes the United States has control of the global financial market risk of "supply" level of ability. The United States can according to the needs of a national market risk triggered the outbreak at any time, let the arbitrage capital back into the United States, the dollar hedge functions the United States. By virtue of its financial derivatives market control and supervision of the international credit rating agencies in the global economic power, can adjust the size of the risk, the ability to become the United States to weaken and hit the potential competitors, such as the European Union, Chinese, an important tool to Japan and other countries.
The successful experience of the Fed's mortgage bond repurchase business to provide a lot of Chinese central bank monetary policy implications: the goal of monetary policy adjustment, innovation of tools of monetary policy and interest rate reform is the central bank's direction. The real estate mortgage securitization is a way to solve the Chinese real estate market bubble. China is currently the only pilot type a small amount of mortgage bonds, in the operation of the current lack of mature credit rating system and credit rating agencies, but the successful experience of the Fed's bond repurchase business real estate mortgage to the Chinese central bank provides a new way to solve the problem.

【学位授予单位】：吉林大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F827.12;F293.3

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