金融杠杆视角下的流动性危机形成机制
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摘要
20世纪70年代布雷顿森林体系崩溃后,美元停止兑换黄金,美元发行没有了黄金储备的约束,致使美元过度对外发行,刺激美国虚拟经济持续大规模扩张。与此同时,美联储数据显示,1959-1979年,美国金融资产规模和交易货币(M1)规模几乎同步增长,但是从1980年至2008年,美国金融资产规模膨胀了12.07倍,而同期交易货币(M1)仅增长4.73倍,金融资产规模增长速度远远快于交易货币规模的增长速度。一般来说,金融资产规模与交易货币规模的比值越低,金融风险越低,反之,二者比值越高,意味着每单位交易货币支撑的金融资产交易量越大,金融杠杆就越高,金融风险随之上升,爆发流动性危机的概率也就越大。关于金融资产规模与交易货币规模不协调增长引发流动性危机的过程和机制,作者通过综合梳理相关文献发现,美国金融资产规模与交易货币规模增长失衡是如何引发和放大流动性危机的研究有待深入,即二者失衡引发流动性危机的形成机制、放大机制还需进一步研究。
本文以美国金融资产规模与交易货币规模(M1)之间的缺口作为研究线索,宏观分析和微观分析相结合,旨在对美国经济转型背景下流动性危机的形成机制和放大机制进行研究。主要研究工作如下：第一,从美国金融部门资产结构、负债结构、收入结构三个方面分析和比较过去四十多年美国金融系统发生的重大变化,促使金融系统变化背后的主要金融创新,以及相应的金融资产被“生产制造”出来的微观过程。第二,上世纪70年代以来该金融业务迅速发展的原因、资金投向和支撑该业务顺利运转的融资来源,以及该金融业务迅速发展对美国金融系统融资方式、金融杠杆率的影响。第三,通过总结美联储金融市场数据的经验证据,分析美国国民经济各部门资产规模与金融杠杆率之间的关系、金融部门内部各个子部门资产规模、金融杠杆率、市场流动性三者之间的关系,以及这些规律关系对金融系统稳定性的影响。第四,从资产规模、金融杠杆率、市场流动性三者之间的规律着手,分析金融资产规模的膨胀过程和新增金融资产信用质量下降的原因,并构建基于金融杠杆和风险调整的金融资产供求模型,分析流动性危机形成机制,不同资产类别之间的风险传递过程,去杠杆化时放大金融危机的效应。
本文的主要研究结论为：
1.危机前全球流动性泛滥刺激美国虚拟经济部门过度膨胀,金融部门杠杆率大幅上升,危机期间高杠杆金融机构大规模去杠杆化放大了金融危机的冲击效应。布雷顿森林体系崩溃后,美元发行没有了黄金储备的约束,致使美元对外过度发行,金融部门资产负债表规模膨胀。此外,金融部门作为一个整体来看,它的金融杠杆率是顺周期变化的,即它的金融杠杆率随着自身资产负债表规模扩张而上升。当抵押贷款违约率快速上升时,投资者提供资金的意愿急剧下降。此时金融机构不得不大规模去杠杆化,而无序、混乱的去杠杆化行为以及去杠杆化过程的反馈效应放大了金融市场的下跌幅度,金融机构被迫进入新一轮流动性筹措和去杠杆化循环。
2.资产证券化融资方式的风险与责任分离是导致信贷市场基础资产信用质量下降根本原因。如果信贷能够以资产证券化方式分销贷款,信贷发起机构发起贷款不会持有这些贷款到期,如此信贷发起机构无需承担贷款信用质量下降的风险。当贷款资产池的信用风险上升时,信用中介链条各个环节上的金融机构都难以承受资产被竞相抛售、资产价格大幅下降、流动性突然急剧短缺、滚动融资成本大幅飙升的压力,发行超短期债务工具为持有长期资产筹集资金的证券化银行部门面临到期债务支付困难,资产证券化市场的投资者挤兑逐渐蔓延。
3.资产证券化市场信息不透明,加重了危机时投资者未来预期的不确定性,加大了金融资产价格的波动幅度。一些资产支持商业票据管道奉行私募股权投资基金的做法,故意不对外披露相关信息。如果批发融资市场投资者难以甄别哪些金融中介涉及了问题资产,危机期间那些没有涉及问题资产的金融中介,批发融资市场投资者同样拒绝为其提供融资,使得信用较高的资产池也被无辜牵连,最终加剧了非问题金融资产的抛售行为和市场流动性的紧缺程度。
本研究的主要创新点体现在：
1.构建基于金融杠杆和风险调整的金融危机模型,分析和论述风险约束下金融机构去杠杆化过程的宏观效应(放大冲击机制)。基于美联储数据的经验证据,总结金融部门资产负债规模、市场流动性、金融杠杆率之间的规律,分析金融部门杠杆率顺周期波动在危机爆发时对金融市场的影响。
2.分析金融杠杆视角下不同类别资产间风险的传递机制。美国次贷危机揭示了一个令人深思的事实：次级抵押贷款市场问题为什么会导致信用卡贷款、汽车贷款、商业抵押贷款等信贷市场也跟随出问题。也就是说,不同类别金融资产之间存在风险传递机制,本文在金融杠杆视角下对其进行了分析。
Ever since its dramatic transformation in the1970s, the economic growth and run model in US have lead to the virtualization and de-industrialization of US economy. After the collapse of Bretton Woods System, the exchange of US dollars to gold was terminated and currency issue was freed from gold reserves, thus causing an over-currency-issue abroad, an expansion of fictitious economy and an imbalance of real economy. These are the roots of subprime and financial crisis. As indicated by literature review, however, further research needs to be carried out in terms of the imbalance between real economy and virtual one and its effect on liquidity crisis. To be specific, the mechanism of how the imbalance caused liquidity is in need of further study.
Taking the gap between financial asset size and M1as a research clue, the present dissertation studies the mechanism of liquidity crisis in the background of US economic transformation through both macro analysis and micro analysis. Main points in the dissertation include:1. Dramatic transformation of US financial system in the latest40years, financial innovation behind such transformation and the micro-process of financial assets production. These were studied from three aspects, namely, asset structure, debt structure and income structure.2. Causes of the rapid development of financial business since1970s, investment and related financing source as well as its effect on US financing and financial leverage.3. Through summarizing the empirical data of US financial market, it analyzes (1) the relationship between financial asset size of each sector in US economy and financial asset size;(2)the relationship among the asset, leverage ratio and liquidity; and (3) the effects of these relationship on financial system stability.4. It studies the process of finical asset inflation and the reason of decreasing credit quality and builds a supply-and-demand model of financial leverage and risk-adjustment. The mechanism of liquidity, process of risk delivering and the effect of enlarging financial crisis during deleveraging were also discussed in detail.
Main conclusions of the dissertation include:
1. A global awash liquidity stimulates US fictitious economy sector inflate, causing a rising of leverage and thus enlarging the effects of deleveraging. After the collapse of Bretton Woods System, the exchange of US dollars to gold was terminated and currency issue was freed from gold reserves, thus causing an over-currency-issue abroad, an expansion of fictitious economy and an imbalance of real economy. In addition, financial sectors as a whole, its leverage ratio changes pro-cyclically. That means the leverage ratio positively correlates with the size of balance size. When the delinquency rate of mortgage increases rapidly, the willing investment decreases. What follows is a large scale of deleveraging. Disordered deleverage and its feedback effect will force the market to another cycling process.
2. Asset securitization and the separation of risk and responsibility are roots of the declining credit market and underlying asset. A loan distribution by asset securitization may not lead to a risk of declining credit quality. When the credit pool gets risky, chain of credit intermediation will be confronted with great pressure such as dumping, price fluctuation, decreasing liquidity, soaring financing cost and a wide run by investors on securitization market.
3. The opaque of securitized market increases the unpredictability of investors and the fluctuation of asset prices. Some assets sticking to PE purposely conceal related information. If wholesale funding market meets difficulties in detecting distressed asset, thus leading to a decline of financial intermediaries, it will increase financial dumping and decrease market liquidity.
Contributions of the dissertation include:
1. A model of financial crisis based on leverage and risk-adjustment was built to analyze the macro-effect of deleveraging. This was conducted on the empirical evidence from Federal Reserve System, summarizing the relationship among assets, liquidity and leverage and analyzing the effects of leverage ratio on financial market.
2. It analyzes the mechanism of risk delivering on different levels. An invoking fact of subprime mortgage crisis is that:it necessarily leads to credit market crisis such as credit card loan, auto loan and commercial mortgage loan. That indicates a mechanism of risk delivering among different levels, which was also studied from the perspective of leverage.
本文以美国金融资产规模与交易货币规模(M1)之间的缺口作为研究线索,宏观分析和微观分析相结合,旨在对美国经济转型背景下流动性危机的形成机制和放大机制进行研究。主要研究工作如下：第一,从美国金融部门资产结构、负债结构、收入结构三个方面分析和比较过去四十多年美国金融系统发生的重大变化,促使金融系统变化背后的主要金融创新,以及相应的金融资产被“生产制造”出来的微观过程。第二,上世纪70年代以来该金融业务迅速发展的原因、资金投向和支撑该业务顺利运转的融资来源,以及该金融业务迅速发展对美国金融系统融资方式、金融杠杆率的影响。第三,通过总结美联储金融市场数据的经验证据,分析美国国民经济各部门资产规模与金融杠杆率之间的关系、金融部门内部各个子部门资产规模、金融杠杆率、市场流动性三者之间的关系,以及这些规律关系对金融系统稳定性的影响。第四,从资产规模、金融杠杆率、市场流动性三者之间的规律着手,分析金融资产规模的膨胀过程和新增金融资产信用质量下降的原因,并构建基于金融杠杆和风险调整的金融资产供求模型,分析流动性危机形成机制,不同资产类别之间的风险传递过程,去杠杆化时放大金融危机的效应。
本文的主要研究结论为：
1.危机前全球流动性泛滥刺激美国虚拟经济部门过度膨胀,金融部门杠杆率大幅上升,危机期间高杠杆金融机构大规模去杠杆化放大了金融危机的冲击效应。布雷顿森林体系崩溃后,美元发行没有了黄金储备的约束,致使美元对外过度发行,金融部门资产负债表规模膨胀。此外,金融部门作为一个整体来看,它的金融杠杆率是顺周期变化的,即它的金融杠杆率随着自身资产负债表规模扩张而上升。当抵押贷款违约率快速上升时,投资者提供资金的意愿急剧下降。此时金融机构不得不大规模去杠杆化,而无序、混乱的去杠杆化行为以及去杠杆化过程的反馈效应放大了金融市场的下跌幅度,金融机构被迫进入新一轮流动性筹措和去杠杆化循环。
2.资产证券化融资方式的风险与责任分离是导致信贷市场基础资产信用质量下降根本原因。如果信贷能够以资产证券化方式分销贷款,信贷发起机构发起贷款不会持有这些贷款到期,如此信贷发起机构无需承担贷款信用质量下降的风险。当贷款资产池的信用风险上升时,信用中介链条各个环节上的金融机构都难以承受资产被竞相抛售、资产价格大幅下降、流动性突然急剧短缺、滚动融资成本大幅飙升的压力,发行超短期债务工具为持有长期资产筹集资金的证券化银行部门面临到期债务支付困难,资产证券化市场的投资者挤兑逐渐蔓延。
3.资产证券化市场信息不透明,加重了危机时投资者未来预期的不确定性,加大了金融资产价格的波动幅度。一些资产支持商业票据管道奉行私募股权投资基金的做法,故意不对外披露相关信息。如果批发融资市场投资者难以甄别哪些金融中介涉及了问题资产,危机期间那些没有涉及问题资产的金融中介,批发融资市场投资者同样拒绝为其提供融资,使得信用较高的资产池也被无辜牵连,最终加剧了非问题金融资产的抛售行为和市场流动性的紧缺程度。
本研究的主要创新点体现在：
1.构建基于金融杠杆和风险调整的金融危机模型,分析和论述风险约束下金融机构去杠杆化过程的宏观效应(放大冲击机制)。基于美联储数据的经验证据,总结金融部门资产负债规模、市场流动性、金融杠杆率之间的规律,分析金融部门杠杆率顺周期波动在危机爆发时对金融市场的影响。
2.分析金融杠杆视角下不同类别资产间风险的传递机制。美国次贷危机揭示了一个令人深思的事实：次级抵押贷款市场问题为什么会导致信用卡贷款、汽车贷款、商业抵押贷款等信贷市场也跟随出问题。也就是说,不同类别金融资产之间存在风险传递机制,本文在金融杠杆视角下对其进行了分析。
Ever since its dramatic transformation in the1970s, the economic growth and run model in US have lead to the virtualization and de-industrialization of US economy. After the collapse of Bretton Woods System, the exchange of US dollars to gold was terminated and currency issue was freed from gold reserves, thus causing an over-currency-issue abroad, an expansion of fictitious economy and an imbalance of real economy. These are the roots of subprime and financial crisis. As indicated by literature review, however, further research needs to be carried out in terms of the imbalance between real economy and virtual one and its effect on liquidity crisis. To be specific, the mechanism of how the imbalance caused liquidity is in need of further study.
Taking the gap between financial asset size and M1as a research clue, the present dissertation studies the mechanism of liquidity crisis in the background of US economic transformation through both macro analysis and micro analysis. Main points in the dissertation include:1. Dramatic transformation of US financial system in the latest40years, financial innovation behind such transformation and the micro-process of financial assets production. These were studied from three aspects, namely, asset structure, debt structure and income structure.2. Causes of the rapid development of financial business since1970s, investment and related financing source as well as its effect on US financing and financial leverage.3. Through summarizing the empirical data of US financial market, it analyzes (1) the relationship between financial asset size of each sector in US economy and financial asset size;(2)the relationship among the asset, leverage ratio and liquidity; and (3) the effects of these relationship on financial system stability.4. It studies the process of finical asset inflation and the reason of decreasing credit quality and builds a supply-and-demand model of financial leverage and risk-adjustment. The mechanism of liquidity, process of risk delivering and the effect of enlarging financial crisis during deleveraging were also discussed in detail.
Main conclusions of the dissertation include:
1. A global awash liquidity stimulates US fictitious economy sector inflate, causing a rising of leverage and thus enlarging the effects of deleveraging. After the collapse of Bretton Woods System, the exchange of US dollars to gold was terminated and currency issue was freed from gold reserves, thus causing an over-currency-issue abroad, an expansion of fictitious economy and an imbalance of real economy. In addition, financial sectors as a whole, its leverage ratio changes pro-cyclically. That means the leverage ratio positively correlates with the size of balance size. When the delinquency rate of mortgage increases rapidly, the willing investment decreases. What follows is a large scale of deleveraging. Disordered deleverage and its feedback effect will force the market to another cycling process.
2. Asset securitization and the separation of risk and responsibility are roots of the declining credit market and underlying asset. A loan distribution by asset securitization may not lead to a risk of declining credit quality. When the credit pool gets risky, chain of credit intermediation will be confronted with great pressure such as dumping, price fluctuation, decreasing liquidity, soaring financing cost and a wide run by investors on securitization market.
3. The opaque of securitized market increases the unpredictability of investors and the fluctuation of asset prices. Some assets sticking to PE purposely conceal related information. If wholesale funding market meets difficulties in detecting distressed asset, thus leading to a decline of financial intermediaries, it will increase financial dumping and decrease market liquidity.
Contributions of the dissertation include:
1. A model of financial crisis based on leverage and risk-adjustment was built to analyze the macro-effect of deleveraging. This was conducted on the empirical evidence from Federal Reserve System, summarizing the relationship among assets, liquidity and leverage and analyzing the effects of leverage ratio on financial market.
2. It analyzes the mechanism of risk delivering on different levels. An invoking fact of subprime mortgage crisis is that:it necessarily leads to credit market crisis such as credit card loan, auto loan and commercial mortgage loan. That indicates a mechanism of risk delivering among different levels, which was also studied from the perspective of leverage.
引文
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②数据来自美联储,http://www.federalreserve.gov/datadownload/Choose.aspx?rel=Z.1
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③数据来源：美联储,http://www.federalreserve.gov/datadownload/Choose.aspx?rel=Z.1.
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