次贷危机中资产证券化对金融市场流动性的影响

次贷危机是一场金融市场流动性紧缩的危机.在流动性紧缩的过程中,连接多个利益主体的资产证券化负有很大责任.本文采用计量经济理论中的VAR模型对次贷危机中资产证券化对金融市场流动性的影响进行实证分析,发现在次贷危机的演进过程中,资产证券化确实对金融市场的流动性产生了持久的负面冲击效应,并导致了流动性紧缩的传导和扩散.因此,...     

资产证券化对金融市场流动性的影响:文献评述

增大流动性是资产证券化的基本功能,但从本轮次贷危机可以看出,资产证券化在有些时候还可以导致金融市场的流动性紧缩.本文就是依照资产证券化对金融市场流动性的正面和负面影响两条主线,来梳理国内外学者有关资产证券化对金融市场流动性影响的研究文献,并对这些文献进行简要的评述.     

流动性的度量及其与资产价格的关系

本文将流动性划分为货币流动性、银行系统流动性和市场流动性三个层次,总结了相应的可操作的度量方法,并通过中国数据进行了度量,从一个侧面论证了货币流动性是市场流动性的基础,以及市场流动性高时资产价格一般也较高的观点。基于货币流动性的基础性地位,本文进一步考察了货币流动性与资产价格的关系,发现超额货币流动性不仅影响股票的名义回报,还影响股票的真实回报;货币流动性在长期内受到股票真实回报的反作用,但这种作用可能是相对微小的。     

银行信贷资产证券化的潜在流动性风险与监管研究

本文通过构建理论模型研究了银行信贷资产证券化面临的潜在风险,主要是银行"发起—分销"模式下潜在的流动性风险。研究表明,对于单个银行而言,"发起—分销"模式并未起到控制和降低风险的作用,只是通过增加扣减比例的方式来对冲风险,而抵押贷款证券则面临未来价格可能更大幅度的下跌,风险仍潜藏在银行间市场;对于银行间市场而言,部分银行的流动性不足会抑制整个市场所提供的流动性,尤其是当抵押贷款证券的市场价格低于银行最初预期的平均收益水平时,那些经营稳健的银行也会受到金融传染的影响。     

资产证券化对金融市场流动性的影响:文献评述

增大流动性是资产证券化的基本功能,资产证券化这项金融创新自从其诞生之初就是为了增大金融市场的流动性,但从本次次贷危机可以看出,资产证券化在有些时候还可以导致金融市场的流动性紧缩.本论文就是依照资产证券化对金融市场流动性的正面和负面影响两条主线,来梳理国内外学者有关资产证券化对金融市场流动性影响的研究文献,并对这些文献进行简短的评述.     

Endogenous Liquidity in Asset Markets

This paper analyzes a model in which long‐term risky assets are illiquid due to adverse selection. The degree of adverse selection and hence the liquidity of these assets is determined endogenously by the amount of trade for reasons other than private information. I find that higher productivity leads to increased liquidity. Moreover, liquidity magnifies the effects of changes in productivity on investment and volume. High productivity implies that investors initiate larger scale risky projects which increases the riskiness of their incomes. Riskier incomes induce more sales of claims to high‐quality projects, causing liquidity to increase.     

The Development of Secondary Market Liquidity for NYSE-Listed IPOs

For NYSE‐listed IPOs, limit order submissions and depth relative to volume are unusually low on the first trading day. Initial buy‐side liquidity is higher for IPOs with high‐quality underwriters, large syndicates, low insider sales, and high premarket demand, while sell‐side liquidity is higher for IPOs that represent a large fraction of outstanding shares and have low premarket demand. Our results suggest that uncertainty and offer design affect initial liquidity, though order flow stabilizes quickly. We also find that submission strategies are influenced by expected underwriter stabilization and preopening order flow contains information about both initial prices and subsequent returns.     

Asset Allocation and the Liquidity Premium for Illiquid Annuities

Academics and practitioners alike have developed numerous techniques for benchmarking investment returns to properly adjust seemingly high numbers for excessive levels of risk. The same, however, cannot be said for liquidity, or the lack thereof. This article develops a model for analyzing the ex ante liquidity premium demanded by the holder of an illiquid annuity. The annuity is an insurance product that is akin to a pension savings account with both an accumulation and decumulation phase. We compute the yield (spread) needed to compensate for the utility welfare loss, which is induced by the inability to rebalance and maintain an optimal portfolio when holding an annuity. Our analysis goes beyond the current literature, by focusing on the interaction between time horizon (both deterministic and stochastic), risk aversion, and preexisting portfolio holdings. More specifically, we derive a negative relationship between a greater level of individual risk aversion and the demanded liquidity premium. We also confirm that, ceteris paribus, the required liquidity premium is an increasing function of the holding period restriction, the subjective return from the market, and is quite sensitive to the individual's endowed (preexisting) portfolio.     

流动性泛滥显现 资产泡沫升级

目前商业银行的中间业务正处于高速成长期,中间业务的增长已经成为股份制银行利润增长的重要推动力。农行青岛分行课题组对如何加快中间业务发展、增加中间业务收入进行了深入探讨。本文对于促进农业银行业务经营转型、优化业务和收入结构、降低经营风险、培育核心竞争能力和实现可持续发展有着极为重要的意义。     

政府债券市场流动性研究

政府债务管理的关键是建立具有高流动性的二级市场。影响政府债券市场流动性的因素包括产品设计、市场结构、交易机制、信息披露和税收等问题。提高市场流动性的途径包括交易的竞争性结构，将税收对流动性的负面影响最小化，提高交易信息的透明度，标准化交易和清算操作，市场参与者的多元化，确定核心资产，满足基准债的市场需求，完善回购市场和衍生工具市场的功能，培育机构投资者，充分的市场监管等。     

资产证券化流动性的系统协同分析

在系统协同视角下,资产证券化流动性具有三个层次,第一层次指被证券化资产的流动性,第二层次指资产支持证券的一级市场流动性,第三层次指资产支持证券的二级市场流动性,前两个层次流动性的成败最终取决于第三层次的流动性。资产证券化流动性的系统协同要素包括市场基础、工具创新以及风险监管。解决我国资产证券化流动性不足的出路在于层次和要素的系统协同。     

Liquidity and Market Structure

Market liquidity is modeled as being determined by the demand and supply of immediacy. Exogenous liquidity events coupled with the risk of delayed trade create a demand for immediacy. Market makers supply immediacy by their continuous presence and willingness to bear risk during the time period between the arrival of final buyers and sellers. In the long run the number of market makers adjusts to equate the supply and demand for immediacy. This determines the equilibrium level of liquidity in the market. The lower is the autocorrelation in rates of return, the higher is the equilibrium level of liquidity.     

上海期货市场流动性研究

一般地讲,一个流动性越好的市场,配置资源的效率就越高.对于期货市场而言,流动性是交易制度设计和合约设计的重要目标之一,也是考察市场效率和功能发挥的重要指标.期货市场流动性可以表述为:期货市场参与者迅速进行大量期货合约交易,并且不会导致合约价格发生显著波动.一个具有较好流动性的期货市场,应具有较低的交易成本和较快的指令执行速度,并且能迅速平复大额交易对期货合约价格的冲击.     

Market Value of REIT Liquidity

We examine the relation between firm value and liquidity among REITs. Results show shareholders benefit from both cash and unused credit line capacity. The market values an additional dollar of cash at a premium and, as theory predicts, unused credit lines are significantly less valued than cash. Evidence suggests an increase in the market value of liquidity during the recent financial crisis. We also find that financial characteristics quantifying financial constraint influence the value of REIT financial flexibility. Most notably, the value of cash decreases with remaining credit line capacity. Although prior studies argue that cash and credit lines are substitutes, this is one of the first tests of whether the market prices this substitutability.     

释放银行信贷资产的风险资本金与流动性

信贷资产的风险资本金和流动性问题2004年以来,基金、理财、信托、企业年金、保险资金等新型机构投资方式快速发展,信贷资金来源形势严峻,存贷比、期限错配问题进一步严重。银行信贷业务由规模管理转向结构管理和质量管理势在必行。2004年3月,银监会公布《商业银行资本充足率管理办法》,要求所有银行应于2007年1月1日前达到8%的资本充足率要求。由于国内银行以规模驱动和资本消耗为特点的盈利模式带来了与经济周期快速扩张伴生的资本金紧缺问题,而这期间正是中国金融改革和中国银行业的战国时期,处于高速规模扩张的各家银行的再融资方案不断出现(见表1)。     

Market Liquidity and Trading Activity

Previous studies of liquidity span short time periods and focus on the individual security. In contrast, we study aggregate market spreads, depths, and trading activity for U.S. equities over an extended time sample. Daily changes in market averages of liquidity and trading activity are highly volatile and negatively serially dependent. Liquidity plummets significantly in down markets. Recent market volatility induces a decrease in trading activity and spreads. There are strong day-of-the-week effects; Fridays accompany a significant decrease in trading activity and liquidity, while Tuesdays display the opposite pattern. Long- and short-term interest rates influence liquidity. Depth and trading activity increase just prior to major macroeconomic announcements.     

Limit Order Book as a Market for Liquidity

We develop a dynamic model of a limit order market populatedby strategic liquidity traders of varying impatience. In equilibrium,patient traders tend to submit limit orders, whereas impatienttraders submit market orders. Two variables are the key determinantsof the limit order book dynamics in equilibrium: the proportionof patient traders and the order arrival rate. We offer severaltestable implications for various market quality measures suchas spread, trading frequency, market resiliency, and time toexecution for limit orders. Finally, we show the effect of imposinga minimal price variation on these measures.