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次贷危机中资产证券化对金融市场流动性的影响
引用本文:李佳,王晓.次贷危机中资产证券化对金融市场流动性的影响[J].金融论坛,2011(1):25-30.
作者姓名:李佳  王晓
作者单位:郑州航空工业管理学院;山东经济学院经济与城市管理学院;
摘    要: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,...

关 键 词:次贷危机  资产证券化  金融市场  流动性

The Impacts of Asset Securitization on Financial Market Liquidity in Subprime Mortgage Crisis
LI Jia WANG Xiao.The Impacts of Asset Securitization on Financial Market Liquidity in Subprime Mortgage Crisis[J].Finance Forum,2011(1):25-30.
Authors:LI Jia WANG Xiao
Institution:LI Jia WANG Xiao
Abstract:The subprime mortgage crisis is a crunch crisis of the financial market liquidity.The asset securitization,connecting multiple benefit gainers,has a great responsibility for the process of liquidity crunch.By the VAR model of econometric theory,this paper empirically analyses the impacts of asset securitization on financial market liquidity in subprime mortgage crisis.The results show that the asset securitization indeed has lasting negative impacts on the liquidity of financial markets in the subprime mort...
Keywords:subprime mortgage crisis  asset securitization  financial market  liquidity  
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