“两房”与美国的住宅金融市场--兼论中国保障房融资机制创新

金融危机使“两房”和证券化倍受诟病。本文试图从历史、政治、经济、内生机制和外部市场环境等多个视角系统梳理美国住宅金融体制演变及“两房”和证券化的作用。通过梳理历史,客观评析了“两房”的创立对促进美国传统住宅金融向现代金融转变的积极作用,分析了网络经济泡沫破灭后金融市场环境和“两房”自身资产结构变化及诱发的危机的金融与实体经济因素。并着重剖析了后危机时代“两房”成为政府救市的工具运作机理和未来美国住宅金融市场改革的要点。最后提出我国保障房融资机制匮乏,应建立政策性住宅金融体系。     

从“两房”退市看中国金融安全

中国金融机构持有＂两房＂债券总额达3400亿美元,＂两房＂退市的消息令国人心惊,突显中国的金融安全问题。造成中国金融资产的损失,主要是与发达国家在金融竞争中处于不利地位,对国际金融市场的风险性认识不足,以及经济全球化导致世界经济发展的不平衡、削弱了发展中国家的经济主权等原因。保障中国的金融安全,应从内外两个方面着手应对。     

Subprime lending and the housing bubble: Tail wags dog?

The cause of the “housing bubble” associated with the sharp rise and then drop in home prices over the period 1998–2008 has been the focus of significant policy and research attention. The dramatic increase in subprime lending during this period has been broadly blamed for these market dynamics. In this paper we empirically investigate the validity of this hypothesis vs. several other alternative explanations. A model of house price dynamics over the period 1998–2006 is specified and estimated using a cross-sectional time-series data base across 20 metropolitan areas over the period 1998–2006. Results suggest that prior to early 2004, economic fundamentals provide the primary explanation for house price dynamics. Subprime credit activity does not seem to have had much impact on subsequent house price returns at any time during the observation period, although there is strong evidence of a price-boosting effect by investor loans. However, we do find strong evidence that a credit regime shift took place in late 2003, as the GSE’s were displaced in the market by private issuers of new mortgage products. Market fundamentals became insignificant in affecting house price returns, and the price-momentum conditions characteristic of a “bubble” were created. Thus, rather than causing the run-up in house prices, the subprime market may well have been a joint product, along with house price increases, (i.e., the “tail”) of the changing institutional, political, and regulatory environment characteristic of the period after late 2003 (the “dog”).     

Focusing on Fannie and Freddie: The Dilemmas of Reforming Housing Finance

Fannie Mae and Freddie Mac are unique and controversial participants in the housing finance system of the United States. Because of these enterprises' federal government charters, the financial markets believe that the government would not allow Fannie and Freddie to fail to honor their debt obligations, and they are thereby able to borrow more cheaply in credit markets; in turn, they lower interest rates for residential mortgages. If the financial markets are right, however, Freddie and Fannie also create a contingent liability for the government. Though there are positive externalities from home ownership, the Fannie/Freddie route is far too broad and unfocused to address those externalities effectively. Privatization, accompanied by targeted federal assistance for potential first-time low- and moderate-income home buyers, would be a superior policy direction.     

“两房”倒塌的政治经济学

本文通过对房地美和房利美破产过程的分析,说明美国金融危机是诸多政治因素和经济因素联合作用的结果。两房特殊的地位及其与国会的互利关系,是两房监管不利的根源,也是两房支持经济适用房项目、扩大次贷规模的直接原因。     

The Interest Rate Risk of Fannie Mae and Freddie Mac

This paper evaluates the interest rate risk of Fannie Mae and Freddie Mac (F&F) and develops related public policy proposals. F&F merit special attention due to (1) their potentially very large interest rate risk, and (2) their status as U.S. government sponsored enterprises. The analysis focuses on the dynamic hedging strategy and extensive use of interest rate derivatives employed by F&F to control their interest rate risk. While dynamic hedging is highly cost effective for F&F, it creates imperfect hedges and thus could impose significant costs on U.S. taxpayers in a potential future F&F bailout. The policy discussion includes proposals to modify the F&F interest rate disclosures and the OFHEO stress test, and to create rate interest risk standards for F&F.     

Housing Finance GSEs: Who Gets the Subsidy?

Taxpayer subsidies that flow toward housing-finance GSEs are implicit in nature. This makes the size and distribution of subsidy values hard to measure directly. An array of indirect analyses indicates that incentive-conflicted GSE managers can and do extract substantial annual subsidies for GSE stockholders. Currently, stockholders are allowed to encourage managers to exploit taxpayers by tying incentive compensation implicitly to increases in the discounted present value of expected future subsidies. To counteract this inappropriate incentive, managers should be made accountable to taxpayers for returning all compensation that can be fairly attributed to increases in subsidies captured by GSE stockholders.     

Putting the squeeze on a market for lemons: Government-sponsored mortgage securitization

Lenders either sell or obtain insurance for many of the mortgages they originate to reduce credit risk and enhance liquidity. An overwhelming majority of the mortgages sold are purchased by government-sponsored enterprises. The prevailing view is that government-sponsorship of mortgage securitization causes mortgage rates to be lower than they would otherwise be. Using a model that incorporates asymmetric information and adverse selection, we provide an example in which government-sponsored mortgage securitization raises the mortgage rate.The analysis and conclusions set forth are our own and do not indicate concurrence by members of the Federal Reserve Research stafls, by the Board of Governors, or by the Federal Reserve Banks. We wish to thank Mark Fisher for his Mathematica expertise. All errors are ours exclusively.     

美国“两房”危机分析及启示

文章分析了“两房”危机的形成过程,以及美国政府应对“两房”危机的救助措施。虽然美国金融海啸对国内上市银行的投资影响不大,但国内银行业对海外投资与交易的风险管理有待加强。面对全球市场动荡,文章从加强监管、完善政策调控、稳定房地产市场发展,以及提高金融机构风险管理能力等方面提出应对之策。