5 基于美国次贷危机的金融市场传导效应研究 摘 要 次贷危机自 2007 年爆发以后，其影响的范围、地域、程度逐步扩大，到今天已经成为影响全球经济金融系统的金融危机。在全球金融市场发展迅速、流动性的“倒金字塔结构”日益扩大的今天， 次贷危机的爆发并非偶然。 分析次贷危机发生的原因及其在金融市场中的传导效应，对于我们认识金融发展规律、完善金融监管机制具有重要意义。 本文从宏观和微观两个角度对导致次贷危机爆发的原因进行了分析。 自由市场理念下的宽松的法制环境和监管环境为金融创新提供了条件的同时也存在着隐患， 税收政策的推动以及客观的经济周期所带来的资产价格泡沫共同构成了次贷机爆发的宏观因素。 在次贷危机的过程中，金融机构的参与及金融创新的手段作为微观因素，促成了金融泡沫的产生与放大。而评级机构作为连结宏微观的桥梁，亦没有实现风险发现的功能。 本文利用危机爆发前后，美国的房市、股市、债市和衍生产品的相关数据，从静态和动态角度对金融市场的风险及传导效应进行了实证研究： （1）从静态角度，研究了以历史波动率度量的金融风险，证明随着金融市场所处深度的增加而增大，即使在同一金融市场，不同的行业（如金融、实业、公用事业等）也具有不同的风险； （2）从相关性角度，对比了危机爆发前后的市场间相关关系，证明危机爆发后，市场上一些产品已经失去了避险功能，并且还起到了对危机的放大效应； （3）从动态角度，分析了不同市场间金融风险的传导效应演变过程，证明：危机爆发前，反映次债违约互换风险的 ABX.HE 指数与股市、债市并无明显关系；危机爆发之初，金融风险从衍生品市场传导至股市和债市；危机爆发后，以股市为代表的资本市场成为引导其他市场变化的动因； 此外， 不同金融市场中信息反应的效率也存在着显著差异。 本文提出要从法制体系、 机构监管、 信用评级方式以及基础资产选择等方面吸取次贷危机的教训，才能应对和预防未来类似的金融危机。 关键词：次贷危机；传导效应；历史波动率；流动性 6 Study of Transmission Effect in Financial Market Based on Subprime Crisis ABSTRACT Ever since 2007, American subprime crisis has grown into a globalized financial crisis as its scope and scale keep on spreading. The eruption of subprime crisis roots in frantic development of modernized global financial market and “Inverted pyramid structure“ of financial liquidity. Finding the reason of subprime crisis and its conduction effect in financial market can benefit our cognition of financial development pattern and monetary regulation mechanisms. This paper analyzes eruption of subprime crisis in macro and micro aspects. Loosely legal environment and regulation mechanism of open market not only generate opportunities of financial innovation but also hidden decomposition. Taxation policy and asset bubble of economic cycle contribute as macro factors of subprime. Participation of financial institutes and financial innovation also magnified those bubbles as micro factors. And rating agencies, as the bridge between macro and micro market, have not disclosed risk of the underlining asset properly. Based on quantity analysis of empirical data of house price index, stock index, bond index and derivative index in America before and after the eruption of subprime crisis, we study the risk and conduction effect of financial market using both static and dynamic analysis. We find that: (1) From static analysis: financial risk measured by historical volatility increases as the level of financial market. Even in the same level, different sectors (such as finance, industry and Public utilities) exposed to different risk. (2) From correlation analysis: compared to pre-crisis market, the correlation among markets changed a lot. This implied some financial products lost hedge function and some of them even expand the crisis. (3) From dynamic analysis: We find the evolution of conduction effect in different markets. ABX.HE index (illustrate default swap risk of subprime loan) does not have obvious relationship with stock and bond market. In the early stage of crisis, financial risk conducts from derivative market to stock and bond market; in later stage, financial market especially stock market becomes the main factor of market fluctuation. We also notice that market response of information varies among different market levels. In order to prevent similar financial crisis in the future, we need to learn the lesson of legal system, regulation mechanisms, credit rating and selection of basis assets from this 7 ongoing subprime crisis. KEY WORDS: subprime crisis; transmission effect; historical volatility; liquidity 10 图目录图目录 图 1-1 标普 500 指数. 1 图 1-2 ABX.HE 指数. 1 图 1-3 国际原油期货价格. 6 图 1-4 以占 GDP 百分比表示的全球金融存量 . 8 图 1-5 全球市场流动性结构. 9 图 1-6 倒金字塔结构 . 9 图 1-7 文章结构图. 10 图 2-1 CDO 的学术研究滞后于市场发展. 11 图 3-1 联邦基金目标利率. 15 图 3-2 美国债券市场构成. 15 图 3-3 美国 1980 年来住房开工率. 16 图 3-4 美国房屋价格指数. 16 图 3-5 2006 年 12 月美国房价下跌状况. 17 图 3-6 美国金融系统机构. 18 图 3-7 金