| 摘要: | 證券化籌資與實質生產活動 Securitization and Real Production Activities 計畫建立一個具有個人流動性街擊 (liquidity shock)、 總體街擊 (aggregate shocks) 及不同生產投資案 的銀行決策模型, 討論證券化籌資如何影響銀行的資產組合; 並進一步影響不同總體景氣狀況下, 整體社會 的產出的波動。 同時討論在銀行可以證券化其資產下, 資本通足 (capital adequacy) 規範的政策意涵。 2007-08 金融風暴發生前, 很多文獻對證券化 (securitization) 的影響持正面的態度。 隨著金融海嘯的 發生及隨後所引發的金融體系的波瀾, 顛覆了這個正面的印象 (Shin (2009))。 學術界重新按視金融創新 (financial innovation) 與金融機構證券化籌資對經濟活動的影響。 金融資產證券化便利了金融機構的資金 籌措及信用風險移轉, 對市場流動性 (liquidity)、 銀行的資金管理 (funding management)、 資產組合選擇 (portfolio choice) 及金融穩定性 (financial stability) 產生了重大的影響 (Adrian and Shin (2008, 2010); Brunnermeier (2009); Diamond and Rajan (2009); Gorton (2008, 2009); Krishnamurthy (2010); Lout- skina (2011); Wagner (2010))。 金融危機後, 實質經濟活瞬間急凍, 既存的總體經濟模型似乎僅能以外在街擊解釋 (Stiglitz (2011))。 2008 金融危機及隨後的實質經濟的波動反應著金融部門和實質部門間的文互影響, 內生活動的結果。 如 何將現實社會金融機構的活動和總體經濟活動結合, 成為經濟學家的重要課題 (Stiglitz (2011); Woodford (2010))。 本研究計畫案嘗試跨朝這個方向跨出一步, 建立一個銀行決策模型, 討論證券化籌資如何影響銀行的 資產組合決策, 影響生產投資案的融資, 進而產生不同景氣狀況下, 經濟活動的波動。
To explore how securitization affects banks’ decisions on their asset portfolios, which in turn affects aggregate productions under different macroeconomic situations, this research model is to build a theo- retical model of banking with liquidity shocks, aggregate shocks and different production projects. The policy implications of capital adequacy in our environment of securitization are also covered. Before the 2007-2008 financial crises, securitization was well accepted for it promoting banks’ capa- bility of raising or recycling funds. However, this positive image changed after the crisis (Shin (2009)). Researchers have reexamined how financial innovation impacts on financial institutions’ behaviors and fi- nancial stability. Securitization facilitates financial institutions’ capability of raising funds, promotes risk transfers, and has huge impacts on market liquidity, funding management, portfolio choices and financial stability (Adrian and Shin (2008, 2010); Brunnermeier (2009); Diamond and Rajan (2009); Gorton (2008, 2009); Krishnamurthy (2010); Loutskina (2011); Wagner (2010)). After the 2007-2008 financial crises, the real economy slid into deep downturns, and the existing macroeconomic models could only explain this phenomenon by appealing to external shocks (Stiglitz (2011)). The crises and the economic fluctuation after the crises indicates financial and real activities interact each other in an endogenous way. How to embed the behaviors of financial institutions into macroeconomic analysis becomes important tasks for economists (Stiglitz (2011); Woodford (2010)). This project tries to make a progress toward this direction by building up a theoretical model of banking to discuss how securitization affects banks’ decisions on their asset portfolios, and how banks’ decisions affect aggregate production in different macroeconomic situations. |
