美国次级抵押贷款危机对中国的启示

上海交通大学硕士学位论文美国次级抵押贷款危机对中国的启示姓名：范晓莹申请学位级别：硕士专业：工商管理指导教师：费一文20080601ShanghaiJiaotongUniversity,MBADissertationTheinspirationfrom2007USsubprimecrisistoChinesemareket42007--ShanghaiJiaotongUniversity,MBADissertationTheinspirationfrom2007USsubprimecrisistoChinesemareket5-ShanghaiJiaotongUniversity,MBADissertationTheinspirationfrom2007USsubprimecrisistoChinesemareket6THEINSPIRATIONFROM2007USSUBPRIMECRISISTOCHINESEMARKETABSTRACTThe2007USSubprimeCrisisisahotissueinworldwide.Thereasonisnotonlythatithasspecialprocessingmechanismandbroadinfluenceintheglobaleconomy,butalsothatitoccursinthedevelopedfinancialmarketinUS.MoreandmoreresearchesbegintoreflectthehousingmortgageloansysteminChina.ThisthesisbeginswithadeepsightintoUSeconomicandregulatorybackground.Weanalyzetheinteractionamongmarketplayerswithamulti-agencymodel,whichisthemainreasonforconsiderableinadequatebehavior.Underthemulti-agencysituation,eachprincipalhavelessmotivationtomonitortheadequatebehaviorofthecorrespondingagency.Thus,thefinancialsystemoverreliesontheoutsidemonitoringandinformationsystem,whichisfarfromperfect.Whentheriskincreasespotentially,thecrisisfollows.Ononehand,themulti-agencymodelmakesitpossibleforthecomplicatedfinancialsystemtooperatesmoothly,anddramaticallyenhancestheefficiencyofsocialeconomy.Ontheotherhand,italsobringsanagencycost,whichmeanshugeriskinUScrisis.Uptonow,Chinafinancemarketisstillunderdevelopment,witharelativelysimplemarketstructureandimmaturemonitoringsystem.Wefindthatthereislittlepossibilityforanother“subprimecrisis”inChinainnearfuturesincethereisnosuchsystemasinUS.However,ChinesegovernmentshouldbecarefulwheninvitingthestructuredfinancialmarketsysteminShanghaiJiaotongUniversity,MBADissertationTheinspirationfrom2007USsubprimecrisistoChinesemareket7futurereformation.Thepointisthatwithoutanadequatemonitoringsystem,suchfinancialmarketwillbringunexpectedriskandthesituationmaygooutofcontrol.Keywords:subprimemortgagecrisis,structuredfinancialmarket,multi-agencyproblem,agencycost,monitoringsystemShanghaiJiaotongUniversity,MBADissertationTheinspirationfrom2007USsubprimecrisistoChinesemareket22008530ShanghaiJiaotongUniversity,MBADissertationTheinspirationfrom2007USsubprimecrisistoChinesemareket3MBA111.11.1.11231.1.2MBA21.1.31.2MBA322.12.1.19112000200020031%200665.25%01234567USbasicinterestrate(%)(2000-2007)MBA4[4]2.1.11CPI1996200686%CarlE.Case,Behaviorofthehomebuyersinboomandpost-boommarkets,CowlesFoundationDiscussionPaper890219871-20071Figure2RealUSHomePrices,RealOwnersEquivalentRent,andRealBuildingCosts,quarterly,1987-I-2007-I.MBA5zRealUSHomePriceistheS&P/Case-ShillerU.S.NationalHomePriceIndexdeflatedbytheconsumerPriceIndex(CPI-U),quarterly,rescaledto1987-I=100.zRealOwnersEquivalentRentistheU.S.BureauofLaborStatisticsOwnerEquivalentRentDecember1987=100fromtheCPI-UdividedbytheCPI-U,allitems,1982-4=100,bothforthefirstmonthofthequarter,rescaledto1987-I=100.RealbuildingcostistheMcGraw-HillConstruction/EngineeringNewsRecordBuildingCostIndexforthefirstmonthofthequarter(exceptfortheyears1987,1988and1989wheretheindexisonlyannual)deflatedbytheCPI-Uforthatmonth.3GDP19962006GDP35.9%86%0.02,000.04,000.06,000.08,000.010,000.012,000.014,000.0YEAR198819901992199419961998200020022004GDPinbillionsofcurrentdollarsGDPinbillionsofchained2000dollars:USnominalandrealGDPinpastyearsRobertJ.Shiller[5]2.1.3MBA62.22.2.1Alt-A(1)(2)199820041-3%SouphalaChomsisengphetandAnthonyPennington-Cross,TheEvolutionoftheSubprimeMortgageMarke,FEDERALRESERVEBANKOFST.LOUISREVIEWJANUARY/FEBRUARY200641998-2004Figure4Foreclosurerateofdifferenttypeofmortgageloan(198-2004)(3)9MBA79199520042%SouphalaChomsisengphetandAnthonyPennington-Cross,TheEvolutionoftheSubprimeMortgageMarke,FEDERALRESERVEBANKOFST.LOUISREVIEWJANUARY/FEBRUARY20065Figure5InterestrateofdifferenttypesofmortgageloaninUS(4)(5)99MBA8GDPpredatorymortgage2.2.2(1)[6]123SPV(specialpurposevehicle)[7]MBA9(2)RichardJ.Rosen[8]JohnKiffandPaulMills[9]Figure6SecuritizationprocessofmortgageloaninUSSPVMBSCDOCDOAAABBBunratedMBA10SPVspecialpurposevehicleSPVMBSmortgagebackedsecurityMBSAlt-AMBSMBSCDOMBSCDOcollateralizeddebtobligationtrencheCDOCDO10%3%3%Trenche20%CDOCDOCDOCDOCDO[10](3)1MBA112trench2.2.32.32.3.120062006720067200795-6%1997190019872007MBA120.0050.00100.00150.00200.00250.00300.00Jan-87Jan-88Jan-89Jan-90Jan-91Jan-92Jan-93Jan-94Jan-95Jan-96Jan-97Jan-98Jan-99Jan-00Jan-01Jan-02Jan-03Jan-04Jan-05Jan-06Jan-07Phoenix-AZPHXRLosAngelesLXXRSanDiegoSDXRSanFranciscoSFXRDenverDNXRWashingtonWDXRMiamiMIXRTampa-FLTPXRAtlanta-GAATXRChicagoCHXRBostonBOXRDetroit-MIDEXRMinneapolis-MNMNXRCharlotte-NCCRXR:S&P/Case-ShillerHomePriceIndicesDatabase7Figure7S&P/Case-ShillerHomepriceIndicesDatabase92006720079CSXR6%205%9Tempa-12%SanDiego-11%),Miami(-10%)1-7%10%2.3.220071016%200532008121%20076.8%43%[11]2007MBA13