资源描述：
《资产证券化对金融体系的影响研究》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。
1、华中科技大学博士学位论文资产证券化对金融体系的影响研究姓名：吕川申请学位级别：博士专业：管理科学与工程指导教师：王韬20061001第三、推导出一个最低资本比率模型，以替代现有资本充足率计算公式，避免商业银行利用证券化进行“监管资本套利”（regulatorycapitalarbitrage）。资产证券化的发展的一个主要负面影响是使得金融监管的复杂度和难度提高，尤其是银行的风险更隐蔽，并且银行可能会追逐风险。主要原因是现有的巴塞尔资本协定在银行资本充足率方面的规定存在一定的缺陷，使得银行为了“监管资本套利”而实施资产证券化。本文推导出一个
2、最低资本比率模型，以替代现有资本充足率计算公式，避免商业银行利用证券化进行“监管资本套利”，从而降低资产证券化对银行体系风险的负面影响。关键词：资产证券化融资成本新兴国家债务市场监管资本套利IIAbstractWithitsrapiddevelopment,securitizationhassignificanteffectsonfinancialsystem,includingfinancialmarkets,institutionsandmonetarypolicies.Thisdissertationanalyzestheeffec
3、tsofsecutizationonfinancialmarkets,bankingsystem,monetarypolicyandregulatorysystem.Especially,aimingattheshortcomingsoftheliteraturerelativetothetopic,thefollowingthreeproblemsarestudiedwithemphasisinthispaper.Firstly,empiricalstudyoftheeffectsofsecuritizationonfinancingc
4、ostismadewithmorereasonabledata.LotsofscholarsmadeempiricaltestsofsecuritizationwiththedataofmortgagemarketoftheU.S.,wherethreegovernment-sponsoredenterprises(GSEs)playakeyroleinthesecondarymortgagemarket.AproblemarisesthatitisdifficulttodistinghishtheGSEs’contributionfro
5、mthatofsecuritizationitself.Australia’smortgagesecuritizationmarketreliesonprivatesectoractivityinsteadofgovernmentagencies.Therefore,thispaperestablishestwomodelscontaining17and19variablesrepectively,andmakesempiricalstudyoftheeffectsofsecuritizationonfinancingcostbyusin
6、gthepaneldataoftheAustralia’ssecondarymortgagemarket.Resultsoft-testsandregressionsofthispapersuggestthatsecuritizationcanhelpreducecostsfororiginatorsandborrowers,andthatpolicymakersandregulatorsshouldpromotesecuritizationfurther,whichremovesthedoubtofsomescholars.Second
7、ly,empiricalstudyoftheeffectsofsecuritizationonemergingmarketshasbeenmadeinthisdissertationwithnewresearchmethodology.Thereislittleempiricalresearchoftheeffectsofsecuritizationonemergingmarkets.Inthispaper,Perron’smethodoftestingforstructuralbreaksisusedtoinvestigatetheef
8、fects,andtheeffectofreachingBradyIIIagreementsisdistinguishedfromthatoftheissuranceofthebonds.It
