Securitization as a response to monetary policy
Securitization as a response to monetary policy
复制标题
证券化作为对货币政策的回应
DOI：
10.1002/ijfe.1721
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发表时间：
2019
影响因子：
2.9
通讯作者：
Xiaonian Xu
中科院分区：
文献类型：
--
作者：
Jiarui Zhang;Xiaonian Xu
本文研究了货币宽松政策如何激励银行承担风险发行抵押贷款支持证券（MBS），以及MBS的“柠檬”属性为何促使MBS购买者愿意以高价购买高风险证券。银行需要股本来吸引存款。货币宽松减少了这一需求，银行提高了杠杆率，减少了监管力度。流动性和风险分担的内在需求促使银行发行MBS。证券购买者理解银行面临的道德风险问题，但愿意以高价购买银行证券，因为货币宽松也会降低他们的资金成本。
This paper studies how monetary easing provides incentives for banks to take risk and issue mortgage‐backed securities (MBS) and, because MBS have the “lemon” property, why MBS buyers are willing to purchase high‐risk securities at high prices. Banks need equity to attract deposits. Monetary easing reduces this need, and banks leverage up and reduce their monitoring efforts. The internal need for liquidity and risk sharing motivates banks to issue MBS. Security buyers understand the moral hazard problem that banks face but are willing to purchase bank securities at high prices because monetary easing would also reduce their cost of funds.