信贷资产证券化、异质性投资者和金融风险

doi:10.16381/j.cnki.issn1003-207x.201.06.004

中国管理科学 ›› 2015, Vol. 23 ›› Issue (6): 25-31.doi: 10.16381/j.cnki.issn1003-207x.201.06.004

信贷资产证券化、异质性投资者和金融风险

林敏华^1,2

1. 上海财经大学金融学院, 上海 200433;
2. 上海市金融信息技术研究重点实验室, 上海 200433

收稿日期:2013-11-05 修回日期:2014-07-21 出版日期:2015-06-20 发布日期:2015-07-22
作者简介:林敏华(1983-),女(汉族),福建人,上海财经大学金融学院博士研究生,研究方向:金融市场理论与实践.
基金资助:
上海财经大学2013年研究生创新基金资助项目(CXJJ-2013-307)

Credit Asset Securitization, Heterogeneous Investors, and Financial Risk

LIN Min-hua^1,2

1. School of Finance, Shanghai University of Finance and Economics, Shanghai 200433, China;
2. Shanghai Key Laboratory of Financial Information Technology, Shanghai 200433, China

Received:2013-11-05 Revised:2014-07-21 Online:2015-06-20 Published:2015-07-22

摘要/Abstract

摘要： 在Gennaioli等人^[1]建立的标准模型基础上,引入投资者异质性时间偏好和由投资者过度自信引起的异质性信念,探讨投资者非理性对金融风险的影响。研究发现,与Gennaioli等人^[1]的结论不一样,银行金融中介并不会利用投资者非理性发行更多的表面无风险实际有风险的债券,因此,非理性投资者参与资产证券化产品的交易并不会增加金融市场的风险。这一结论为信贷资产证券化产品在交易所发行交易,允许中小投资者参与其中提供了理论依据。

关键词: 信贷资产证券化, 异质性投资者, 金融风险

Abstract: Gennaioli,Shleifer and Vishny^[1] investigate only one type of investor with local thinking and argue that financial fragility is caused by investors neglecting some risks.However,bonds from credit asset securitization are allowed to be traded by not only institutional investors but also individual investors in China, which is different from the fact of developed capital markets.Different types of investors have great heterogeneity, which may make GSV's model not work in China. Based on the standard model of Gennaioli,Shleifer and Vishny^[1], another model is developted, in which two types of investors who have heterogeneous investor time preferences and who have heterogeneous investor beliefs caused by overconfidence are considered to study the effect of investor irrationality on financial risks. It is found that, contrary to Gennaioli^[1],investor irrationality won't cause banks the overissuance of bonds securitized by credit assets, which provides the theoretical evidence for Chinese government's decision that bonds securitized by credit assets will be traded in the exchange.

Key words: credit asset securitization, heterogeneous investors, financial risk

中图分类号:

林敏华. 信贷资产证券化、异质性投资者和金融风险[J]. 中国管理科学, 2015, 23(6): 25-31.

LIN Min-hua. Credit Asset Securitization, Heterogeneous Investors, and Financial Risk[J]. Chinese Journal of Management Science, 2015, 23(6): 25-31.

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信贷资产证券化、异质性投资者和金融风险

Credit Asset Securitization, Heterogeneous Investors, and Financial Risk

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