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金融创新和衍生品的泛滥是2007年次贷危机爆发的根本原因之一,作为资产证券化产品之一的资产支持商业票据,其市场需求和供给的变化及最终崩溃在此次危机中起着推波助澜的作用。本文在近期相关文献研究的基础上,阐述了美国资产支持商业票据市场崩溃的三个主要原因,包括市场风险的加剧、其他短期融资渠道的替代和金融机构资产负债表效应,并利用Johansen协整检验和Granger因果检验进行验证,最后通过广义矩估计(GMM)方法对2007年美国资产支持商业票据市场的周数据进行回归分析,计量结果也表明以上三者都对资产支持商业票据市场产生了重要影响。
The proliferation of financial innovations and derivatives was one of the root causes of the subprime mortgage crisis in 2007. As one of asset-backed securities, asset-backed commercial paper played a part in the crisis due to changes in market demand and supply and its eventual collapse The role of fueling. Based on the recent literature, this article illustrates three main reasons for the collapse of the U.S. asset-backed commercial paper market, including the aggravation of the market risk, the substitution of other short-term financing channels and the balance sheet effect of financial institutions, and the use of Johansen cointegration Test and Granger causality test. Finally, we use the generalized moment estimation (GMM) method to analyze the weekly data of the US asset-backed commercial paper market in 2007, and the measurement results also show that all the above three factors are important to the asset-backed commercial paper market influences.