貸出債権の証券化とマクロ経済(<特集>21世紀型世界恐慌と恐慌論研究の課題)

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  • Securitization of Loan Assets and the Macroeconomy(<SPECIAL ISSUE>World Economic Crisis of 21 Century and New Problem of Economic Crisis Theory)
  • 貸出債権の証券化とマクロ経済
  • カシダシ サイケン ノ ショウケンカ ト マクロ ケイザイ

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The global financial meltdown triggered by the subprime mortgage crisis in the US can never be considered without reference to the difference between the traditional "originate to hold" model of financial intermediation, where loan assets are held by banks till their maturities, and the "originate-to-distribute" model, which is based on the securitization of loan assets. This paper examines how the evolution of a financial system affects the macroeconomy from the perspective of the securitization of loan assets and the resulting shifts in the flow of funds among economic sectors. The examination yielded the following findings and interpretations. First, the sales of loan assets from banks to securities-issuing institutions (represented by the Special Purpose Vehicles, or the Structured Investment Vehicles) and the issuance of securities backed by those loan assets allow illiquid loan assets on the balance sheets of banks to be converted into more liquid assets, such as cash or reserves, thus extending flexibilities in the banks' management of their assets. Second, in case loan assets should be sold from banks to the asset-purchasing entities without issuance of securities backed by those loan assets, there can be no conversion from loan assets to more liquid assets like cash or reserves in the asset column of banks' balance sheets. Third, those institutional practices to enhance the market liquidity of the securities backed by loan assets, and those that facilitate investors to acquire those securities as stores of value, can be considered to lead to greater flexibilities in the banks' management of their assets. Fourth, the liquidity preference of banks can provide relevant perspectives for the reason why banks will sell their loan assets to security-issuing institutions and hold the proceeds from the sales of those assets in liquid form at the cost of interest revenues from loan repayments. From the perspective of this paper, those policies that facilitate securitization of loan assets and, more broadly, securitization of finance, will lead to higher priorities on extending flexibilities in the asset management of financial sectors.

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