The Impacts of Asset Securitization on Financial Market Liquidity in Subprime Mortgage Crisis

The subprime mortgage crisis is a crunch crisis of the financial market liquidity.The asset securitization,connecting multiple benefit gainers,has a great responsibility for the process of liquidity crunch.By the VAR model of econometric theory,this paper empirically analyses the impacts of asset securitization on financial market liquidity in subprime mortgage crisis.The results show that the asset securitization indeed has lasting negative impacts on the liquidity of financial markets in the subprime mortgage crisis and leads to the conduction and diffusion of liquidity crunch.Therefore,it is necessary to supervise the asset securitization,prevent the principal-agent problem in the process of asset securitization,strengthen the information disclosure,improve the effectiveness of credit rating and meanwhile,to build the risk warning mechanism of asset securitization in three aeras,i.e.risk identification,risk warning and risk measures.