摘要
该文采用多元线性回归模型和ARMA模型相结合的方法就美国次贷危机的成因进行实证分析,指出了住房抵押贷款资产证券化比例和衍生工具交易规模对次级贷款发放规模有显著影响,且指出两者之间呈正相关;同时进一步实证得出房地产价格波动对次级贷款发放规模影响显著且呈负相关的结论。
This paper uses multiple linear regression model and the method of combining ARMA model to the causes of the U.S.subprime mortgage crisis for empirical analysis,that securitization of mortgage assets and derivatives transactions proportion have a significant effect on the size scale of the subprime loans and the further that the positive correlation between,while further evidence comes to conclusions that the real estate price fluctuations has significant effects on the subprime loans on the scale and both are negatively correlated.
出处
《杭州电子科技大学学报（自然科学版）》
2011年第6期159-162,共4页
Journal of Hangzhou Dianzi University：Natural Sciences
基金
浙江省哲学社会科学规划课题资助项目(CGJJ014YBX)
关键词
次贷危机
信用衍生工具
房地产市场价格
The subprime crisis
credit derivatives
the real estate market prices
