美國政府支持機構所發行之房貸基礎證券是否無違約風險

Abstract

在2008 年7 月爆發的二房事件，引發投資人對於此信用評等為AAA 的政府隱性擔保房貸機構產生倒閉的疑慮，我們將說明事件爆發後，投資人確實有不安的反應並且反應在其證券價格上。另外，事件的收尾是二房由美國政府接管，我們亦發現接管後其要求報酬率顯著下降，甚至比二房事件前的要求報酬率下降許多，暗示著在沒有政府的顯性擔保下，即便是像二房這樣看似不可能倒閉的機構，也被投資人要求信用風險溢酬。

The chain of events was originated from the subprime crisis, which resulted in FNMA-FHLMC crisis on July, 2008. The crisis caused a default potential for GSEs MBS. We examine the effect of this event chain on the yield spreads between FNMA MBS and GNMA MBS and between FHLMC MBS and GNMA MBS. We find that both the FNMA-GNMA and FHLMC-GNMA spreads were increased during the event period. There was also evidence that the taking over action had a sustained effect on FNMA-GNMA and FHLMC-GNMA spreads. We can conclude there existed default premiums for these GSEs MBS.