商业研究

商业研究

• 商经理论 • 上一篇    下一篇

政策因素下资产证券化能否降低银行信用风险？. ——以中国银行业为例的实证检验

王晓1,2，李佳3，李梦艺4   

  1. 1.中央财经大学 数学与统计学院，北京 100081；2.山东财经大学 经济学院，济南 250014；
  • 收稿日期:2019-04-02 出版日期:2019-09-16
  • 作者简介:王晓（1983-），女，山东淄博人，山东财经大学经济学院副教授，中央财经大学数学与统计学院在站博士后，经济学博士，研究方向：宏观经济与货币政策;李佳（1981-），男，河南商丘人，山东师范大学经济学院副教授，金融学博士，研究方向：金融市场与金融稳定；李梦艺（1987-），女，河南商丘人，商丘职业技术学院经济师，法学硕士，研究方向：法经济学。
  • 基金资助:
    国家社科基金项目“经济下行期资产证券化创新对银行风险承担的影响研究”，项目编号：16CJY070。

Can Asset Securitization Reduce Bank Credit Risk under Policy Factors?. An Empirical Examination of China′s Banking Industry

WANG Xiao1,2, LI Jia3,LI Meng-yi4.   

  1. ( 1.School of Statistics and Mathematics, Central University of Finance and Economics, Beijing 100081,China;2.School of Economics, Shandong University of Finance and Economics, Jinan 250014,China;3.School of Economics, Shandong Normal University, Jinan 250358,China; 4.Shangqiu Polytechnic,Shangqiu 476000,China)
  • Received:2019-04-02 Online:2019-09-16

摘要： 资产证券化一直被视为转移和管理信用风险的重要工具之一，而我国的资产证券实践中政策因素发挥着重要的推动作用。本文在分析政策因素在资产证券化影响银行信用风险作用机理的基础上，实证检验其作用效果。研究表明：一方面，2014年底及2015年初，资产证券化业务审批制向注册制或备案制的政策转变，显著促进了资产证券化降低银行信用风险的作用；另一方面，在政策因素推动下，资产证券化对信用风险的影响在不同银行微观特征之间存在差异，若资产流动性、资本规模、营利性越低，及风险资产占比越高，资产证券化越有利于缓解信用风险，同时相比上市银行和规模较大银行，资产证券化对非上市银行与规模较小银行信用风险的降低程度更高。因此，监管当局应逐步完善制度体系，优化资产证券化发展模式，针对不同银行采取差异化的政策措施，并规范资产证券化业务主体行为，防止针对资产证券化功能的过度使用。

关键词: 政策因素, 资产证券化, 商业银行, 信用风险

Abstract: Asset securitization has always been regarded as one of the important tools to transfer and manage credit risk, and policy factors play an important role in the practice of asset securities in China.This paper empirically tests the effect of policy factors on bank credit risk based on the analysis of the mechanism of asset securitization affecting bank credit risk.The research shows that, on the one hand, at the end of 2014 and the beginning of 2015, the policy change from the examination and approval system of asset securitization to the registration system or the filing system has significantly promoted the effect that asset securitization reduces bank credit risk;on the other hand, driven by policy factors, the impact of asset securitization on credit risk varies among different banks′ micro-characteristics:if asset liquidity, capital scale, profitability are lower, and the proportion of risky assets is higher, asset securitization is more conducive to mitigating credit risk,at the same time, compared with listed banks and larger banks, asset securitization has a higher degree of reduction in credit risk of non-listed banks and smaller banks.Therefore, the regulatory authorities should gradually improve the system, optimize the development model of asset securitization, adopt differentiated policies and measures for different banks, and standardize the main acts of asset securitization business, so as to prevent the overuse of the function of asset securitization.

Key words: policy factors, asset securitization, commercial banks, credit risk