我国商业银行的资产证券化业务:现状分析、成效检验与动因探索
摘要
本文从市场参与情况、基础资产情况、不同类型银行发展情况、ABS参与度、市场竞争程度入手,对我国商业银行资产证券化业务的发展现状进行了详细分析。进一步,本文对我国商业银行开展资产证券化业务的实践成效进行了检验,研究发现:(1)开展资产证券化业务,对我国商业银行既有积极影响,又有消极影响。积极影响是提升了银行的流动性水平、资本充足率和运营效率,消极影响是降低了银行的运营稳健性和资本市场估值。(2)上述影响存在明显的异质性,银行的资产规模越大,开展资产证券化业务对其资本充足率和运营效率的积极影响就越大、对其资本市场估值的消极影响就越小。此外,本文还发现,改善盈利能力和改善资产质量,是我国商业银行开展资产证券化业务的主要动因。最后,本文根据分析内容和研究结论提出了相应的建议。
引文
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[2]Kothari V, Credit derivatives and securitization[R].Academy of Financial Services, Calcutta, 2002.
[3]Carey M, Stulz R M. Introduction to “The Risks of Financial Institutions”[J]. Nber Chapters, 2007, 119.
[4]Drucker S, Puri M. On Loan Sales, Loan Contracting, and Lending Relationships[J]. Proceedings,2009, 22(7):2835-2872.
[5]Affinito M, Tagliaferri E. Why do(or did?)banks securitize their loans? Evidence from Italy[J]. Journal of Financial Stability, 2010, 6(4):189-202.
[6]Loutskina E. The role of securitization in bank liquidity and funding management[J]. Journal of Financial Economics, 2011, 100(3):663-684.
[7]Casu B, Clare A, Sarkisyan A, et al. Does Securitization Reduce Credit Risk Taking? Empirical Evidence from US Bank Holding Companies[J]. Social Science Electronic Publishing, 2011, 17(9-10):769-788.
[8]Farruggio C, Uhde, André. Determinants of loan securitization in European banking[J]. Journal of Banking&Finance, 2015, 56:12-27.
[9]Acharya V V, Schnabl P, Suarez G. Securitization without risk transfer[J]. Journal of Financial Economics,2013, 107(3):515-536.
[10]Jones D, Mathur I. Emerging problems with the Basel Capital Accord:Regulatory capital arbitrage and related issues[J]. Journal of Banking&Finance, 2004,24(1):35-58.
[11]乔立群.中小上市银行市值管理的策略[J].银行家,2017(01):50-52.
[12]李梦花,聂思玥.资本充足率监管对银行稳健性的非线性影响——基于面板门槛模型的分析[J].中南财经政法大学学报,2016(03):60-70.
[13]郭甦,梁斯.资产证券化是否改变了商业银行的风险承担?——一个来自中国的证据[J].国际金融研究,2017(09):67-75.
[14]Maddala G S. Limited-Dependent and Qualitative Variables in Econometrics. Cambridge England Cambridge University Press, 1983, 79(387):80-81.
[15]白仲林.面板数据的计量经济分析[M].南开大学出版社,2008:76-77.
[2]Kothari V, Credit derivatives and securitization[R].Academy of Financial Services, Calcutta, 2002.
[3]Carey M, Stulz R M. Introduction to “The Risks of Financial Institutions”[J]. Nber Chapters, 2007, 119.
[4]Drucker S, Puri M. On Loan Sales, Loan Contracting, and Lending Relationships[J]. Proceedings,2009, 22(7):2835-2872.
[5]Affinito M, Tagliaferri E. Why do(or did?)banks securitize their loans? Evidence from Italy[J]. Journal of Financial Stability, 2010, 6(4):189-202.
[6]Loutskina E. The role of securitization in bank liquidity and funding management[J]. Journal of Financial Economics, 2011, 100(3):663-684.
[7]Casu B, Clare A, Sarkisyan A, et al. Does Securitization Reduce Credit Risk Taking? Empirical Evidence from US Bank Holding Companies[J]. Social Science Electronic Publishing, 2011, 17(9-10):769-788.
[8]Farruggio C, Uhde, André. Determinants of loan securitization in European banking[J]. Journal of Banking&Finance, 2015, 56:12-27.
[9]Acharya V V, Schnabl P, Suarez G. Securitization without risk transfer[J]. Journal of Financial Economics,2013, 107(3):515-536.
[10]Jones D, Mathur I. Emerging problems with the Basel Capital Accord:Regulatory capital arbitrage and related issues[J]. Journal of Banking&Finance, 2004,24(1):35-58.
[11]乔立群.中小上市银行市值管理的策略[J].银行家,2017(01):50-52.
[12]李梦花,聂思玥.资本充足率监管对银行稳健性的非线性影响——基于面板门槛模型的分析[J].中南财经政法大学学报,2016(03):60-70.
[13]郭甦,梁斯.资产证券化是否改变了商业银行的风险承担?——一个来自中国的证据[J].国际金融研究,2017(09):67-75.
[14]Maddala G S. Limited-Dependent and Qualitative Variables in Econometrics. Cambridge England Cambridge University Press, 1983, 79(387):80-81.
[15]白仲林.面板数据的计量经济分析[M].南开大学出版社,2008:76-77.