资产证券化、风险贷款与商业银行流动性风险
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摘要
从资产证券化发行强度角度出发,本文采用PSM和GMM方法并利用中国商业银行2012-2016年数据实证分析资产证券化对商业银行流动性风险的影响。研究表明,资产证券化发行在提高商业银行风险偏好的同时显著增加银行风险贷款水平,并且资产证券化通过增加商业银行风险贷款而溢出流动性风险;资产证券化强度导致银行增加风险贷款,并在一定程度上提高流动性风险水平,集聚流动性危机。
From the perspective of the intensity of asset securitization issuance, the authors of this paper use the PSM and GMM methods, and the data of Chinese commercial banks during 2012-2016 to empirically test the impacts of asset securitization on the liquidity risks of commercial banks. The results of the paper show that the asset securitization issuance increases risk loans of commercial banks while it enhances the risk preference of commercial banks; the asset securitization make the liquidity risks spill over by increasing risk loans of the banks; the intensity of asset securitization increases the risk loans of the banks, the level of liquidity risks and the liquidity crisis to some extent.
From the perspective of the intensity of asset securitization issuance, the authors of this paper use the PSM and GMM methods, and the data of Chinese commercial banks during 2012-2016 to empirically test the impacts of asset securitization on the liquidity risks of commercial banks. The results of the paper show that the asset securitization issuance increases risk loans of commercial banks while it enhances the risk preference of commercial banks; the asset securitization make the liquidity risks spill over by increasing risk loans of the banks; the intensity of asset securitization increases the risk loans of the banks, the level of liquidity risks and the liquidity crisis to some extent.
引文
郭红玉、高磊、史康帝,2018.资产证券化对商业银行流动性风险的影响---基于流动性缓冲视角[J].金融论坛,(2):9-19,34.
何靖,2016.延付高管薪酬对银行风险承担的政策效应---基于银行盈余管理动机视角的PSM-DID分析[J].中国工业经济,(11):126-143.
廖岷、杨元元,2008.全球商业银行流动性风险管理与监管的发展状况及其启示[J].金融研究,(6):69-79.
王晓、李佳,2010.从美国次贷危机看资产证券化的基本功能[J].金融论坛,(1):67-71.
Altunbas,Y.,Gambacorta,L.,and Marques-Ibanez,D.,2010.Bank Risk and Monetary Policy[J].Journal of Financial Stability,6(3):121-129.
Ambrose,B.W.,LaCour-Little.M.,and Sanders,A.B.,2005.Does Regulatory Capital Arbitrage,Reputation,or Asymmetric Information Drive Securitization?[J].Journal of Financial Services Research,28(1-3):113-133.
Banerjee,R.N.,2012.Banking Sector Liquidity Mismatch and the Financial Crisis[R].Bank of England Working Papers.
Bannier,C.E.,and H覿nsel,D.N.,2008.Determinants of European Banks’Engagement in Loan Securitization[R].Discussion Paper,Deussche Bundesbank.
Blundell,R.,and Bond,S.,1998.Initial Conditions and Moment Restrictions in Dynamic Panel Data Models[J].Journal of Econometrics,87(1):115-143.
Brunnermeier,M.K.,Gorton,G.,and Krishnamurthy,A.,2011.Risk Topography[M]//NBER Macroeconomics Annual 2011,Volume 26.University of Chicago Press,149-176.
Casu,B.,Clare,A.,Sarkisyan,A.,et al.,2013.Securitization and Bank Performance[J].Journal of Money Credit&Banking,45(8):1617-1658.
Cebenoyan,A.S.,and Strahan,P.E.,2004.Risk Management,Capital Structure and Lending at Banks[J].Journal of Banking&Finance,28(1):19-43.
Cornett,M.,Mc Nutt,J.,Strahan,P.,and Tehranian,H.,2011.Liquidity Risk Management and Credit Supply in the Financial Crisis[J].Journal of Financial Economic,(101):297-312.
Demyanyk,B.Y.,and Hemert,V.O.,2011.Understanding the Subprime Mortgage Crisis[J].Review of Financial Studies,(24):1848-1880.
Dionne,G.,and Harchaoui,T.M.,2003.Banks’Capital,Securitization and Credit Risk:An Empirical Evidence for Canada[R].HEC Working Paper No.03-01.
Elul,R.,1995.Welfare Effects of Financial Innovation in Incomplete Markets Economies with Several Consumption Goods[J].Journal of Economic Theory,65:43-78.
Ioannidou,V.P.,and Penas,M.F.,2010.Deposit Insurance and Bank Risk-taking:Evidence from Internal Loan Ratings[J].Journal of Financial Intermediation,19(1):95-115.
Jiangli,W.,and Pritsker,M.,2008.The Impacts of Securitization on US Bank Holding Companies[R].Mimeo.
Keys,B.J.,Mukherjee,T.,Seru,A.,et al.,2010.Did Securitization Lead to Lax Screening?Evidence from Subprime Loans[J].The Quarterly Journal of Economics,125(1):307-362.
Kiff,J.,Michaud,F.L.,and Mitchell,J.,2003.An Analytical Review of Credit Risk Transfer Instruments[J].Banque de France Financial Stability Review,106-131.
Krainer,J.,and Laderman,E.,2014.Mortgage Loan Securitization and Relative Loan Performance[J].Journal of Financial Services Research,45(1):39-66.
Loutskina,E.,2011.The Role of Securitization in Bank Liquidity and Funding Management[J].Journal of Financial Economics,100(3):663-684.
Mian,A.,and Sufi,A.,2009.The Consequences of Mortgage Credit Expansion:Evidence from the U.S.Mortgage Default Crisis[J].Quarterly Journal of Economics,124(4):1449-1496.
Nadauld,T.D.,and Weisbach,M.S.,2012.Did Securitization Affect the Cost of Corporate Debt?[J].Journal of Financial Economics,105(2):332-352.
Piskorski,T.,Seru,A.,and Vig,V.,2010.Securitization and Distressed Loan Renegotiation:Evidence from the Subprime Mortgage Crisis[J].Journal of Financial Economics,97(3):369-397.
Purnanandam,A.,2011.Originate-to-distribute Model and the Subprime Mortgage Crisis[J].The Review of Financial Studies,24(6):1881-1915.
Rosenbaum,Paul R.,and Donald,B.,1984.Rubin.Reducing Bias in Observational Studies Using Subclassification on the Propensity Score[J].Journal of the American Statistical Association,79(387):516-524.
Stulz,R.M.,2010.Credit Default Swaps and the Credit Crisis[J].The Journal of Economic Perspectives,24(1):73-92.
Wagner,W.,2007.Financial Development and the Opacity of Banks[J].Economics Letters,97(1):6-10.
Wu,D.,and Yang,J.,2008.Securitization,Liquidity,Risk and Banks’Risk Exposure[R].Working Paper,1-46.
(1)Loutskina(2011)度量资产证券化强度采用的是如下方法:用市场j类贷款已证券化的数额除以j类贷款总的数额,然后再乘以银行i在j类贷款中的数额。
何靖,2016.延付高管薪酬对银行风险承担的政策效应---基于银行盈余管理动机视角的PSM-DID分析[J].中国工业经济,(11):126-143.
廖岷、杨元元,2008.全球商业银行流动性风险管理与监管的发展状况及其启示[J].金融研究,(6):69-79.
王晓、李佳,2010.从美国次贷危机看资产证券化的基本功能[J].金融论坛,(1):67-71.
Altunbas,Y.,Gambacorta,L.,and Marques-Ibanez,D.,2010.Bank Risk and Monetary Policy[J].Journal of Financial Stability,6(3):121-129.
Ambrose,B.W.,LaCour-Little.M.,and Sanders,A.B.,2005.Does Regulatory Capital Arbitrage,Reputation,or Asymmetric Information Drive Securitization?[J].Journal of Financial Services Research,28(1-3):113-133.
Banerjee,R.N.,2012.Banking Sector Liquidity Mismatch and the Financial Crisis[R].Bank of England Working Papers.
Bannier,C.E.,and H覿nsel,D.N.,2008.Determinants of European Banks’Engagement in Loan Securitization[R].Discussion Paper,Deussche Bundesbank.
Blundell,R.,and Bond,S.,1998.Initial Conditions and Moment Restrictions in Dynamic Panel Data Models[J].Journal of Econometrics,87(1):115-143.
Brunnermeier,M.K.,Gorton,G.,and Krishnamurthy,A.,2011.Risk Topography[M]//NBER Macroeconomics Annual 2011,Volume 26.University of Chicago Press,149-176.
Casu,B.,Clare,A.,Sarkisyan,A.,et al.,2013.Securitization and Bank Performance[J].Journal of Money Credit&Banking,45(8):1617-1658.
Cebenoyan,A.S.,and Strahan,P.E.,2004.Risk Management,Capital Structure and Lending at Banks[J].Journal of Banking&Finance,28(1):19-43.
Cornett,M.,Mc Nutt,J.,Strahan,P.,and Tehranian,H.,2011.Liquidity Risk Management and Credit Supply in the Financial Crisis[J].Journal of Financial Economic,(101):297-312.
Demyanyk,B.Y.,and Hemert,V.O.,2011.Understanding the Subprime Mortgage Crisis[J].Review of Financial Studies,(24):1848-1880.
Dionne,G.,and Harchaoui,T.M.,2003.Banks’Capital,Securitization and Credit Risk:An Empirical Evidence for Canada[R].HEC Working Paper No.03-01.
Elul,R.,1995.Welfare Effects of Financial Innovation in Incomplete Markets Economies with Several Consumption Goods[J].Journal of Economic Theory,65:43-78.
Ioannidou,V.P.,and Penas,M.F.,2010.Deposit Insurance and Bank Risk-taking:Evidence from Internal Loan Ratings[J].Journal of Financial Intermediation,19(1):95-115.
Jiangli,W.,and Pritsker,M.,2008.The Impacts of Securitization on US Bank Holding Companies[R].Mimeo.
Keys,B.J.,Mukherjee,T.,Seru,A.,et al.,2010.Did Securitization Lead to Lax Screening?Evidence from Subprime Loans[J].The Quarterly Journal of Economics,125(1):307-362.
Kiff,J.,Michaud,F.L.,and Mitchell,J.,2003.An Analytical Review of Credit Risk Transfer Instruments[J].Banque de France Financial Stability Review,106-131.
Krainer,J.,and Laderman,E.,2014.Mortgage Loan Securitization and Relative Loan Performance[J].Journal of Financial Services Research,45(1):39-66.
Loutskina,E.,2011.The Role of Securitization in Bank Liquidity and Funding Management[J].Journal of Financial Economics,100(3):663-684.
Mian,A.,and Sufi,A.,2009.The Consequences of Mortgage Credit Expansion:Evidence from the U.S.Mortgage Default Crisis[J].Quarterly Journal of Economics,124(4):1449-1496.
Nadauld,T.D.,and Weisbach,M.S.,2012.Did Securitization Affect the Cost of Corporate Debt?[J].Journal of Financial Economics,105(2):332-352.
Piskorski,T.,Seru,A.,and Vig,V.,2010.Securitization and Distressed Loan Renegotiation:Evidence from the Subprime Mortgage Crisis[J].Journal of Financial Economics,97(3):369-397.
Purnanandam,A.,2011.Originate-to-distribute Model and the Subprime Mortgage Crisis[J].The Review of Financial Studies,24(6):1881-1915.
Rosenbaum,Paul R.,and Donald,B.,1984.Rubin.Reducing Bias in Observational Studies Using Subclassification on the Propensity Score[J].Journal of the American Statistical Association,79(387):516-524.
Stulz,R.M.,2010.Credit Default Swaps and the Credit Crisis[J].The Journal of Economic Perspectives,24(1):73-92.
Wagner,W.,2007.Financial Development and the Opacity of Banks[J].Economics Letters,97(1):6-10.
Wu,D.,and Yang,J.,2008.Securitization,Liquidity,Risk and Banks’Risk Exposure[R].Working Paper,1-46.
(1)Loutskina(2011)度量资产证券化强度采用的是如下方法:用市场j类贷款已证券化的数额除以j类贷款总的数额,然后再乘以银行i在j类贷款中的数额。