资产证券化、利率市场化和商业银行系统性风险
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摘要
选用2012年我国资产证券化重启后沪深股市16家主要上市商业银行数据,通过构建我国商业银行系统性风险指标体系衡量商业银行系统性风险,引入Loutskina构建的"证券化指数"衡量信贷资产证券化,对利率市场化背景下信贷资产证券化对商业银行系统性风险的影响进行了实证分析。研究结果表明,在我国资产证券化发展初期,信贷资产证券化降低了商业银行系统性风险,而利率市场化进程减弱了这一影响。此外,不同类型商业银行信贷资产证券化对商业银行系统性风险的降低作用具有机构异质性,股份制商业银行信贷资产证券化对商业银行系统性风险的削弱程度最深,城市商业银行次之,国有控股商业银行影响程度最轻。
Based on the data of 16 major listed commercial banks in the Shanghai and Shenzhen stock markets after the restart of China's asset securitization in 2012, we measured the systemic risk of commercial banks by constructing a systematic risk indicator system of commercial banks in China, and introduced the "securitisation index" constructed by Loutskina to measure credit asset securities. The paper analyzes the impact of credit asset securitization on the systemic risk of commercial banks in the context of interest rate marketization. The research results show that in the initial stage of asset securitization in China, the credit asset securitization reduced the systemic risk of commercial banks, and the interest rate marketization process weakened this effect. In addition, the credit asset securitization of different types of commercial banks has an institutional heterogeneity in reducing the systemic risk of commercial banks. The credit asset securitization of joint-stock commercial banks weakens the systemic risks of commercial banks the most, followed by urban commercial banks. Holding commercial banks have the least impact.
Based on the data of 16 major listed commercial banks in the Shanghai and Shenzhen stock markets after the restart of China's asset securitization in 2012, we measured the systemic risk of commercial banks by constructing a systematic risk indicator system of commercial banks in China, and introduced the "securitisation index" constructed by Loutskina to measure credit asset securities. The paper analyzes the impact of credit asset securitization on the systemic risk of commercial banks in the context of interest rate marketization. The research results show that in the initial stage of asset securitization in China, the credit asset securitization reduced the systemic risk of commercial banks, and the interest rate marketization process weakened this effect. In addition, the credit asset securitization of different types of commercial banks has an institutional heterogeneity in reducing the systemic risk of commercial banks. The credit asset securitization of joint-stock commercial banks weakens the systemic risks of commercial banks the most, followed by urban commercial banks. Holding commercial banks have the least impact.
引文
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[22]彭星,李斌.利率市场化、价格竞争与城市商业银行风险——来自面板数据门限模型的经验证据[J].商业经济与管理,2015(5):68-78
[23]项后军,闫玉.理财产品发展、利率市场化与银行风险承担问题研究[J].金融研究,2017(10):99-114
[24]刘红霞,幸丽霞.商业银行信贷资产证券化行为动机研究——基于监管主导与市场选择的对比视角[J].证券市场导报,2016(02):47-53
[25]黄湃.论利率市场化与商业银行金融创新[J].金融理论与实践,2001(01):26-27
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[27]张嘉明,王垚,李宝伟,张云.货币政策、利率市场化与影子银行:来自宏观和微观两个层面的经验证据[J].金融经济学研究,2017,32(05):3-16
[28]高新国.资产证券化的障碍与对策[J].中国金融,2014(10):37-40
[29]刘志强.金融危机预警指标体系研究[J].世界经济,1999(04):17-23
[30]唐旭,张伟.论建立中国金融危机预警系统[J].经济学动态,2002(06):7-12
[31]陈守东,杨莹,马辉.中国金融风险预警研究[J].数量经济技术经济研究,2006(07):36-48
[32]Elena Loutskina. The role of securitization in bank liquidity and funding management[J]. Journal of Financial Economics,2011,100(3)
[33]曹彬.资产证券化对我国商业银行盈利能力影响研究[J].宏观经济研究,2017(05):143-149
[34]左峥,唐兴国,刘艺哲.存款利率市场化是否会提高银行风险——基于存贷利差收窄的一个视角[J].财经科学,2014(02):20-29
[35]温忠麟,侯杰泰,张雷.调节效应与中介效应的比较和应用[J].心理学报,2005,37(2):268-274
[36]Adrian T,Brunnermeier M.CoVaR[R]. Federal Reserve Bank of New York Staff Report No.348,2008
[2]Jiangli W,Pritsker M.TheImpacts of Securitization on US Bank Holding Companies[J]. Social Science Electronic Publishing, 2008, 283(May):377-393
[3]Barbara Casu,Andrew Clare,Anna Sarkisyan,et al.Does securitization reduce credit risk taking? Empirical evidence from US bank holding companies[J].European Journal of Finance, 2011, 17(9-10):769-788
[4]Agarwal S,Chang Y,Yavas A.Adverse selection in mortgage securitization[J]. Journal of Financial Economics, 2012, 105(3):640-660
[5]Acharya V V,Yorulmazer T.Cash-in-the-MarketPricingandOptimal Resolution of Bank Failures[J]. Review of Financial Studies, 2008, 21(6):2705-2742
[6]Cardone-Riportella C,Samaniego-Medina R,Trujillo-Ponce A.Whatdrivesbank securitisation?The Spanish experience[J].Journal of Banking&Finance,2010,34(11):2639-2651
[7]Gorton G, Metrick A. Securitized banking and the run on repo[J]. Journal of Financial Economics, 2012, 104(3):425-451
[8]Raffestin L. Diversification and systemic risk[J].Journal of Banking&Finance, 2014, 46(3):85-106
[9]李丛文.信贷证券化减少我国银行系统性风险了吗?[J].国际金融研究,2015,338(6):65-75
[10]王军生,邹东哲.信贷资产证券化对银行业稳定性经营的影响[J].金融理论与实践,2016(7):57-61
[11]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
[12]姚禄仕,王璇,宁霄.银行信贷资产证券化效应的实证研究——基于美国银行业的面板数据[J].国际金融研究,2012(9):71-78
[13]高蓓,张明,邹晓梅.资产证券化与商业银行经营稳定性:影响机制、影响阶段与危机冲击[J].南开经济研究,2016(04):17-37
[14]李文泓.资产证券化的资本充足率框架及其对我国的启示[J].金融研究,2005(8):99-111
[15]赵俊强,韩琳,李湛.信用风险转移与银行系统表现——基于美国信用衍生品交易市场面板数据的实证研究[J].金融研究,2007(5a):147-160
[16]倪志凌.动机扭曲和资产证券化的微观审慎监管——基于美国数据的实证研究[J].国际金融研究,2011(8):75-87
[17]庄毓敏,孙安琴,毕毅.信用风险转移创新与银行(体系)的稳定性——基于美国银行数据的实证研究[J].金融研究,2012(6):83-94
[18]赵晓娜.利率市场化背景下的商业银行信贷资产证券化[J].湖北经济学院学报,2015(2):40-44
[19]中国外汇交易中心课题组.我国资产证券化的路径选择与制度安排[J].上海金融,2013(11):71-77
[20]王芳.利率市场化背景下我国信贷资产证券化发展问题研究[J].中州学刊,2015(4):30-33
[21]张宗益,吴恒宇,吴俊.商业银行价格竞争与风险行为关系——基于贷款利率市场化的经验研究[J].金融研究,2012(7):1-14
[22]彭星,李斌.利率市场化、价格竞争与城市商业银行风险——来自面板数据门限模型的经验证据[J].商业经济与管理,2015(5):68-78
[23]项后军,闫玉.理财产品发展、利率市场化与银行风险承担问题研究[J].金融研究,2017(10):99-114
[24]刘红霞,幸丽霞.商业银行信贷资产证券化行为动机研究——基于监管主导与市场选择的对比视角[J].证券市场导报,2016(02):47-53
[25]黄湃.论利率市场化与商业银行金融创新[J].金融理论与实践,2001(01):26-27
[26]中国人民银行上海总部公开市场操作部课题组,朱沛.同业创新业务对中小商业银行流动性管理带来的挑战及应对[J].上海金融,2015(08):15-28
[27]张嘉明,王垚,李宝伟,张云.货币政策、利率市场化与影子银行:来自宏观和微观两个层面的经验证据[J].金融经济学研究,2017,32(05):3-16
[28]高新国.资产证券化的障碍与对策[J].中国金融,2014(10):37-40
[29]刘志强.金融危机预警指标体系研究[J].世界经济,1999(04):17-23
[30]唐旭,张伟.论建立中国金融危机预警系统[J].经济学动态,2002(06):7-12
[31]陈守东,杨莹,马辉.中国金融风险预警研究[J].数量经济技术经济研究,2006(07):36-48
[32]Elena Loutskina. The role of securitization in bank liquidity and funding management[J]. Journal of Financial Economics,2011,100(3)
[33]曹彬.资产证券化对我国商业银行盈利能力影响研究[J].宏观经济研究,2017(05):143-149
[34]左峥,唐兴国,刘艺哲.存款利率市场化是否会提高银行风险——基于存贷利差收窄的一个视角[J].财经科学,2014(02):20-29
[35]温忠麟,侯杰泰,张雷.调节效应与中介效应的比较和应用[J].心理学报,2005,37(2):268-274
[36]Adrian T,Brunnermeier M.CoVaR[R]. Federal Reserve Bank of New York Staff Report No.348,2008