信用衍生品对商业银行信贷规模与质量的影响
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摘要
信用衍生品在次级债危机中表现出了对金融体系的负面影响力,引起了广泛的关注和争议。商业银行是信用衍生品交易的重要参与方,本文通过分析信用衍生品对商业银行信贷规模与质量的影响,可知信用衍生品创新是否实现了理论上的效用,以及对金融体系的积极、消极影响。并由此探寻信用衍生品创新的扬长避短之道,为我国信用衍生品发展提供智力支持。
本文首先介绍了信用衍生品的创新原理,分析其市场现状及与次级债危机的关系;然后基于优化资产组合管理、助长信息不对称影响、强化放款意愿这三个视角对这一课题进行了理论分析,综合这三类理论研究结果可知:信用衍生品对银行贷款发放和经营绩效可同时产生积极和消极的影响,最终影响方向取决于正负净值。
其后,本文基于美国商业银行信用衍生品使用量数据,建立了动态面板模型,分别对信用衍生品使用对商业银行贷款规模、贷款组合构成、贷款质量和总体收益四个方面影响进行回归分析,结果表明:信用衍生品的使用并未显著扩大信贷规模,但会加大高风险贷款所占比例,并降低贷款质量,同时对银行收益水平未形成显著影响。
最后,基于理论、实证研究结果,本文提出了对我国信用衍生品发展的政策建议:在监管机制方面,对信用衍生品基础资产池构成和质量进行监控和限制,健全信息披露制度,让监管跟上金融创新的步伐;在市场建设方面,建立规范、高效的金融中介服务机构,完善法律法规,加强二级市场建设。
The outbreak of the subprime crisis in the U.S. showed the negative effects to financial system of credit derivatives, which attracted wide attention and controversy. Commercial bank is very important participant, thus we can get information about what effect has credit derivatives exerted to the financial system, and look into the way to make best use of the advantages and bypass the disadvantages to support the credit derivatives innovation in China.
This paper first introduces the principle and the development of credit derivatives innovation. Then, it analysis the influence of credit derivatives on commercial Banks’behavior theoretically based on three perspectives: portfolio management, information asymmetry and loan promotion which can derive that the net effect of credit derivatives is the offset result of positive and negative.
Then, the paper gives a further study on the influence of credit derivatives based on the dynamic penal data from America’s derivatives market including regression analysis on loan size, loan structure, loan quality and bank return. The empirical results are as follows:The use of credit derivatives did not increase total loan scale ,while increased the proportion of loan with high risk, and lower the quality of total loan. Besides, it did not affects the banks’profitability.
Finally, based on both theoretical and empirical results, the paper proposes policy recommendations on two aspects: to improve regulate mechanism including pools control, information transparency and timely update; to improve market efficiency including better intermediary organs, perfecting low structure and active secondary market.
本文首先介绍了信用衍生品的创新原理,分析其市场现状及与次级债危机的关系;然后基于优化资产组合管理、助长信息不对称影响、强化放款意愿这三个视角对这一课题进行了理论分析,综合这三类理论研究结果可知:信用衍生品对银行贷款发放和经营绩效可同时产生积极和消极的影响,最终影响方向取决于正负净值。
其后,本文基于美国商业银行信用衍生品使用量数据,建立了动态面板模型,分别对信用衍生品使用对商业银行贷款规模、贷款组合构成、贷款质量和总体收益四个方面影响进行回归分析,结果表明:信用衍生品的使用并未显著扩大信贷规模,但会加大高风险贷款所占比例,并降低贷款质量,同时对银行收益水平未形成显著影响。
最后,基于理论、实证研究结果,本文提出了对我国信用衍生品发展的政策建议:在监管机制方面,对信用衍生品基础资产池构成和质量进行监控和限制,健全信息披露制度,让监管跟上金融创新的步伐;在市场建设方面,建立规范、高效的金融中介服务机构,完善法律法规,加强二级市场建设。
The outbreak of the subprime crisis in the U.S. showed the negative effects to financial system of credit derivatives, which attracted wide attention and controversy. Commercial bank is very important participant, thus we can get information about what effect has credit derivatives exerted to the financial system, and look into the way to make best use of the advantages and bypass the disadvantages to support the credit derivatives innovation in China.
This paper first introduces the principle and the development of credit derivatives innovation. Then, it analysis the influence of credit derivatives on commercial Banks’behavior theoretically based on three perspectives: portfolio management, information asymmetry and loan promotion which can derive that the net effect of credit derivatives is the offset result of positive and negative.
Then, the paper gives a further study on the influence of credit derivatives based on the dynamic penal data from America’s derivatives market including regression analysis on loan size, loan structure, loan quality and bank return. The empirical results are as follows:The use of credit derivatives did not increase total loan scale ,while increased the proportion of loan with high risk, and lower the quality of total loan. Besides, it did not affects the banks’profitability.
Finally, based on both theoretical and empirical results, the paper proposes policy recommendations on two aspects: to improve regulate mechanism including pools control, information transparency and timely update; to improve market efficiency including better intermediary organs, perfecting low structure and active secondary market.
引文
[1] Wagner W, I Marsh. Credit Risk Transfer and Financial Sector Performance[R]. CEPR Working Paper, 2004(4265)
[2] patrick Behr, samuel Lee. credit riskTransfer, Delegated Monitoring, Real sector Preductivity and Finaneial Deepening[R]. http: //www.econ.ku.dk/FRU/ conference/ Programme/Saturday/C6/Behr_93. pdf, 2005, 4
[3] Chan Lau, Jorge A, Ong Li. The Credit Risk Transfer Market and Stability Implications for UK Financial Institutions[R]. IMF Working Paper, 2006, 6
[4] Huiping dong. The Effectiveness of Credit Derivatives on Bank Portfolio Management: an Empirical Analysis[D]. The George Washington University, 2005
[5] Gorton G. B, G. Pennacchi. Banks and Loan Sales: marketing on marketable Assets[J]. Journal of Monetary Economics, 1995, 10: 389-411
[6] Santomero A M, J J Trester. Financial innovation and bank risk taking[J]. Journal of Economic Behavior & Organization, 1998, 35 (1): 25-37
[7] Kiff J, Morrow R. credit Derivatives[J]. Bank of Canada Review, 2000, 9: 3-11
[8] Frank Skinner, Antonio Diaz. An Empirical Study of Credit Default Swaps[J]. The Journal of Fixed Income, 2003: 28-38
[9] Duffee G, Zhou C. Credit Derivatives in Banking: Useful Tools for Managing Risk[J]. Journal of Monetary Eeonomies, 2004, 8: 25-52
[10] JohoKiff, Louls Michaud, Janet Mitehell. Instruments of Credit Risk Transfer: Effeets on Financial Contracting and Finaneial stability[R]. http: //papers. ssrn. com/sol3/papers. cfm?abstract_id=374640, 2003, 5
[11] Baur D, E Joossens. The Effect of Credit Risk Transfer on Financial Stability[R]. Working Paper of European Commission of Joint Research Centre, 2005
[12] Morrison A D. Credit Derivatives, Disintermediation and Investment Decisions[J]. Journal of Business, 2005, 78(2)
[13] Allen F, E Carlotta. Credit Risk Transfer and Contagion[R]. Working Paper of The Wharton Financial Institutions Center, 2005
[14] Allen F, D Gale. Systemic Risk and Regulation. Risks of Financial Institutions, http://www. econ. nyu. edu/user/galed/papers/paper05-08-21. pdf, 2005
[15] Instefjord N. Risk and Hedging: Do Credit Derivatives Increase Bank Risk? [R]. Journal of Banking & Finance, 2005, 29(2)
[16] Beverly Hirtle. Credit derivatives and bank credit supply[R]. www. eslevier. com/locate/jfl, 2007, 5
[17] Benedikt Goderis, Ian W Marsh, Judit Vall Castello, et al. Bank behaviour with access to credit risk transfer markets. Bank of Finland Research Discussion Papers, 2007, 4
[18] Michael S Gibson. Credit Derivatives and RiskManagement[R]. Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs FRB, 2007
[19] Gunter Franke, Jan Pieter Krahnen. Default Risk Sharing between Banks and Markets: The Contribution of Collateralized Debt Obligations[J]. National Bureau of Economic Research University of Chicago Press, 2007, 2: 603-634
[20] Joseph F Sinkey, David A. Carter. Evidence on the financial characteristics of banks that do and do not use derivatives[J]. The Quarterly Review of Economics and Finance, 2000: 431-449
[21] Bernadette Minton, RenéM Stulz, Rohan Williamson. How Much do Banks Use Credit Derivatives to Reduce Risk[R]. http: // www. ssrn. com/ abstract = 785364, 2006, 6
[22] Steven Drucker, Manju Puri. On Loan Sales, Loan Contracting, and Lending Relationships. Review of Financial Studies, 2008, 6
[23]克拉法(Chorafas, D. N. ).信用衍生产品和风险管理.北京:机械工业出版社, 2002: 229-247
[24]卡萨斐.信用衍生工具.上海:上海财经大学出版社, 2002: 42-87
[25]西瓦兹.结构金融——资产证券化原理指南.北京:清华大学出版社, 2003: 48-83
[26]于凤坤.资产证券化:理论与实务.北京:北京大学出版社, 2002: 37-63, 113-136
[27]董爱国.信用衍生产品与金融安全和金融效率.金融发展研究, 2009, 7: 18-22
[28]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.金融研究, 2007, 5: 147-159
[29]卢庆杰.美国次级抵押贷款危机对我国的警示.期货与金融衍生品, 2007, 10: 82-85
[30]邱菡仪.次级债危机与金融衍生品创新.中国期货, 2007, 10: 37-39
[31]刘克崮.美国次级房贷危机的原因及启示.管理世界, 2007, 12: 1-7
[32]王琼,冯宗宪.中国发展信用衍生品市场的必要性及实施路径.经济新视野, 2006, 1: 66-69
[33]李祖兵.周庆行,吴祥禉.信用衍生产品的微观金融效率分析.商业研究, 2003, 9: 135-137
[34]张杰.信用衍生工具在我国的应用研究: [硕士学位论文].武汉:武汉大学图书馆, 2004
[35]章智.信用衍生产品交易中信息不对称问题的研究: [硕士学位论文].杭州:浙江大学图书馆, 2003
[36]陈秀花.信用衍生品对金融稳定性的影响及政策建议.辽宁大学学报(哲学社会科学版), 2006, 34(5): 128-132
[37]郝钢,张维,熊熊.信用衍生品定价及潜在风险研究综述.西南交通大学学报(社会科学版), 2008, 9(1): 6-12
[38]刘红.信用衍生产品在信用分析管理中的作用.辽宁经济统计, 2009, 8: 28-30
[39]金中夏,张甜甜.信用衍生品市场发展对金融稳定的意义.中国金融, 2007, 8: 15-17
[40]宫胜先.刍议衍生金融工具及其监管.财经问题研究, 1997, 3: 27-29
[41]赵欣颜.信用衍生产品机理分析与应用研究: [博士学位论文].天津:天津财经大学图书馆, 2008
[2] patrick Behr, samuel Lee. credit riskTransfer, Delegated Monitoring, Real sector Preductivity and Finaneial Deepening[R]. http: //www.econ.ku.dk/FRU/ conference/ Programme/Saturday/C6/Behr_93. pdf, 2005, 4
[3] Chan Lau, Jorge A, Ong Li. The Credit Risk Transfer Market and Stability Implications for UK Financial Institutions[R]. IMF Working Paper, 2006, 6
[4] Huiping dong. The Effectiveness of Credit Derivatives on Bank Portfolio Management: an Empirical Analysis[D]. The George Washington University, 2005
[5] Gorton G. B, G. Pennacchi. Banks and Loan Sales: marketing on marketable Assets[J]. Journal of Monetary Economics, 1995, 10: 389-411
[6] Santomero A M, J J Trester. Financial innovation and bank risk taking[J]. Journal of Economic Behavior & Organization, 1998, 35 (1): 25-37
[7] Kiff J, Morrow R. credit Derivatives[J]. Bank of Canada Review, 2000, 9: 3-11
[8] Frank Skinner, Antonio Diaz. An Empirical Study of Credit Default Swaps[J]. The Journal of Fixed Income, 2003: 28-38
[9] Duffee G, Zhou C. Credit Derivatives in Banking: Useful Tools for Managing Risk[J]. Journal of Monetary Eeonomies, 2004, 8: 25-52
[10] JohoKiff, Louls Michaud, Janet Mitehell. Instruments of Credit Risk Transfer: Effeets on Financial Contracting and Finaneial stability[R]. http: //papers. ssrn. com/sol3/papers. cfm?abstract_id=374640, 2003, 5
[11] Baur D, E Joossens. The Effect of Credit Risk Transfer on Financial Stability[R]. Working Paper of European Commission of Joint Research Centre, 2005
[12] Morrison A D. Credit Derivatives, Disintermediation and Investment Decisions[J]. Journal of Business, 2005, 78(2)
[13] Allen F, E Carlotta. Credit Risk Transfer and Contagion[R]. Working Paper of The Wharton Financial Institutions Center, 2005
[14] Allen F, D Gale. Systemic Risk and Regulation. Risks of Financial Institutions, http://www. econ. nyu. edu/user/galed/papers/paper05-08-21. pdf, 2005
[15] Instefjord N. Risk and Hedging: Do Credit Derivatives Increase Bank Risk? [R]. Journal of Banking & Finance, 2005, 29(2)
[16] Beverly Hirtle. Credit derivatives and bank credit supply[R]. www. eslevier. com/locate/jfl, 2007, 5
[17] Benedikt Goderis, Ian W Marsh, Judit Vall Castello, et al. Bank behaviour with access to credit risk transfer markets. Bank of Finland Research Discussion Papers, 2007, 4
[18] Michael S Gibson. Credit Derivatives and RiskManagement[R]. Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs FRB, 2007
[19] Gunter Franke, Jan Pieter Krahnen. Default Risk Sharing between Banks and Markets: The Contribution of Collateralized Debt Obligations[J]. National Bureau of Economic Research University of Chicago Press, 2007, 2: 603-634
[20] Joseph F Sinkey, David A. Carter. Evidence on the financial characteristics of banks that do and do not use derivatives[J]. The Quarterly Review of Economics and Finance, 2000: 431-449
[21] Bernadette Minton, RenéM Stulz, Rohan Williamson. How Much do Banks Use Credit Derivatives to Reduce Risk[R]. http: // www. ssrn. com/ abstract = 785364, 2006, 6
[22] Steven Drucker, Manju Puri. On Loan Sales, Loan Contracting, and Lending Relationships. Review of Financial Studies, 2008, 6
[23]克拉法(Chorafas, D. N. ).信用衍生产品和风险管理.北京:机械工业出版社, 2002: 229-247
[24]卡萨斐.信用衍生工具.上海:上海财经大学出版社, 2002: 42-87
[25]西瓦兹.结构金融——资产证券化原理指南.北京:清华大学出版社, 2003: 48-83
[26]于凤坤.资产证券化:理论与实务.北京:北京大学出版社, 2002: 37-63, 113-136
[27]董爱国.信用衍生产品与金融安全和金融效率.金融发展研究, 2009, 7: 18-22
[28]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.金融研究, 2007, 5: 147-159
[29]卢庆杰.美国次级抵押贷款危机对我国的警示.期货与金融衍生品, 2007, 10: 82-85
[30]邱菡仪.次级债危机与金融衍生品创新.中国期货, 2007, 10: 37-39
[31]刘克崮.美国次级房贷危机的原因及启示.管理世界, 2007, 12: 1-7
[32]王琼,冯宗宪.中国发展信用衍生品市场的必要性及实施路径.经济新视野, 2006, 1: 66-69
[33]李祖兵.周庆行,吴祥禉.信用衍生产品的微观金融效率分析.商业研究, 2003, 9: 135-137
[34]张杰.信用衍生工具在我国的应用研究: [硕士学位论文].武汉:武汉大学图书馆, 2004
[35]章智.信用衍生产品交易中信息不对称问题的研究: [硕士学位论文].杭州:浙江大学图书馆, 2003
[36]陈秀花.信用衍生品对金融稳定性的影响及政策建议.辽宁大学学报(哲学社会科学版), 2006, 34(5): 128-132
[37]郝钢,张维,熊熊.信用衍生品定价及潜在风险研究综述.西南交通大学学报(社会科学版), 2008, 9(1): 6-12
[38]刘红.信用衍生产品在信用分析管理中的作用.辽宁经济统计, 2009, 8: 28-30
[39]金中夏,张甜甜.信用衍生品市场发展对金融稳定的意义.中国金融, 2007, 8: 15-17
[40]宫胜先.刍议衍生金融工具及其监管.财经问题研究, 1997, 3: 27-29
[41]赵欣颜.信用衍生产品机理分析与应用研究: [博士学位论文].天津:天津财经大学图书馆, 2008