我国商业银行信贷资产证券化动因及其差异化研究
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摘要
商业银行信贷资产证券化作为结构化融资工具,对于盘活存量信贷资产、提高资产处置效率、完善商业银行融资体系具有重要作用。当前我国信贷资产证券化存在市场份额小、流动性不足等问题,基于Probit模型、Logistic模型及Tobit模型构建信贷资产证券化的行为选择模型和规模决策模型,实证分析我国商业银行信贷资产证券化的动因机制及其差异化。结果表明:贷款增长率、不良贷款率及非利息收入占比越高的商业银行,以及资本充足率越低的商业银行,其开展信贷资产证券化的可能性越高,且发行规模越大;大型国有商业银行开展信贷资产证券化的内生动力相对不足;中小型商业银行的内生动力较为强劲,可有效缓解其安全性、流动性和盈利性问题。基于研究结果,从银行业务、市场环境、监管三个层面提出优化我国商业银行资产证券化的建议,以期促进我国信贷资产证券化的健康发展。
As a structured financing tool,commercial bank credit asset securitization plays an important role in revitalizing existing credit assets,increasing asset disposal efficiency and improving commercial bank financing system. At present, China's credit asset securitization has problems such as small market share and insufficient liquidity. Based on Probit,Logistic and Tobit models,this paper firstly constructs the behavior selection model and scale decision model of credit asset securitization,and then analyzes the motivation for the credit asset securitization of commercial banks and their differentiation. We have the following results. The higher the nonperforming loan ratio is,the lower the capital adequacy ratio is,and the higher the proportion of non-interest income is; the higher the loan growth rate is,the higher the possibility of securitization of credit assets is,and the larger the scale of issuance is; the endogenous power of state-owned commercial banks to carry out credit asset securitization is relatively insufficient; the endogenous power of small and medium-sized commercial banks is relatively strong,which can effectively solve their security,liquidity and profitability problems. Based on the research results,the paper gives suggestions on how to optimize the asset securitization of China's commercial banks from the three aspects of banking,market and supervision in order to promote the healthy development of credit asset securitization in China.
As a structured financing tool,commercial bank credit asset securitization plays an important role in revitalizing existing credit assets,increasing asset disposal efficiency and improving commercial bank financing system. At present, China's credit asset securitization has problems such as small market share and insufficient liquidity. Based on Probit,Logistic and Tobit models,this paper firstly constructs the behavior selection model and scale decision model of credit asset securitization,and then analyzes the motivation for the credit asset securitization of commercial banks and their differentiation. We have the following results. The higher the nonperforming loan ratio is,the lower the capital adequacy ratio is,and the higher the proportion of non-interest income is; the higher the loan growth rate is,the higher the possibility of securitization of credit assets is,and the larger the scale of issuance is; the endogenous power of state-owned commercial banks to carry out credit asset securitization is relatively insufficient; the endogenous power of small and medium-sized commercial banks is relatively strong,which can effectively solve their security,liquidity and profitability problems. Based on the research results,the paper gives suggestions on how to optimize the asset securitization of China's commercial banks from the three aspects of banking,market and supervision in order to promote the healthy development of credit asset securitization in China.
引文
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[3] EGLY P,JACKSON D,JOHNK D.The Impact of Securitization and Bank Liquidity Shocks on Bank Lending:Evidence from the U.S.[J].Banking&Finance Review,2015,(2):55-86.
[4] LOUTSKINA E,STRAHAN P E.Securitization and the Declining Impact of Bank Finance on Loan Supply:Evidence from Mortgage Originations[J].The Journal of Finance,2009,64(2):861-889.
[5] FARRUGGIO C,UHDE A.Determinants of Loan Securitization in European Banking[J].Journal of Banking & Finance,2015,56:12-27.
[6] DELL'ARICCIA G,IGAN D,LAEVEN L.Credit Booms and Lending Standards:Evidence from the Subprime Mortgage Market[J].Journal of Money,Credit and Banking,2012,44(2/3):367-384.
[7] LE HTT,NARAYANAN R P,VAN VOL.Has the Effect of Asset Securitization on Bank Risk Taking Behavior Changed?[J].Journal of Financial Services Research,2016,49(1):39-64.
[8] ACHARYA V V,SCHNABL P,SUAREZ G.Securitization without Risk Transfer[J].Journal of Financial Economics,2013,107(3):515-536.
[9] BECCALLI E,BOITANI A,DI GIULIANTONIO S.Leverage Pro-Cyclicality and Securitization in US Banking[J].Journal of Financial Intermediation,2015,24(2):200-230.
[10] 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.
[11] BENSALAH N,FEDHILA H.What Explains the Recourse of US Commercial Banks to Securitization?[J].Review of Accounting and Finance,2016,15(3):317-328.
[12] 王志强.银行资产证券化的直接动因与作用效果:理论与经验证据[D].大连:东北财经大学,2007.
[13] 车坦阳,王晓航,胡雅娟.银行资产证券化的直接动因——来自美国银行控股公司的经验证据[J].财经问题研究,2008(8):62-66.
[14] 邹晓梅,张明,高蓓.资产证券化与商业银行盈利水平:相关性、影响路径与危机冲击[J].世界经济,2015,38(11):144-167.
[15] 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(4):17-37.
[16] 刘红霞,幸丽霞.商业银行信贷资产证券化融资动机研究——基于2005-2014年信贷资产支持证券试点的实证检验[J].南方金融,2015(4):4-14.
[17] 蒋照辉.我国银行业不良资产证券化若干理论与实践问题再探讨[J].上海金融,2015(11):55-58.
① 数据来源:中国资产证券化分析网,https://www.cn-abs.com/organization.html#/list/ranking。
(1)数据来源:中国资产证券化分析网,https://www.cn-abs.com。
[2] SHIN H S.Securitisation and Financial Stability[J].The Economic Journal,2009,119(536):309-332.
[3] EGLY P,JACKSON D,JOHNK D.The Impact of Securitization and Bank Liquidity Shocks on Bank Lending:Evidence from the U.S.[J].Banking&Finance Review,2015,(2):55-86.
[4] LOUTSKINA E,STRAHAN P E.Securitization and the Declining Impact of Bank Finance on Loan Supply:Evidence from Mortgage Originations[J].The Journal of Finance,2009,64(2):861-889.
[5] FARRUGGIO C,UHDE A.Determinants of Loan Securitization in European Banking[J].Journal of Banking & Finance,2015,56:12-27.
[6] DELL'ARICCIA G,IGAN D,LAEVEN L.Credit Booms and Lending Standards:Evidence from the Subprime Mortgage Market[J].Journal of Money,Credit and Banking,2012,44(2/3):367-384.
[7] LE HTT,NARAYANAN R P,VAN VOL.Has the Effect of Asset Securitization on Bank Risk Taking Behavior Changed?[J].Journal of Financial Services Research,2016,49(1):39-64.
[8] ACHARYA V V,SCHNABL P,SUAREZ G.Securitization without Risk Transfer[J].Journal of Financial Economics,2013,107(3):515-536.
[9] BECCALLI E,BOITANI A,DI GIULIANTONIO S.Leverage Pro-Cyclicality and Securitization in US Banking[J].Journal of Financial Intermediation,2015,24(2):200-230.
[10] 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.
[11] BENSALAH N,FEDHILA H.What Explains the Recourse of US Commercial Banks to Securitization?[J].Review of Accounting and Finance,2016,15(3):317-328.
[12] 王志强.银行资产证券化的直接动因与作用效果:理论与经验证据[D].大连:东北财经大学,2007.
[13] 车坦阳,王晓航,胡雅娟.银行资产证券化的直接动因——来自美国银行控股公司的经验证据[J].财经问题研究,2008(8):62-66.
[14] 邹晓梅,张明,高蓓.资产证券化与商业银行盈利水平:相关性、影响路径与危机冲击[J].世界经济,2015,38(11):144-167.
[15] 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(4):17-37.
[16] 刘红霞,幸丽霞.商业银行信贷资产证券化融资动机研究——基于2005-2014年信贷资产支持证券试点的实证检验[J].南方金融,2015(4):4-14.
[17] 蒋照辉.我国银行业不良资产证券化若干理论与实践问题再探讨[J].上海金融,2015(11):55-58.
① 数据来源:中国资产证券化分析网,https://www.cn-abs.com/organization.html#/list/ranking。
(1)数据来源:中国资产证券化分析网,https://www.cn-abs.com。