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

Empirical Research on the Effect of Bank’s Credit Assets Securitization——Based on the Panel Data of US Banking

作为现代金融市场最重要的创新工具之一,国内外理论界和银行界普遍认为资产证券化对于银行有着改善资产负债结构、提高资本充足率、增加流动性和提高收益水平等多方面的作用。然而,这些效应并不是必然的。本文选取全球资产证券化市场最为成熟的美国市场数据,采用格兰杰因果检验方法,对银行信贷资产证券化产生的效应进行实证分析。研究表明,资产证券化能提升银行的资本充足率、降低融资成本、增强盈利能力与效率、优化贷款组合构成,但是在降低流动性风险和提升贷款组合质量方面的效果并不明显。

Asset securitization, one of the most important innovation tools in modern financial market, is considered effective in optimizing the structure of bank assets and liabilities, enhancing capital adequacy ratio, increasing liquidity and raising the profit level by scholars and bankers both at home and abroad. However, those effects are not inevitable. The article selects the panel data of the U. S. market, the most mature asset securitization market in the world and analyzes the effect of bank asset securitization in an empirical way by using Granger causality test method. The result shows that asset securitizatiou does benefit banks in the capital adequacy ratio, financing cost, profitability, efficiency and the structure of loan portfolio, but its function in reducing the liquidity risk and enhancing the quality of loan portfolios is not obvious.