不良贷款资产证券化与商业银行风险承担

Non-performing Loan Securitization and Risk Taking of Commercial Banks

使用2005年至2018年30家国内上市商业银行的数据,运用倾向得分匹配方法(PSM)估计实施不良贷款资产证券化对我国商业银行风险承担的影响效应。实证结果表明:不良贷款证券化会增加商业银行以Z值衡量的风险承担,这说明对于银行不良资产证券化行为的态度应该慎重并加强监管;资产证券化对银行风险承担的影响存在非线性转换,在资本充足率比较高和不良贷款率比较低的时候,能够降低风险;反之则会推高风险,说明应该视情况决定是否应该实施资产证券化。

Using the data of 30 domestic listed commercial banks from 2005 to 2018,this paper estimates the impact of non-performing loan asset securitization on the risk-taking of Chinese commercial banks by using the propensity score matching method(PSM).The empirical results show that:(1)non-performing loan securitization will increase the risk-taking of commercial banks measured by Z value,which indicates that the attitude towards non-performing asset securitization of banks should be prudent and strengthened supervision;(2)the impact of asset securitization on risk-taking of banks has a non-linear transformation,which can reduce the risk when the capital adequacy ratio is relatively high and the non-performing loan ratio is relatively low.On the contrary,it will increase the risk,indicating that the implementation of asset securitization should be decided according to the situation.