监管约束、资产证券化与银行风险承担

Regulatory Constraints, Asset Securitization and Bank Risk-Taking

基于2012—2019年中国商业银行半年报数据,实证考察了监管约束、资产证券化与银行风险承担之间的关系。研究发现:监管约束越大,商业银行开展资产证券化业务的动机越强;随着资产证券化规模的增加,基于流动性的便利可得性,商业银行存在降低流动性储备的倾向,而流动性储备下降到一定程度将会引发银行风险。在此过程中,道德风险倾向与高杠杆行为将进一步提高银行的风险水平。扩展分析结果表明,资产证券化对银行风险影响的中介效应和调节效应在不同银行主体之间存在异质性。

Based on the semi-annual report data of commercial banks in China from 2012 to 2019,this paper empirically analyzed the relationship among regulatory constraints,asset securitization and bank risk-taking.It was found that,bigger regulatory constraints would lead to a stronger motivation of carrying out asset securitization in commercial banks.As the scale of asset securitization increased,commercial banks tended to reduce their liquidity reserves because of its liquidity facilities,but the liquidity reserve below certain level would cause bank risk.During this process,moral hazard tendency and high leverage behavior may further raise the risk level.Extended analysis showed that the mediating effect and moderating effect of asset securitization on bank risks were heterogeneous among different bank entities.