动机扭曲和资产证券化的微观审慎监管——基于美国数据的实证研究

Incentive distortion and Micro Prudential Supervision of Securitization——Empirical Research Based on Data From the U.S. Bank Holding Companies

本文使用美国银行控股公司的季度数据进行研究,探讨资产证券化等创新造成银行动机扭曲的根源。和以往的认识不同,本文发现,资产证券化主要是通过增加了银行资产的流动性,而非通过转移了银行资产的风险,对银行的行为动机造成影响,进而影响到单个银行的风险水平。据此,新的金融改革法案提出的要求证券化发起人保留5%证券化风险暴露的措施并不能有效防范金融机构的个体风险,其效果将极为有限。相比较而言,流动性监管措施更为有效。为防范银行从事资产证券化等创新业务后风险上升,微观审慎监管应当将流动性监管放到和资本监管同等重要的位置,充分重视流动性监管和资本监管的有效配合。

Through empirical research based on the quarterly data from the U.S. bank holding companies, this paper tries to find the resource of banks＇ incentive distortion caused by the introduction of securitization. We find that differing from previous understanding, the real reason of the banks＇ incentives distortion caused by securitizations lies in not that some credit risk will be transferred from banks by the use of securitizations, but that the liquidity of bank assets will increase once securitizations are introduced into banks. So the effect of the measure aimed to reduce the risk of banks using the tool of securitization, proposed by the U.S. financial regulatory reform, that 5% securitization risk exposure should be retained in the hand of the originator of seeuritization deals, is limited. In contrast, measures of liquidity regulation are more important. To avoid the rise of risks faced by banks engaged in securitization deal, micro-prudential supervision of securitization should integrate liquidity and capital regulation measures and pay attention to these methods equally.