信用风险转移创新与银行(体系)的稳定性——基于美国银行数据的实证研究

Credit Risk Transfer Innovation and the Stability of the Bank System-an Empirical Studies Based on Data of the Banks of American

信用风险转移(CRT)创新对银行(体系)稳定性的影响是重要的研究课题,尤其是2010年末我国推出了信用风险缓释工具,更强化了这项研究的重要性和紧迫性。现有文献主要研究CRT对于银行个体经济行为的影响,视角较为单一,同时采用的实证方法多为事件研究法和常规(面板数据)线性回归法,很难解决遗漏变量、内生性等计量难题,估计结果的准确性受到一定影响。本文在已有研究的基础上,从银行个体经济行为、个体风险和系统风险的视角,采用双重差分方法论证CRT对银行个体经济行为、银行个体风险以及银行系统风险的影响。结果表明,信用衍生品创新一方面降低了银行个体的风险,但同时引致银行增持高风险资产,最终的结果是导致银行系统风险增加。本文建议,因信用衍生品创新在降低银行个体风险的同时引致银行系统风险增加(即beta系数增加),而beta系数增加与顺周期性增强相对应,故我国应在进行信用衍生品创新的同时实施巴Ⅲ协议,强化逆周期监管,消除金融创新负的外部性,凸显创新价值,防范金融风险。

How the Credit Risk Transfer （CRT） innovation impact Bank （System） Stability is an important re- search topic. Especially at the end of 2010, China＇s launching credit risk mitigation tools further enhances the importance and urgency of this study. The existing literatures mainly focused on CRT＇s impact on the individual behavior of banks and the perspective was more single. Most of those researches adopted the empirical methods of event study methodology and conventional （ panel data） linear regression method which can＇t solve some e- conometric problems such as omitted variables and endogeneity, so the accuracy of estimation results was affect- ed. Based on the existing research, in this paper, we adopt the difference in difference method to demonstrate how CRT impacts the individual economic behavior and individual risk of banks and the systemic risk. The re- sults show that on the one hand the innovation of credit derivatives reduces the risk of the individual bank, but at the same time leads to bank holdings of risky assets which eventually increases the systemic risk. That is, the beta coefficient is increased which corresponds to the increase of procyclicality. So, finally we suggest that Chi- na should adopt the credit derivatives innovation and implement Basel III simultaneously, strengthen counter-cy- clical regulation and eliminate the negative externality of financial innovation, then, the value of innovation will be highlighted and also financial risks will be prevented.