信用风险转移工具真的转移了风险吗?——基于美国上市银行面板数据的实证研究

Can CRT Reduce Banking Risk? Evidence from American Listed Banks

本文利用美国35家上市银行的季度面板数据,检验信用风险转移工具(CRT)能否有效转移银行个体风险。我们发现CRT保护头寸在正常时期能够降低银行个体风险,但在次贷危机时期,由于CRT增加了系统风险的暴露,使得持有更多CRT保护头寸的银行反而经历了更高程度的个体风险上升。这表明CRT能否有效降低银行信用风险,依赖于宏观金融市场的稳定性。

By utilizing a unique panel data set of 35 American listed banks spanning from 2002 to 2010, this paper attempts to examine whether CRT （Credit Risk Transfer） can effectively reduce bank risks. The empirical results show that CRT does reduce bank risk during the period without subprime debt crisis. During the crisis period （2007 -2010 ） , however, the risks of the banks that hold more CRT protections increase significantly due to the simultaneous increase in the exposure of systematic risks. Our findings suggest that CRT may not consistently reduce bank risks and its function depends on the stability of the macro financial system.