面板数据模型在信贷资产证券化中的应用被引量：1

Panel Data Model Applied in Credit Asset Securitization

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摘要根据信贷资产证券化试点实况的面板数据及时间序列数据,采用固定效应模型,实证分析了信贷资产证券化对商业银行的Z分数、加权资产资本充足率及贷款损失准备的影响.结果表明,信贷资产证券化规模的扩张会显著提高银行的Z分数和资本充足率,而对贷款损失准备具有显著的负效应,即信贷资产证券化业务可以减小银行面临的风险. On the basis of panel data and time series data,we made empirical analysis concentrating on the actual participants engaged in the securitization of credit assets.With constructing a Fixed-Effect Model,the impact of credit asset securitization on Z-score was analyzed,Capital to Risk-Weighted Asset Ratio and Loan Loss Provision commonly,which were used as measures of bank risk taking.The empirical result showed that the expansion of the Credit Asset Securitization in our country significantly improved Z-score as well as Capital to Risk-Weighted Asset Ratio,and has a negative effect on the banks＇Loan Loss Provision.In general,Credit Asset Securitization in China has made great contribution to reducing bank risks.

作者包安娜

机构地区北京航空航天大学经济管理学院

出处《内蒙古师范大学学报（自然科学汉文版）》 CAS 北大核心 2015年第3期316-321,共6页 Journal of Inner Mongolia Normal University(Natural Science Edition)

关键词固定效应模型面板数据信贷资产证券化银行风险 fixed-effect model panel data credit asset securitization bank risk

分类号 O29 [理学—应用数学]

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参考文献6

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