影子信贷与资产证券化——基于国内商业银行数据的实证研究

Shadow Credit and Asset Securitization: An Empirical Study Based on Data of Domestic Commercial Banks

影子信贷是近年来银行领域的突出问题,而资产证券化被看作是实现影子信贷"阳光化"的重要工具。为此,本文从理论上分析了我国资产证券化与影子信贷之间的关系,提出替代影子信贷是银行开展资产证券化的动因之一,但同时资产证券化对影子信贷的实际影响将较为有限,进而基于83家商业银行资产证券化和财务数据对上述假设进行了实证检验。对资产证券化动因的研究发现影子信贷更活跃的银行更倾向于证券化,但是针对影子信贷影响因素的研究表明前期进行过证券化的银行后期影子信贷没有明显降低,因而实证结果支持理论假设。实证分析中,本文还发现另外一个值得关注的现象,即越需要化解影子信贷的中小银行,却越少使用资产证券化工具。因此本文提出当前用资产证券化来实现影子银行阳光化的重点之一是应采取多种方式降低资产证券化相关的成本和费用,为银行尤其中小银行开展资产证券化创造更有利的条件。

Shadow credit is a prominent issue in the banking sector in recent years,and asset securitization is considered as an important tool to solve the problem.This paper analyzes the relationship between asset securitization and shadow credit in China.We proposes that replacing shadow credit is one of the motives for banks to develop asset securitization,but at the same time,the actual impact of asset securitization on shadow credit will be limited.Then,based on the asset securitization and financial data of 83 Chinese commercial banks,this article makes an empirical study for the above assumptions.It finds that banks with more shadow credits are significantly more inclined to securitization,but the previous securitization does not reduce the shadow credits in the following period,so the empirical evidence supports theoretical hypotheses.The article also finds the mid and small banks use asset securitization tools less even though they need to resolve shadow credit more urgently.Therefore,the key of using assets securitization to mitigate shadow credit problem should be to decrease the cost and expenses of securitization,especially for small and medium-sized banks.