资产证券化与商业银行杠杆——来自我国银行业的经验证据

Asset Securitization and Commercial Bank Leverage:Empirical Evidences from China’s Banking Industry

通过考察资产证券化影响银行杠杆的理论机制,以及利用我国银行业相关数据进行实证检验,研究发现资产证券化有助于抑制银行杠杆增长,且这种抑制效应随着首笔资产支持证券发行后逐步增强。在区分不同银行类型后发现,资本弥补渠道匮乏、负债结构不稳定的非上市银行与中小银行更易从资产证券化的杠杆抑制效应中获益。影响机制结果说明,资产证券化可通过优化融资与资产流动性结构、改善期限错配以及降低风险承担等渠道,实现对银行杠杆增长的遏制。进一步研究表明,资产证券化的杠杆抑制效应,也能控制由于规模扩张导致的杠杆顺周期性。因此,在完善资产证券化制度框架的同时,改善资产负债结构、提升精细化管理水平,都将有助于丰富银行的去杠杆措施。

By examining the theoretical mechanism of asset securitization affecting bank leverage,this paper makes use of the relevant data of China’s banking industry to conduct an empirical test.It is found that asset securitization helps to inhibit the growth of bank leverage,and this inhibition effect will gradually increase with the issuance of the first asset-backed securities.After distinguishing different types of banks,it is found that non-listed banks and small-medium banks,which lack of capital compensation channels and have unstable debt structure,are more likely to benefit from the leverage inhibition effect of asset securitization.The results of the impact mechanism show that asset securitization can curb the growth of bank leverage by optimizing the structure of financing and asset liquidity,improving the maturity mismatch and reducing risk-taking.Further research shows that the leverage inhibition effect of asset securitization can also control the pro-cyclicality of leverage caused by scale expansion.Therefore,while improving the institutional framework of asset securitization,improving the structure of assets and liabilities and improving the level of fine management will help to enrich the deleveraging measures of banks.