经济政策不确定性、资产证券化与银行风险承担

Economic Policy Uncertainty, Asset Securitization, and Bank Risk-taking

基于2011-2018中国年银行业数据,系统分析经济政策不确定性背景下资产证券化对银行风险承担的影响,结果显示,资产证券化有效缓解了经济政策不确定性对银行风险承担的负向冲击,这种效应主要通过改善银行资产负债结构期限错配及提升经营绩效而实现。异质性结果表明,在经济政策不确定性较高的情形下,资产证券化对非上市银行和中小银行的风险承担具有显著的正向影响,并且这种优化效应在较长一个时期内都稳定存在。这为银行在经济政策不确定性背景下丰富风险管理手段及科学制定资产证券化的发展策略提供了有益启示。因此,在经济政策不确定性背景下,银行应基于功能需求的视角推动资产证券化发展,同时也要强化对资产证券化的监管,防止出现过度发展。

Based on data on the banking industry between 2011 and 2018,this paper systematically analyzes the effect of asset-backed securitization on the risk-taking of banks against the backdrop of economic policy uncertainty.The results reveal that asset-backed securitization can effectively alleviate the negative impact of economic policy uncertainty on banks’risk-taking,which is achieved by improving the maturity mismatch of the bank’s asset-liability structure and the operation performance.Besides,the heterogenous evidence suggests that in the face of relatively higher economic policy uncertainty,asset-backed securitization can significantly positively influence the risk-taking behaviors of non-listed banks and small-and-medium-sized banks and that such optimization effect is stable over a relatively long period.Finally,this paper offers useful insights for banks in terms of diversifying the risk management tools and scientifically formulating development strategies of asset-backed securitization in the face of economic policy uncertainty.As a result,when the economic policy is undergoing frequent adjustment,banks should promote asset-backed securitization according to their functional requirements and strengthen supervision over asset-backed securitization to avoid overdevelopment.