资产证券化与银行业系统性风险——基于“去一”分析法的应用

Asset Securitization and Banking Systemic Risk——Based on the Application of“Leave-One-Out”Analysis

本文以防范银行业系统性风险为出发点,考察资产证券化对银行业系统性风险的影响,并运用最新的"去一"分析法对不同类型银行的系统性风险贡献度展开研究。在此基础上,本文考察了资产证券化对银行业系统性风险的影响路径,以及不同类型银行构成的银行系统中,影响路径的异质性。研究结果表明,资产证券化显著增加了银行业系统性风险,且中等规模银行及股份制商业银行是风险的主要来源者和传播者;此外,银行间产品互持路径对银行业系统性风险的影响并不显著,但应用"去一"依次去除大规模银行以及大型国有商业银行后,该路径显著通畅。这说明,资产证券化产品在银行间的互持现象,在一定程度上增加了银行间的关联度,进而提升了银行业系统性风险。

This paper examines the impact of asset securitization on systemic risk in the banking industry with a view to preventing systemic risk in the banking industry and investigates the contribution of different types of banks to systemic risk by using the latest"Leave-one-out"analysis.On this basis,the paper examines the impact paths of securitization on systemic risk in the banking industry and the heterogeneity of the impact paths in different types of banking systems.The results show that asset securitization significantly increases systemic risk in the banking industry,and medium-sized banks and joint-stock commercial banks are the main sources and transmitters of risk.In addition,the impact of the inter-bank product holding path on systemic risk in the banking industry is not significant,but after applying the"Leave-one-out"to remove large-scale banks and large stateowned commercial banks in turn,the path significantly passes through the systemic risk.However,the path is significantly smooth after applying"Leave-one-out"to remove large banks and large state-owned commercial banks in turn.This suggests that the phenomenon of inter-holding of securitized products among banks increases the correlation between banks to a certain extent,which in turn increases the systemic risk of the banking industry.