资产证券化对银行同业拆借的影响研究

Research on the Influence of Asset Securitization on Interbank Lending

提高负债质量是商业银行流动性管理的重要目标之一,信贷资产证券化的重启和备案制或注册制改革有利于缓解银行同业拆借压力。本文以我国38家上市银行为研究样本,考察2011年―2020年资产证券化对同业拆借的影响。研究发现:资产证券化显著减少商业银行同业拆借的使用,小银行和大银行资产证券化均对同业拆借产生了替代效应,备案制或注册制改革后资产证券化对同业拆借的负向影响有所增强;证券化将某些风险资产转移出表,能够降低风险加权资产、增加超额贷款损失准备,从而提高资本充足率,抑制流动性创造能力,减少基于资本基础的无担保同业拆借,同时还能使商业银行将证券化收入投资于流动性好的国债、政策性金融债、高等级债券,通过质押式回购替代无担保同业拆借。

Improving debt quality is one of the important liquidity management objectives of commercial banks.The restart of credit asset securitization and the filing-based or registration-based system are helpful to easing the pressure of traditional interbank lending.Using 38 listed banks in China,this paper examines the impact of asset securitization on interbank lending from 2011 to 2020.The empirical results show that asset securitization significantly reduces the interbank lending of commercial banks,both small and large banks’securitizations have a substitution effect on interbank lending,and the negative impact of asset securitization on interbank lending has increased after the reform of filing-based or registration-based system.Asset securitization can reduce the risk-weighted assets by transferring some risk assets out of the balance sheet and increase the provision for excess loan losses,in order to improve the capital adequacy ratio,inhibit the liquidity creation ability and reduce the unsecured inter-bank borrowing based on the capital base.With the cash flow from the securitization,one can invest in liquid bonds such as treasury bonds,policy financial bonds and high-grade bonds,and replace interbank borrowing with bond pledge repo.