风险自留能抑制信用风险承担吗?——基于中国商业银行信贷资产证券化数据的实证研究

Can Risk Retention Mitigate Bank Credit Risk?——An Empirical Test Based on the Data of China’s Credit Asset Securitization of Commercial Banks

本文手动收集了中国2005—2020年的风险自留相关数据,构建包含证券化资产池和分层资产支持证券层面数据的微观数据集,实证研究了商业银行发起信贷资产证券化过程中风险自留以及风险自留监管要求对银行信用风险承担的影响。研究发现:首先,风险自留比例能够通过发信号效应向市场传递资产池质量信息。其次,风险自留比例的提升有助于抑制银行的信用风险承担行为。再次,风险自留的作用主要通过抑制银行加杠杆和配置高风险资产来实现,而增强银行对资产池的甄别激励和监督还款激励的两大传导机制并不显著。最后,以“21号文”为政策冲击,使用标准双重差分模型和交错型双重差分法的实证结果表明,风险自留水平突降将削弱上述抑制作用。本研究不仅为中国继续实施风险自留监管提供了理论依据,而且对中国信贷资产证券化及其监管实践具有一定参考价值。

Risk retention is the most important credit enhancement instrument,and risk retention requirement is the most important macro-prudential supervision tool in the credit asset securitization market.Therefore,it is of great significance to investigate its impact on bank credit risk taking and the possible mechanisms.Based on a manually collected micro-level dataset including securitized asset pools and tranched asset-backed securities of China’s credit asset securitization from 2005 to 2020,this paper empirically investigates the impact of risk retention decision and risk retention regulatory requirement on bank credit risk.Firstly,for the first time,it is found that risk retention can signal the quality of asset pool to the market.Secondly,it is robustly found that the increase of risk retention level is conducive to restraining banks’ credit risk taking.Thirdly,when inspecting the possible mechanisms,it is found that the effect of risk retention on bank risk taking works mainly through inhibiting leverage expansion or configuration of risky assets,while the role of risk retention in increasing the monitoring or screening incentives over the asset pool is proved to be insignificant.Finally,using the standard DID(Difference-in-Difference) model and DIDM(Difference-in-Difference Design with Multiple Groups and Period)method,this paper identifies the policy effect of China’s new policy on bank risk taking,which demonstrates that the effect of risk retention is weakened by an abrupt decline of risk retention.This study not only provides a theoretical foundation for China to continue the implementation of risk retention requirement,but also has important policy implications for China’s credit asset securitization and related regulatory practices.It is suggested that in the process of credit asset securitization,risk retention requirement should be continued,and information disclosure supervision should be strengthened on commercial banks;the scale of credit asset securitization market should be expanded prudently,and reasonable market pricing should be pursued;the regulatory rules of risk retention requirement should be optimized,and originating banks should be added as a possible risk retention counterparty.