信贷资产证券化对银行风险承担的影响分析

Analysis on the Impact of Securitization of Credit Assets on Bank Risk Taking

本文选取2011~2018年51家商业银行年度面板数据,通过固定效应模型和系统GMM动态面板回归模型实证分析信贷资产证券化对银行风险承担的影响效应,发现信贷资产证券化对银行不良贷款率具有显著的正向促进作用。研究结果表明,信贷资产证券化并没有实现信贷风险真正地剥离或转移,原因在于发行银行通过提高自身杠杆率水平、持有更多高风险的不良资产以及扩大信贷规模等方式,导致不良贷款率反而升高。因此,监管部门有必要加强对银行信贷资产证券化的监督管理,以防银行对其过度使用。

Based on the annual panel data of 51 commercial banks from 2011 to 2018, this paper finds out that securitization of credit assets had a significant positive effect on banks’ non-performing loan ratio through fixed-effect model and systematic GMM dynamic panel regression model to analyze the influence of securitization of credit assets on banks’ risk taking. The results show that the se-curitization of credit assets did not fully realize the goal of stripping or transferring credit risk because the increase of the leverage ratio and the high-risk non-performing assets and the expan-sion of the credit scale result in the level-up of the non-performing loan ratio instead of declining. Therefore, it is necessary for the regulatory authorities to strengthen the supervision and man-agement of the securitization of bank credit assets so as to prevent banks from overusing it.