基于商业银行面板数据的信贷资产证券化动因实证

在党的十九大提出建设现代化经济体系、国务院发文“盘活存量”等国家政策的背景下,回顾了国内外资产证券化动因研究,并结合我国国情给出了增加流动性、改善盈利性、风险管理需要和监管资本套利等动因理论假说.采用国内符合业界标准的56家银行2011—2017年的相关数据,以56家全样本银行和13家上市银行为研究对象进行实证分析,结果表明,我国银行开展信贷资产证券化主要出于改善盈利性而非增加流动性,更倾向于扩大资产规模、挖掘创新业务和优化管理效率等动因.

Empirical Analysis of Credit Asset Securitization Based on Panel Data of Commercial Banks

In the context of the report of the Nineteenth National Congress of the Communist Party of China on building a modern economic system and the State Council's policy of "revitalizing stocks", we review the domestic and international asset securitization motivation research, and propose the theoretic motivation hypothesis which involves increase profitability improvement, risk management needs, and regulatory capital arbitrage. Using the 2011-2017 of 56 domestic banks which conform to be industry standards and targeting 56 full-sample banks and 13 listed banks separately, we conduct an empircal analysis. The empirical analysis shows that the credit asset securitization of Chinese banks is mainly to improve profitability rather than increase liquidity, and it is more inclined to expand the scale of assets, explore innovative business, and optimize management efficiency.