信用风险转移与银行系统表现——基于美国信用衍生品交易市场面板数据的实证研究  

Credit Risk Transfer and Bank's Performance:An Empirical Study Based on the Panel Data of the American's Derivatives Market

作　　者：赵俊强[1] 韩琳[1] 李湛[1] 

机构地区：[1]上海交通大学经济与管理学院,上海200052

出　　处：《金融研究》2007年第05A期147-160,共14页Journal of Financial Research

摘　　要：利用美国信用衍生产品市场面板数据,实证考察了CRT交易对银行贷款规模、风险水平与收益水平的影响,结果发现,CRT交易提高了适度参与型银行承担风险的意愿,而对市场主导型银行的影响并不显著,即CRT交易规模的提高并不会带来银行贷款规模的持续扩张,这与已有理论研究结论不同;由于存在双向作用,CRT交易并未带来银行收益水平的显著改善,对银行风险水平也没有明显影响。最后,对我国CRT市场发展问题提出了政策建议。This paper discusses the influences of Credit risk Transfer （CRT）transaction on banks＇ loan scales, risk levels and benefit performance based on the penal data from America＇ s derivatives market. The findings reveal that CRT transaction of banks does not always resulted in the increase of bank loans, which is different from the results in other theoretical analyses. Because of bidirectional influence, CRT transaction of has not changed banks＇ risk levels and their benefit performance as expected. At last, the paper proposes some valuable advices to banks and supervisory authority on how to develop China＇s CRT markets.

关 键 词：信用风险转移 信用衍生品 面板数据 

分 类 号：F837.12[经济管理—金融学]