债务抵押证券对银行贷款行为影响的实证分析  

The Empirical Analysis of Bank Lending Behavior with Respect to Collateralized Debt Obligations

作　　者：刘立安[1,2] 傅强[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400030 [2]山东经济学院财政金融学院,济南250014

出　　处：《管理工程学报》2010年第3期150-155,共6页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金(No:70372041)

摘　　要：债务抵押证券(CDOs)市场发展迅速,在银行业信用风险转移中起到了重要作用。本文分析了我国CDOs市场的发展现状,并利用面板数据模型,通过16家国内银行的月度面板数据,研究了银行发行CDOs对银行贷款行为及贷款质量的影响,最后提出了政策建议。结果显示:1)银行发行CDOs增加了CDOs发起银行与股份制商业银行的贷款数量,对未发行CDOs的政策性银行和国有商业银行却没有显著影响;2)发行CDOs并没有降低银行业新增贷款质量,却增加了银行的利息收益。The market for collateralized debt obligations （CDOs） grows rapidly, which has played an important role in credit risk management. This paper tests the lending behavior and loan quality of banks using CDOs to manage asset credit risk employing a panel of 16 domestic banks data during the 2004.01 -2006. 11 periods. Its results show that there is a significant influence to issuing CDOs bank and joint-stock commercial bank and not significant to policy banks and the state-owned banks. And issuing CDOs does not reduce the quality of new loans while it has increased their interest income.

关 键 词：信用风险转移 CDOs 贷款行为 系统稳定性 

分 类 号：F830[经济管理—金融学]