贷款证券化、监管资本套利与资本监管改进  

Securitization, Regulatory Capital Arbitrage and Improvements in Bank Capital Supervision

作　　者：张桥云[1] 王纬[2,1] 吴静[3] 

机构地区：[1]西南财经大学金融学院 [2]中国农业银行总行 [3]西南交通大学经济管理学院

出　　处：《投资研究》2012年第5期23-33,共11页Review of Investment Studies

基　　金：2008年国家社科基金“完善我国住房金融制度研究”(08BJY051);2009年国家社科基金“次贷危机与资产证券化监管制度健全研究”(09BFX051);教育部人文社科重点研究基地重大项目“我国中低收入群体住房解决机制创新研究”(2009JJD790036);2009年教育部“新世纪优秀人才支持计划”的阶段性研究成果

摘　　要：巴塞尔协议的资本充足率指标可以反映银行部门吸收风险损失的能力,但是无法监测和控制银行体系外的贷款总额和累积的信用风险。20世纪70年代的贷款证券化创新导致银行进行监管资本套利,并使得资本充足率监管趋于失效。本文基于贷款证券化下银行贷款余额与社会贷款余额的差异,分析银行监管资本套利的微观机制并提出改进资本监管的建议。Measurement of capital adequacy proposed by BASEL committee reflects bank＇ s ability in absorbing shocks arising from financial stress; however, it does not cover the risk exposure from activities that are built up in shadow banking system such as mortgage securitization. Asset-backed securitization, a creation in 1970＇ s, has given the banks the leverage in arbitrage regulatory capital requirement and resulted in erosion of capital base both in level and quality. In this paper we analyze the micro-mechanism of bank＇ s activity in regulatory capital arbitrage by comparing the difference between loan bantanee hold by banks and hold by investors, and propose improved measurements for future capital supervision.

关 键 词：贷款证券化 资本充足率 监管资本套利 

分 类 号：F831.1[经济管理—金融学]