我国商业银行信贷资产证券化的驱动因素研究——基于2012年试点重启以来的实证数据检验  

Research on the determinants of credit assets securitization of Commercial banks in China:Empirical test based on the pilot restart since 2012

作　　者：于宝亮[1,2] 鲁晏辰 张明[4] 

机构地区：[1]中国社会科学院研究生院世界经济与政治系 [2]中国建设银行股份有限公司办公室 [3]天津财经大学研究生院 [4]中国社会科学院世界经济与政治研究所国际投资研究室

出　　处：《投资研究》2016年第12期16-30,共15页Review of Investment Studies

摘　　要：本文利用我国商业银行2012年初至2016年6月份的信贷资产证券化数据和财务数据,通过Probit和Logistics模型研究了我国商业银行发起信贷资产证券化的驱动因素,通过Tobit模型研究了我国商业银行信贷资产证券化发起规模的驱动因素。研究表明,不良贷款率越高、资本充足率越低、非利息收入占比越高、贷款增长率越高的商业银行,其发起信贷资产证券化的可能性越高,且发起规模越大。最后,本文认为住房抵押贷款和不良贷款证券化是未来我国商业银行信贷资产证券化的两个重要发展方向。This paper studies the driving factors of bank loan securitization through Probit and Logistics model and the driving factors of the securitization scale originated by the bank through Tobit model with the asset securitization data and bank-specific data of commercial banks in China from June 2012 to June 2016. Our results show that banks with higher the NPL ratio, the lower the capital adequacy ratio, the higher the proportion of non-interest income and the higher the loan growth rate are more likely to perform securitization and for a larger amount. At the same time, this article points out that the MBS and the NPLS will be the two important directions of commercial banks＇ bank loan asset securitization in the future.

关 键 词：商业银行 信贷资产证券化 驱动因素 PROBIT模型 TOBIT模型 

分 类 号：F832.4[经济管理—金融学] F832.51