资产证券化对银行信贷渠道的影响——基于欧洲银行业的面板数据  

The Impact of Asset Securitization on Bank Credit Channels——Based on the Panel Data of European Banking Industry

作　　者：蒋和胜[1] 费翔[1] Jiang Hesheng1 Fei Xiang2

机构地区：[1]四川大学经济学院

出　　处：《财经科学》2017年第9期12-26,共15页Finance & Economics

摘　　要：本文首先建立了一个基于资产证券化的Monti-Klein银行行为模型,从理论上分析了资产证券化对银行信贷渠道的影响;然后建立了多个固定效应面板数据模型,利用欧洲74家商业银行2001—2014年的数据分别验证了理论模型的结论以及实证研究了资产证券化对银行信贷的影响。研究结果表明:(1)随着银行参与资产证券化活动程度的加深,银行信贷对货币政策响应的敏感度逐渐增强;(2)资产支持证券在前危机和后危机时期对银行信贷具有不同的影响,并且不同资产证券化产品对不同类型的贷款的影响也不同;(3)发行资产担保债券的银行的贷款能力在危机期间受到的影响较小。据此提出的相关政策建议是:我国商业银行应该将通过资产证券化获得融资的比例限制在一个合理的范围;限制中介链较长的资产支持证券的发行,鼓励中介链较短的资产担保债券的发行。This paper sets up a bank behavior model of Monti-Klein based on securitization, and Analyzes theoretical- ly the response of bank lending to monetary policy in case of securitization, then establishes three fixed effect panel da- m models, using the data of 74 European commercial banks in 2001-2014 respectively to verify the theoretical model conclusions and empirical research the impact of securitization on bank lending. The results show that： （1） With the deepening of the bank＇s participation in securitization, the sensitivity of bank credit to monetary policy has gradually increased;（2） securitization has different influence on bank lending in the pre crisis and post crisis period, and the influ- ence of different securitization products for different types of loans are also different;（3）The ability of banks to issue asset-backed securities was less affected during the crisis. The relevant policy recommendations are put forward： the commercial bank of China should control the proportion of financing through asset securitization in a reasonable range; restrictions on the issuance of a long chain of asset-backed securities,to encourage the chain of intermediary short bond issuance.

关 键 词：资产支持证券 资产担保债券 货币政策 银行信贷 

分 类 号：F832.4[经济管理—金融学] F832.51