金融危机前后信贷资产证券化对商业银行行为和风险的影响——基于美国面板数据的研究  

Research on the Influence of Securitization on Commercial Banks' Behavior and Risk Before and after the Financial Crisis——A Study Based on Panel Data from America

作　　者：陈玮[1] 傅亚平[1] Chen Wei;Fu Yaping(Antai College of Economics & Management,Shanghai Jiao Tong University, Shanghai 200030)

机构地区：[1]上海交通大学安泰经济与管理学院,上海200030

出　　处：《上海管理科学》2017年第2期17-22,共6页Shanghai Management Science

摘　　要：资产证券化本是银行转移信用风险的重要手段,但实际开展过程中却增加了银行风险承担意愿并弱化对贷款的审核动力,上述动机扭曲最终加大银行业绩的波动性。金融危机后,美国监管层出台了包括风险自留、限制资产出表等政策。本文基于美国银行控股公司信贷资产证券化面板数据,比较金融危机前后证券化引起的动机扭曲程度,探讨金融危机后金融改革法案的有效性。实证结果表明,资产证券化确实造成银行动机扭曲并提升银行面临的风险水平,新监管政策则有效地修正了动机扭曲,这将为我国资产证券化业务的开展提供借鉴。Credit assets securitization is an important way of transferring risk for commercial banks but leads to motivationaldistortion in the following way.Firstly,securitization increases liquidity of banks’assets,thus encouraging banks to engage inbusiness of high risk.Secondly,securitization can help banks easily transfer credit risk,which weakens their motive to verify andmonitor the quality of loans.After the financial crisis,American supervisors realized the problem and introduced a series of policies.This essay aims at comparing the degree of motivational distortion before and after the financial crisis and examining the effect ofpolicies issued.The results show that:credit assets securitization indeed causes the problem of motivational distortion and increasesbanks’risk level.What’s more,policies carried out after the financial crisis revised motivational distortion effectively,which hasimportant implications to china’s development of assets securitization.

关 键 词：信贷证券化 动机扭曲 政策有效性 

分 类 号：F830.59[经济管理—金融学]