信贷资产证券化对银行绩效的影响研究——基于PSM-DID模型研究  

Research on the Economic Effect of Financial Innovation of Asset Securitization on Banks: Using PSM-DID Model

作　　者：刘丹 杨松令[2] 石倩倩[2] LIU Dan;YANG Song-ling;SHI Qian-qian(School of Accounting,Capital University of Economics and Business,Beijing 100070,China;School of Economics and Management,Beijing University of Technology,Beijing 100124,China)

机构地区：[1]首都经济贸易大学会计学院,北京100070 [2]北京工业大学经济与管理学院,北京100124

出　　处：《数理统计与管理》2020年第6期1105-1120,共16页Journal of Applied Statistics and Management

基　　金：北京市社会科学基金青年项目(17GLC073);北京市教委科研计划一般项目(SM202010038012);国家社会科学基金一般项目(18BGL090)。

摘　　要：本文采用2012-2017年我国银行业的全样本数据,利用倾向得分匹配和双重差分方法(PSM-DID)克服样本选择性偏误,并选取2014年银监会发布的备案制作为准自然实验验证稳健性,对我国银行实施信贷资产证券化的绩效进行实证研究。结果表明①在全样本银行中,实施资产证券化的银行显著降低了银行的经营风险,但是在控制融资成本和提升盈利能力方面没有显著效果。②采用备案制后,实施资产证券化的银行显著降低了融资成本和经营风险,但盈利能力提升不显著。③进一步研究发现将基础资产作为表外处理的实施资产证券化的银行,以对公贷款作为基础资产的证券化以及非国有银行的证券化能通过降低融资成本和经营风险提高银行绩效。基于此,本文建议:首先,可以适度提高银行资产证券化的力度,以降低融资成本、降低经营风险。第二,为控制银行风险,我国应禁止多层打包再证券化的操作,保持表外处理基础资产的透明度。This paper uses the data covered China’s banking industry from 2012 to 2017,overcomes the sample selectivity bias by the psm-did method,and selects the archival production issued by CBRC in 2014 as a quasi-natural experiment to verify the robustness,and conducts an empirical study on the performance of China’s banks in the implementation of credit asset securitization.The results show that:(1) In the full sample of banks,the implementation of asset securitization significantly reduces the operational risks of banks,but has no significant effect on the financing costs and profitability.(2) After the using of record-keeping system,the banks implementing asset securitization significantly reduced the financing cost and operational risks,but still failed to improve profitability.(3) Further study found that the securitization of underlying assets as off-balance-sheet treatment,the securitization of public loans as underlying assets and the securitization of non-state-owned banks can improve the performance of banks by reducing financing costs and operating risks.Based on this,this paper suggests:First,the research results of this paper show that asset securitization can improve the performance of banks,so it is suggested that China should appropriately increase the intensity of asset securitization.Second,in order to ensure the performance of asset securitization in reducing bank risks,China should prohibit the operation of multi-layer packaging and securitization,and maintain the transparency of off-balance sheet treatment of underlying assets.

关 键 词：信贷资产证券化 银行绩效 备案制 表内外资产证券化 所有制 

分 类 号：F832.3[经济管理—金融学] O212[理学—概率论与数理统计]