信贷资产证券化对商业银行流动性风险的影响--基于PSM-DID模型的研究  

The Influence of Credit Asset Securitization on Liquidity Risks of Commercial Banks--Based on PSM-DID Model

作　　者：聂国栋[1] 闫宇 周衍平[1] NIE Guodong;YAN Yu;ZHOU Yanping(College of Economics and Management,Shandong University of Science and Technology,Qingdao 266590.China)

机构地区：[1]山东科技大学经济管理学院,山东青岛266590

出　　处：《山东科技大学学报（社会科学版）》2021年第5期92-99,共8页Journal of Shandong University of Science and Technology(Social Sciences)

基　　金：国家社会科学基金项目(16BJY111);山东省社会科学规划重大理论与现实问题协同创新研究专项(17CCXJ09)

摘　　要：我国金融业的逐渐开放使得商业银行的传统业务开始面对其他金融机构的竞争,为了提高资产流动性,转变传统的盈利模式,增强中间业务的竞争力,商业银行开始大力发展信贷资产证券化业务。使用43家上市商业银行2012-2019年的年报数据,采用PSM-DID方法分样本研究了资产证券化对商业银行流动性风险的影响,并加入时间趋势项动态分析了影响趋势。研究表明,商业银行通过开展信贷资产证券化业务有效地降低了流动性风险,并且其影响效果随时间的推移逐渐增强。未来商业银行需要进一步发展信贷资产证券化业务,以应对新冠肺炎疫情带来的经济下滑导致的资产流动性下降问题,将其作为经营模式升级转型的契机;金融监管部门应当为商业银行信贷资产证券化业务的开展提供良好的环境和严格的监管。The gradual opening up of China′s financial industry has led the commercial banks to competition from other financial institutions. In order to improve the liquidity of assets, transform the traditional profit model, and enhance the competitiveness of intermediary businesses, commercial banks began to vigorously develop credit asset securitization business. This article uses the annual report data of 43 listed commercial banks from 2012 to 2019, and adopts the PSM-DID method to research the influence of asset securitization on the liquidity risks of commercial banks, and adds an item, time trend, to dynamically analyze the impact trend. Research shows that commercial banks can effectively reduce liquidity risks by carrying out credit asset securitization business, and its influence gradually increases with the passage of time.In the future, commercial banks are expected to further develop the credit asset securitization business to cope with the decline in asset liquidity caused by the economic downturn under the Covid-19 epidemic, and take it as an opportunity for the upgrading and transformation of their business model.The financial regulatory authorities shall provide a favorable environment and strict supervision for the development of credit asset securitization business.

关 键 词：资产证券化 商业银行 流动性风险 信贷 

分 类 号：F832.33[经济管理—金融学]