资产证券化对银行资本充足率和不良贷款率的影响机制  

The Influence of Asset Securitization on Bank Capital Adequacy Ratio and Non-performing Loan Ratio

作　　者：李辉[1] 陶圆 Li Hui;Tao Yuan(School of Economics,Yunnan Minzu University,Kunming 650504,China)

机构地区：[1]云南民族大学经济学院,云南昆明650504

出　　处：《金融理论探索》2023年第3期38-49,共12页Exploration of Financial Theory

摘　　要：基于2SLS方法和中介效应模型,选取81家中国商业银行2012—2021年微观数据,分析资产证券化对商业银行资本充足率和不良贷款率的影响,并进一步从盈利能力视角和信贷扩张视角分别研究两者的影响机制。研究表明:资产证券化通过提升银行盈利能力显著提高其资本充足率,净资产比率越高、不良贷款率越低、贷款占比大、资产规模小的银行,其资产证券化对银行资本充足率有更好的效应;资产证券化刺激了银行信贷扩张却增加了银行不良贷款率,流动性越强、成本收入比越大、资本充足率越低的银行不良贷款的风险越大。银行资产证券化的目的在于提高盈利能力和增强资产流动性,但是利益的驱使和监管不到位会促使银行过度资产证券化,从而增加银行风险。Based on the 2SLS method and the intermediary effect model,this paper selects the microdata of 81 Chinese commercial banks from 2012 to 2021 to analyze the impact of asset securitization on the capital adequacy ratio and non-performing loan ratio of commercial banks.The paper also studied two conduction paths from the perspective of profitability and credit expansion.Research shows that:(1)the improvement of profitability is one of the intermediary channels for bank asset securitization to improve the capital adequacy ratio,and the higher the net asset ratio there is,the lower the non-performing loan ratio there will be,the larger the proportion of loans there is,and the smaller the asset scale there will be.In other words,asset securitization has a better effect on bank capital adequacy ratio;(2)credit expansion is one of the intermediary channels for bank asset securitization to increase the non-performing loan ratio,and for banks with stronger liquidity,the higher cost-to-income ratio they have,and lower capital adequacy ratio there will be,and the risk of non-performing loans is greater.The purpose of bank-issued asset securitization is to improve profitability and enhance asset liquidity,but the motivation of interests and the lack of supervision will prompt banks to over-securitize assets,thereby expanding the source of risk for banks.

关 键 词：银行资产证券化 盈利能力 资本充足率 信贷扩张 不良贷款率 

分 类 号：F832.33[经济管理—金融学]