信贷资产证券化对商业银行流动性风险的影响研究——基于流动性错配指数模型  

Research on the Impact of Credit Asset Securitisation on Commercial Banks’ Liquidity Risk—Based on a Liquidity Mismatch Index Model

作　　者：陈亚菲 

机构地区：[1]湖北经济学院金融学院,湖北 武汉

出　　处：《社会科学前沿》2024年第12期730-740,共11页Advances in Social Sciences

摘　　要：商业银行作为金融体系的核心组成部分,其流动性状况直接影响到整个金融系统的稳定。信贷资产证券化业务作为一种将缺乏流动性的信贷资产转化为流动性更强的证券的创新金融业务,能够改善银行的资产负债结构,进而影响银行流动性。文章以2008~2021年16家商业银行的数据作为研究样本,将流动性错配指数作为衡量商业银行流动性风险的指标,探究银行开展信贷资产证券化业务对银行的流动性风险的影响。研究结果表明,商业银行通过信贷资产证券化能够显著降低银行的流动性风险,且非国有银行影响效果更显著。在研究基础上文章提出完善资产证券化产品设计和发行机制、完善资产证券化产品市场建设、推动相关法律法规和监管政策完善的对策建议。As a core component of the financial system, the liquidity situation of commercial banks directly affects the stability of the entire financial system. The credit asset securitisation business, as an innovative financial business that transforms illiquid credit assets into more liquid securities, can improve the asset-liability structure of banks and thus affect bank liquidity. This paper takes the data of 16 commercial banks from 2008 to 2021 as the research sample, and uses the liquidity mismatch index as an indicator to measure the liquidity risk of commercial banks, and explores the impact of credit asset securitisation business carried out by banks on the liquidity risk of banks. The research results show that commercial banks through credit asset securitisation can significantly reduce the bank’s liquidity risk, and the effect of non-state banks is more significant. On the basis of the study, this paper puts forward countermeasures to improve the design and issuance mechanism of asset securitisation products, improve the market construction of asset securitisation products, and promote the improvement of relevant laws, regulations and regulatory policies.

关 键 词：信贷资产证券化 流动性风险 流动性错配 

分 类 号：F83[经济管理—金融学]