资产证券化对银行信贷渠道的影响——基于欧洲银行业的面板数据

发布时间：2018-03-29 05:41

本文选题：资产支持证券　切入点：资产担保债券　出处：《财经科学》2017年09期

【摘要】：本文首先建立了一个基于资产证券化的Monti-Klein银行行为模型,从理论上分析了资产证券化对银行信贷渠道的影响;然后建立了多个固定效应面板数据模型,利用欧洲74家商业银行2001—2014年的数据分别验证了理论模型的结论以及实证研究了资产证券化对银行信贷的影响。研究结果表明:(1)随着银行参与资产证券化活动程度的加深,银行信贷对货币政策响应的敏感度逐渐增强;(2)资产支持证券在前危机和后危机时期对银行信贷具有不同的影响,并且不同资产证券化产品对不同类型的贷款的影响也不同;(3)发行资产担保债券的银行的贷款能力在危机期间受到的影响较小。据此提出的相关政策建议是:我国商业银行应该将通过资产证券化获得融资的比例限制在一个合理的范围;限制中介链较长的资产支持证券的发行,鼓励中介链较短的资产担保债券的发行。
[Abstract]:This paper first establishes a Monti-Klein bank behavior model based on asset securitization, analyzes the influence of asset securitization on bank credit channels theoretically, and then establishes several fixed effect panel data models. Using the data of 74 commercial banks in Europe from 2001 to 2014, the conclusions of the theoretical model and the effect of asset securitization on bank credit are verified. The results show that: 1) with the deepening of banks' participation in asset securitization, The sensitivity of bank credit to monetary policy response is gradually increasing.) Asset-backed securities have different effects on bank credit in pre-crisis and post-crisis period. Moreover, the influence of different asset securitization products on different types of loans is also different. (3) the loan ability of banks issuing asset-backed bonds is less affected during the crisis. Commercial banks should limit the proportion of financing through asset securitization to a reasonable range; Limit the issuance of asset-backed securities with longer intermediation chains and encourage the issuance of asset-backed bonds with shorter intermediation chains.
【作者单位】：四川大学经济学院;
【分类号】：F832.4;F832.51

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