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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。
In this paper, we first establish a Monti-Klein bank behavior model based on asset securitization, and analyze the impact of asset securitization on bank credit channels theoretically. Then, we establish a number of fixed-effect panel data models and use the European 74 commercial banks 2001 - The 2014 data validate the theoretical model’s conclusions and empirically examine the impact of asset securitization on bank credit. The results show that: (1) With the deepening of banks’ participation in asset securitization, the sensitivity of bank credit to monetary policy response gradually increases; (2) asset-backed securities have different credit to banks in the pre- and post-crisis period The impact of different asset securitized products on different types of loans is also different; (3) the ability of banks issuing asset-backed bonds to be less affected during the crisis. The related policy suggestions put forward are as follows: China’s commercial banks should limit the proportion of financing obtained through asset securitization to a reasonable range; restrict the issuance of asset-backed securities with longer intermediary chains and encourage asset-backed bonds with shorter intermediary chains The release.