【作者】 刘彤；

【导师】 崔玉明；

【作者基本信息】 哈尔滨工业大学 ， 应用经济学， 2017， 硕士

【摘要】 2008年由美国次贷危机引发的全球金融危机给世界经济造成了极大的破坏,影响深远。而过度的资产证券化被认为是美国次贷危机爆发的“元凶”。2008年金融危机爆发以来,信贷资产证券化中是否存在逆向选择成为国内外学术界关注的焦点,各国专家学者纷纷对此展开了深入研究。2012年,中国人民银行和银监会共同发文重新启动我国自2009年以来暂停的信贷资产证券化试点工作。在国家政策的引导和扶持下,我国信贷资产证券化市场规模迅速扩大,市场运行机制逐渐完善。截至2016年12月底,信贷资产证券化存量规模达到10 000亿元左右,已经成为银行再融资的一个重要途径。信贷资产证券化作为银行将信贷资产从资产负债表表内转到资产负债表表外的重要渠道,银行在此过程中可能会利用自身的信息优势将一些低质量信贷资产转移,并可能在后续的贷款审批过程中放松筛选标准,从而产生逆向选择和道德风险等信息不对称问题。因此,本文对信贷资产证券化过程中的逆向选择进行实证研究具有重要的理论意义和实践意义。一方面可以丰富学术界对资产证券化的理论研究成果,另一方面可以为相关监管机构进行监管政策制定以及监管实践提供些许政策参考,同时也能够为参与资产证券化的投资者的投资决策提供一定的建议。本文基于动态面板数据模型的SYS-GMM估计方法,采用2012年至2016年中国银行层面的年度面板数据,选取不良贷款率作为逆向选择的衡量指标,并加入宏观经济影响因素作为控制变量,对银行不良贷款率与信贷资产证券化之间的关系进行实证研究,并依据实证结果分析银行在信贷资产证券化过程中是否存在逆向选择,即银行是否利用信贷资产证券化将低质量贷款转移到资产负债表表外。研究结果显示,银行不良贷款率与信贷资产证券化之间存在着显著的负相关,这表明在信贷资产证券化过程中银行选择将一部分低质量贷款通过资产证券化转移到表外,存在逆向选择。根据信贷资产证券化过程中存在逆向选择这一结论,本文从实施严格的信息披露、建立资产证券化结构标准以及加强信用评级监管等方面给监管当局提供了若干监管政策参考,同时从进行理性投资等方面给投资者提供了些许建议,以期对促进我国信贷资产证券化市场的可持续发展有所助益。更多还原

【Abstract】 In 2008,the global financial crisis triggered by the US subprime mortgage crisis caused great damage to the world economy.So far,the world economy has not fully recovered from the impact of global fin ancial crisis.It is widely believed that excessive asset securitization is the "culprit" of the US subprime mortgage crisis.Since then,the existence of adverse selection in the process of asset securitization has become a focus of research and attracted lively debates.In 2012,the People’s Bank of China and China Securities Regulatory Commission jointly issued a policy to restart credit asset securitization.Under the guidance and support of relevant policies,China’s credit asset securitization market has expanded rapidly,and the market operation mechanism has been gradually improved.By the end of 2016,the scale of credit asset securitization has reached about 1 trillion yuan,which has become an important channel for bank refinancing.An empirical study on the adverse selection problem in the process of credit asset securitization in this paper has theoretical and practical significance.On the one hand,it can enrich the existing academic research on asset securitization theory.On the other hand,it can provide some policy implications to relevant regulatory agencies for their regulatory policy formulation and supervision practice.Also,this paper can provide investment advices to investors who are involved in asset securitization market.By employing the annual panel data of the Chinese banks over the period of 2012-2016,this paper applies the SystemGeneralized Method of Moments(SYS-GMM)to study the relationship between the bank’s nonperforming loans rate and the scale of bank credit asset securitization.Based on our empirical results,we make judgment whether there is adverse selection problem in the process of the Chinese bank’s credit asset securitization.The results show that there is a significant negative correlation between the bank’s nonperforming loans rate and the securitization of credit assets.It indicates that in the process of credit asset securitization,Chinese banks transfer part of the low-quality loans to the off-balance sheet through asset securitization.There is an adverse selection problem in the process of asset securitization of Chinese banks.According to our findings of existing adverse selection in the process of credit asset securitization in China,this paper gives some suggestions on how to strengthen the information disclosure,to establish the asset securitization structure standard,and to enhance credit rating supervision,in order to promote a sustainable development of China’s credit asset securitization market.更多还原