摘要
近年来，银行体系一直是提高我国金融市场融资效率的重要力量，但长期信贷扩张带来的风险积累也不容忽视，并且经济下行压力导致实体经济风险的恶化也不可避免地会传导至银行系统。随着经济增长趋势的下行与银行风险的不断攀升，我国资产证券化的发展不断提速，因此需要考虑的是，拥有风险转移与流动性效应等微观功能的资产证券化创新，将对银行风险承担产生何种影响？在经济下行趋势不断强化的背景下，资产证券化能否成为银行风险管理的重要途径？对于这些问题的解答，不仅能够为维护银行稳定、优化监管机构的监管措施提供理论支撑，更可为“不发生系统性风险”底线的维持提供决策支持。因此，本书以“经济下行期”为研究背景，在借鉴现有文献的基础上，全面探讨了资产证券化对银行风险承担的影响。本书的主要研究结论有：
（1）以“经济下行压力”为背景，从理论上得出我国商业银行发展资产证券化的目的在于改善资产流动性结构、缓解资产负债的期限错配、提升风险管理能力与竞争力，并以我国银行业为样本进行实证考察，发现银行发展资产证券化的真实目的在于缓解风险和改善营利性，同时发现经济下行态势也是银行发展资产证券化的重要动力，而且随着银行经营压力的提升，资产证券化增加流动性、转移风险、提高营利性和补充资本等功能将逐渐被银行重视，这也凸显经济下行压力给银行带来的经营困境，是政府部门大力推动资产证券化的目的之一。
（2）理论上看，资产证券化对银行风险承担的影响遵循一条由“微观向宏观”过渡的三阶段路径：第一阶段，资产证券化将通过风险转移、流动性效应及监管资本套利等功能影响银行个体行为，这是微观阶段的影响。第二阶段，上述功能效应对银行个体行为的影响，将通过银行资产负债结构、流动性结构、期限结构及风险偏好等变化来体现，并反映在风险承担水平的变化上，这是中观阶段的影响。第三阶段，资产证券化对银行风险承担的影响，将产生一定的溢出效应，并且该溢出效应最终将体现于金融稳定的变化上，这是宏观阶段的影响。
（3）以重启后的银行信贷资产证券化发展为样本，发现在初始阶段资产证券化显著推动了银行风险上升，同时机制分析结果表明：资产支持证券发行银行主要是通过道德风险倾向或从事高风险业务，及持有更高比例风险资产与更多“基础资源”导致不良贷款率上升，并且在发展初期，银行更注重基础资产池的高信用质量，或采取“风险自留”等微观行为，这均不利于风险的缓解。同时，通过长期分析发现，在政策因素推动下，资产证券化能够缓解银行风险，可见目前采取的政策基本实现了应有目标，属于有效的“政策”，该结论也说明伴随着时间推移及资产证券化不断发展，其导致银行风险上升的效应将不断弱化。
（4）以“经济下行压力”为背景，实证考察资产证券化对银行风险的影响，结果显示在经济下行趋势中，资产证券化能够显著降低银行风险，并且相比上市银行和规模较大银行，资产证券化更有利于降低非上市银行与规模较小银行的风险；在考虑银行微观结构差异的分析中，发现对于资产流动性、资本规模、营利性较低，及风险资产占比较高的银行，资产证券化越有利于实现风险缓解，这也从侧面证实了在经济下行压力下，资产证券化可通过改善银行资产流动性、资本规模、盈利水平及风险资产占比等微观结构，以实现风险的降低。
（5）采用双向固定效应、双重差分、中介效应等实证分析方法，进一步分析资产证券化对银行稳定的影响，发现在经济下行趋势下，资产证券化并未对银行稳定带来不利影响，同时也未导致银行杠杆的过度增长，可知目前我国银行资产证券化的发展处在稳定状态，其微观功能的发挥也在正常边界之内。
（6）资产证券化的理性发展，可充当维护经济下行期银行稳定的重要路径，主要可从明确资产证券化的功能定位、动态监控资产证券化影响银行风险承担的传导链条及完善纳入资产证券化后的银行监管系统来实现。
（7）在经济下行期，我国银行资产证券化应遵循如下发展策略，即将渐进式推动金融结构的优化作为资产证券化的发展目标；审慎看待资产证券化的功能体系；以“宏观审慎监管”为蓝本，强化资产证券化的监管；从法律制度角度完善资产证券化发展的制度保障。
关键词：经济下行期；资产证券化；银行风险
ABSTRACT
In recent years,the Banking System has been an important force to improve the Financing efficiency of Chinese Financial Market,but the risk accumulation brought by long-term Credit Expansion can not be ignored,and the deterioration of real Economic Risk caused by Economic Downward pressure will inevitably be transmitted to the Banking System.With the downward trend of economic growth and the rising risk of Banks,the development of Asset Securitization in China is speeding up.Therefore, we need to consider how the innovation of Asset Securitization with micro functions such as Risk Transfer and Liquidity Effect will affect the Risk-Taking of Banks? Under the background of economic downward trend,can asset securitization become an important way of Bank Risk Management? The answers to these questions can not only provide theoretical support for maintaining bank stability and optimizing regulatory measures of regulators, but also provide decision support for maintaining the bottom line of“no systemic risk”.Therefore, based on the research background of“Economic Downturn Period”,this book comprehensively discusses the impact of Asset Securitization on Bank Risk-Taking on the basis of existing literature.The main conclusions of this book are as follows：
1.Based on the background of“Downward Pressure of Economy”, it is theoretically concluded that the purpose of developing Asset Securitization of Chinese Commercial Banks is to improve the structure of Asset Liquidity,alleviate the term mismatch of Assets and Liabilities, and enhance the ability and competitiveness of Risk Management.Taking Chinese Banking industry as a sample,this paper makes an empirical study and finds that the real purpose of developing Asset Securitization of Banks is to mitigate risks and improve them for profit,it is also found that the downward trend of economy is an important driving force for banks to develop Asset Securitization.With the increase of bank operation pressure, the functions of Asset Securitization, such as increasing liquidity,transferring risk, increasing profitability and replenishing capital,will gradually be taken seriously by banks.This also highlights the operational difficulties brought by the downward pressure of economy which is the purposes for the government department that vigorously promotes Asset Securitization.
2.In theory, the impact of Asset Securitization on Bank Risk-Taking follows a three-stage path of transition from“micro to macro”: In the first stage, Asset Securitization will affect bank individual behavior through risk transfer, liquidity effect, regulatory capital arbitrage and other functions, which is the impact of the micro stage.In the second stage,the impact of the above-mentioned functional effects on the bank's individual behavior will be reflected in the changes of the bank's asset liability structure,liquidity structure,term structure and risk preference, and reflected in the changes of the risk-taking level,which is the impact of the meso stage.In the third stage, the impact of Asset Securitization on Bank Risk-Taking will have a certain spillover effect,and the spillover effect will finally be reflected in the change of financial stability,which is the impact of the macro stage.
3.Taking the development of bank credit Asset Securitization after the restart as a sample,it is found that Asset Securitization significantly promotes the rise of bank risk in the initial stage.At the same time, the mechanism analysis results show that Asset-Backed Securities issuing banks mainly increase the non-performing loan rate through moral hazard tendency or engaging in high-risk business,and holding a higher proportion of risk assets and more“basic resources”, And in the early stage of development, banks pay more attention to the high credit quality of the basic asset pool,or take micro behaviors such as“risk retention”, which are not conducive to risk mitigation.At the same time,through long-term analysis,it is found that asset securitization can alleviate bank risk under the promotion of policy factors.It can be seen that the current policies have basically achieved their due goals, which are effective policies.This conclusion also shows that with the passage of time and the continuous development of Asset Securitization, the effect of its leading to the rise of bank risk will continue to weaken.
4.Based on the background of“downward pressure of economy”, this paper makes an empirical study of the impact of Asset Securitization on Bank Risk.The results show that Asset Securitization can significantly reduce bank risk in the downward trend of economy.Compared with listed banks and larger banks, Asset Securitization is more conducive to reduce the risk of non listed banks and smaller banks.Considering the differences of bank microstructure,the paper analyzes the impact of Asset Securitization on bank risk In the analysis, it is found that for banks with low liquidity, capital scale, profitability and high proportion of risk assets, Asset Securitization is more conducive to risk mitigation,which also proves that under the downward economic pressure,Asset Securitization can achieve risk by improving the bank's micro structure of asset liquidity,capital scale,profitability and proportion of risk assets reduction.
5.By using the two-way fixed effect, double difference, intermediary effect and other empirical analysis methods, we further analyze the impact of Asset Securitization on bank stability, and find that Asset Securitization has not brought adverse effects on bank stability and excessive growth of bank leverage under the trend of economic downturn.We can see that the development of bank Asset Securitization in China is in a stable state at present, Its micro function is also within the normal boundary.
6.The rational development of Asset Securitization can serve as an important path to maintain the stability of banks in the economic downturn, which can be realized by clarifying the functional orientation of Asset Securitization,dynamically monitoring the transmission chain of the impact of Asset Securitization on bank risk bearing,and improving the banking regulatory system incorporated into Asset Securitization.
7.In the period of economic downturn,Asset Securitization of banks in China should adhere to the following development strategies:gradually promoting the optimization of financial structure as the development goal of Asset Securitization; prudently treating the functional system of Asset Securitization; strengthening the supervision of Asset Securitization Based on“macro prudential supervision”;improving the institutional guarantee of Asset Securitization development from the perspective of legal system.
Key Words:Economic Downturn;Asset Securitization;Bank Risk