货币政策不确定性会影响商业银行资产证券化吗

当代财经 ›› 2023, Vol. 0 ›› Issue (9): 69-82.

货币政策不确定性会影响商业银行资产证券化吗

黄飞鸣, 晏文真

江西财经大学金融学院,江西南昌 330013

收稿日期:2023-04-21 修回日期:2023-07-01 出版日期:2023-09-15 发布日期:2023-09-15
通讯作者: 晏文真,江西财经大学博士研究生,主要从事货币政策、商业银行经营行为研究,联系方式690079004@qq.com。
作者简介:黄飞鸣,江西财经大学教授,博士生导师,经济学博士,主要从事货币理论与政策、商业银行管理研究。
基金资助:
国家自然科学基金青年项目“中央银行数字货币对货币政策传导的影响和作用机理研究”（72103084）; 国家自然科学基金地区项目“A股市场尾部风险及其溢价的形成机制研究：基于模糊性视角”（72063015）; 江西省2021年度研究生创新专项资金项目“非常规货币政策担保品扩容对企业创新的影响研究”（YC2021--B119）

Does Monetary Policy Uncertainty Affect the Asset Securitization Behavior of Commercial Banks

HUANG Fei-ming, YAN Wen-zhen

Jiangxi University of Finance and Economics, Nanchang 330013, China

Received:2023-04-21 Revised:2023-07-01 Online:2023-09-15 Published:2023-09-15

摘要/Abstract

摘要： 资产证券化赋予商业银行新的资金来源和扩张信贷的能力,拓展了银行的信贷融资渠道,有助于提高货币政策信贷传导的有效性。反过来,作为传导中介主体的商业银行,货币政策频繁调整带来的不确定性对其资产证券化是否会产生影响,是一个值得深入探讨的问题。运用2012—2021年中国147家商业银行的数据样本,考察货币政策不确定性与商业银行资产证券化之间的关系,结果表明,货币政策不确定性的上升对商业银行资产证券化业务具有正向推动作用。机制分析发现,货币政策不确定性会通过阻碍银行流动性创造、增加银行信贷风险、缩减影子信贷规模,从而促进资产证券化业务的发展。异质性分析表明,货币政策不确定性对资产证券化的促进作用在城商行、全国性银行以及高信用评级的银行中显著;对银行上市与否均有促进作用,但对非上市银行的影响程度更显著。此外,数字金融的发展会弱化货币政策不确定性对银行资产证券化业务的促进作用。因此,在货币政策不确定性上升时,资产证券化业务有利于缓解货币政策不确定性对银行的负向冲击,并稳定其发展。

关键词: 货币政策不确定性, 银行资产证券化, 流动性创造, 影子信贷

Abstract: Asset securitization provides commercial banks with new sources of funds and enhances their ability to expand credit, thereby expanding their channels for credit financing and contributing to the effectiveness of monetary policy transmission. Conversely, whether the uncertainty brought about by frequent adjustment of monetary policy will affect the securitization behavior of commercial banks as transmission intermediaries is a question worthy of in-depth discussion. Using the data from the samples of 147 commercial banks in China from 2012 to 2021, this study examines the relationship between monetary policy uncertainty and the securitization behavior of commercial banks. The results indicate that the increase of monetary policy uncertainty has a positive promoting effect on commercial banks' asset securitization business. The mechanism analysis reveals that monetary policy uncertainty can hamper bank liquidity creation, increase bank credit risks, and reduce the scale of shadow credit, thereby promoting the development of asset securitization business. The heterogeneity analysis shows that the promoting effect of monetary policy uncertainty on asset securitization is significant in urban commercial banks, nationwide banks, and banks with high credit ratings. It has a promoting effect on both listed and non-listed banks, but the impact is more significant on non-listed banks. Furthermore, the development of digital finance will weaken the role of monetary policy uncertainty in promoting bank securitization. Therefore, during the periods of increasing monetary policy uncertainty, the asset securitization business is beneficial in mitigating the negative impact of policy uncertainty on banks and stabilizing their development.

Key words: monetary policy uncertainty, bank asset securitization, liquidity creation, shadow credit

中图分类号:

F832.3

黄飞鸣, 晏文真. 货币政策不确定性会影响商业银行资产证券化吗[J]. 当代财经, 2023, 0(9): 69-82.

HUANG Fei-ming, YAN Wen-zhen. Does Monetary Policy Uncertainty Affect the Asset Securitization Behavior of Commercial Banks[J]. Contemporary Finance & Economics, 2023, 0(9): 69-82.

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