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