金融研究
金融研究
금융연구
Journal of Financial Research
2012年
6期
83~94
,共null页
信用风险转移创新 信用衍生品 银行稳定性 双重差分
信用風險轉移創新 信用衍生品 銀行穩定性 雙重差分
신용풍험전이창신 신용연생품 은행은정성 쌍중차분
Credit Risk Transfer Innovation, Credit Derivatives, Bank （system） Stability, Difference in Differ-ence Method
信用风险转移（CRT）创新对银行（体系）稳定性的影响是重要的研究课题，尤其是2010年末我国推出了信用风险缓释工具，更强化了这项研究的重要性和紧迫性。现有文献主要研究CRT对于银行个体经济行为的影响，视角较为单一，同时采用的实证方法多为事件研究法和常规（面板数据）线性回归法，很难解决遗漏变量、内生性等计量难题，估计结果的准确性受到一定影响。本文在已有研究的基础上，从银行个体经济行为、个体风险和系统风险的视角，采用双重差分方法论证CRT对银行个体经济行为、银行个体风险以及银行系统风险的影响。结果表明，信用衍生品创新一方面降低了银行个体的风险，但同时引致银行增持高风险资产，最终的结果是导致银行系统风险增加。本文建议，因信用衍生品创新在降低银行个体风险的同时引致银行系统风险增加（即beta系数增加），而beta系数增加与顺周期性增强相对应，故我国应在进行信用衍生品创新的同时实施巴III协议，强化逆周期监管，消除金融创新负的外部性，凸显创新价值，防范金融风险。
信用風險轉移（CRT）創新對銀行（體繫）穩定性的影響是重要的研究課題，尤其是2010年末我國推齣瞭信用風險緩釋工具，更彊化瞭這項研究的重要性和緊迫性。現有文獻主要研究CRT對于銀行箇體經濟行為的影響，視角較為單一，同時採用的實證方法多為事件研究法和常規（麵闆數據）線性迴歸法，很難解決遺漏變量、內生性等計量難題，估計結果的準確性受到一定影響。本文在已有研究的基礎上，從銀行箇體經濟行為、箇體風險和繫統風險的視角，採用雙重差分方法論證CRT對銀行箇體經濟行為、銀行箇體風險以及銀行繫統風險的影響。結果錶明，信用衍生品創新一方麵降低瞭銀行箇體的風險，但同時引緻銀行增持高風險資產，最終的結果是導緻銀行繫統風險增加。本文建議，因信用衍生品創新在降低銀行箇體風險的同時引緻銀行繫統風險增加（即beta繫數增加），而beta繫數增加與順週期性增彊相對應，故我國應在進行信用衍生品創新的同時實施巴III協議，彊化逆週期鑑管，消除金融創新負的外部性，凸顯創新價值，防範金融風險。
신용풍험전이（CRT）창신대은행（체계）은정성적영향시중요적연구과제，우기시2010년말아국추출료신용풍험완석공구，경강화료저항연구적중요성화긴박성。현유문헌주요연구CRT대우은행개체경제행위적영향，시각교위단일，동시채용적실증방법다위사건연구법화상규（면판수거）선성회귀법，흔난해결유루변량、내생성등계량난제，고계결과적준학성수도일정영향。본문재이유연구적기출상，종은행개체경제행위、개체풍험화계통풍험적시각，채용쌍중차분방법론증CRT대은행개체경제행위、은행개체풍험이급은행계통풍험적영향。결과표명，신용연생품창신일방면강저료은행개체적풍험，단동시인치은행증지고풍험자산，최종적결과시도치은행계통풍험증가。본문건의，인신용연생품창신재강저은행개체풍험적동시인치은행계통풍험증가（즉beta계수증가），이beta계수증가여순주기성증강상대응，고아국응재진행신용연생품창신적동시실시파III협의，강화역주기감관，소제금융창신부적외부성，철현창신개치，방범금융풍험。
How the Credit Risk Transfer （CRT） innovation impact Bank （System） Stability is an important re- search topic. Especially at the end of 2010, China＇s launching credit risk mitigation tools further enhances the importance and urgency of this study. The existing literatures mainly focused on CRT＇s impact on the individual behavior of banks and the perspective was more single. Most of those researches adopted the empirical methods of event study methodology and conventional （ panel data） linear regression method which can＇t solve some e- conometric problems such as omitted variables and endogeneity, so the accuracy of estimation results was affect- ed. Based on the existing research, in this paper, we adopt the difference in difference method to demonstrate how CRT impacts the individual economic behavior and individual risk of banks and the systemic risk. The re- sults show that on the one hand the innovation of credit derivatives reduces the risk of the individual bank, but at the same time leads to bank holdings of risky assets which eventually increases the systemic risk. That is, the beta coefficient is increased which corresponds to the increase of procyclicality. So, finally we suggest that Chi- na should adopt the credit derivatives innovation and implement Basel III simultaneously, strengthen counter-cy- clical regulation and eliminate the negative externality of financial innovation, then, the value of innovation will be highlighted and also financial risks will be prevented.
