国际金融研究
國際金融研究
국제금융연구
Studies of International Finance
2012年
9期
71~78
,共null页
资产证券化 格兰杰检验 资本充足率
資產證券化 格蘭傑檢驗 資本充足率
자산증권화 격란걸검험 자본충족솔
Asset Securitization; Granger Causality Test; Capital Adequacy Ratio
作为现代金融市场最重要的创新工具之一，国内外理论界和银行界普遍认为资产证券化对于银行有着改善资产负债结构、提高资本充足率、增加流动性和提高收益水平等多方面的作用。然而。这些效应并不是必然的。本文选取全球资产证券化市场最为成熟的美国市场数据，采用格兰杰因果检验方法。对银行信贷资产证券化产生的效应进行实证分析。研究表明，资产证券化能提升银行的资本充足率、降低融资成本、增强盈利能力与效率、优化贷款组合构成．但是在降低流动性风险和提升贷款组合质量方面的效果并不明显．
作為現代金融市場最重要的創新工具之一，國內外理論界和銀行界普遍認為資產證券化對于銀行有著改善資產負債結構、提高資本充足率、增加流動性和提高收益水平等多方麵的作用。然而。這些效應併不是必然的。本文選取全毬資產證券化市場最為成熟的美國市場數據，採用格蘭傑因果檢驗方法。對銀行信貸資產證券化產生的效應進行實證分析。研究錶明，資產證券化能提升銀行的資本充足率、降低融資成本、增彊盈利能力與效率、優化貸款組閤構成．但是在降低流動性風險和提升貸款組閤質量方麵的效果併不明顯．
작위현대금융시장최중요적창신공구지일，국내외이론계화은행계보편인위자산증권화대우은행유착개선자산부채결구、제고자본충족솔、증가류동성화제고수익수평등다방면적작용。연이。저사효응병불시필연적。본문선취전구자산증권화시장최위성숙적미국시장수거，채용격란걸인과검험방법。대은행신대자산증권화산생적효응진행실증분석。연구표명，자산증권화능제승은행적자본충족솔、강저융자성본、증강영리능력여효솔、우화대관조합구성．단시재강저류동성풍험화제승대관조합질량방면적효과병불명현．
Asset securitization, one of the most important innovation tools in modern financial market, is considered effective in optimizing the structure of bank assets and liabilities, enhancing capital adequacy ratio, increasing liquidity and raising the profit level by scholars and bankers both at home and abroad. However, those effects are not inevitable. The article selects the panel data of the U. S. market, the most mature asset securitization market in the world and analyzes the effect of bank asset securitization in an empirical way by using Granger causality test method. The result shows that asset securitizatiou does benefit banks in the capital adequacy ratio, financing cost, profitability, efficiency and the structure of loan portfolio, but its function in reducing the liquidity risk and enhancing the quality of loan portfolios is not obvious.
