【摘要】 商业银行信贷资产证券化作为结构化融资工具,对于盘活存量信贷资产、提高资产处置效率、完善商业银行融资体系具有重要作用。当前我国信贷资产证券化存在市场份额小、流动性不足等问题,基于Probit模型、Logistic模型及Tobit模型构建信贷资产证券化的行为选择模型和规模决策模型,实证分析我国商业银行信贷资产证券化的动因机制及其差异化。结果表明:贷款增长率、不良贷款率及非利息收入占比越高的商业银行,以及资本充足率越低的商业银行,其开展信贷资产证券化的可能性越高,且发行规模越大;大型国有商业银行开展信贷资产证券化的内生动力相对不足;中小型商业银行的内生动力较为强劲,可有效缓解其安全性、流动性和盈利性问题。基于研究结果,从银行业务、市场环境、监管三个层面提出优化我国商业银行资产证券化的建议,以期促进我国信贷资产证券化的健康发展。更多还原

【Abstract】 As a structured financing tool,commercial bank credit asset securitization plays an important role in revitalizing existing credit assets,increasing asset disposal efficiency and improving commercial bank financing system. At present, China’s credit asset securitization has problems such as small market share and insufficient liquidity. Based on Probit,Logistic and Tobit models,this paper firstly constructs the behavior selection model and scale decision model of credit asset securitization,and then analyzes the motivation for the credit asset securitization of commercial banks and their differentiation. We have the following results. The higher the nonperforming loan ratio is,the lower the capital adequacy ratio is,and the higher the proportion of non-interest income is; the higher the loan growth rate is,the higher the possibility of securitization of credit assets is,and the larger the scale of issuance is; the endogenous power of state-owned commercial banks to carry out credit asset securitization is relatively insufficient; the endogenous power of small and medium-sized commercial banks is relatively strong,which can effectively solve their security,liquidity and profitability problems. Based on the research results,the paper gives suggestions on how to optimize the asset securitization of China’s commercial banks from the three aspects of banking,market and supervision in order to promote the healthy development of credit asset securitization in China.更多还原