摘要
本文采用事件分析法,通过建立CAPM统计模型以及固定面板效应估计,实证检验了2007-2013年间国内商业银行发行信贷证券对于银行系统性风险的短期以及长期β效应,并进行了充分的稳定性检验。结果表明,信贷证券化短期内有助于降低银行系统风险;但长期来看,系统性风险反而增加,同时银行信贷证券化的风险转移效应具有机构异质性。基于分解效应的研究表明,导致风险的增加主要是源于银行体系关联度的放大。最后,本文提出了相关建议及措施。
This paper, using the method of event study, tests the effects of credit securities stably and fully, with thedata from domestic commercial banks between 2007-2013, on bank systemic risk in the short and long term by establishing amarket model and fLxed effect of panel. The results show that, credit securitization helps to reduce the risk of the bankingsystem in the short term and increase the risk in the long term. At the same time, the transfer of the risk of bank creditsecuritization has the feature of heterogeneity. The risk increase is mainly due to the amplification effect of the bankingsystem correlation. Finally, this paper puts forward suggestions and measures to be complete and perfected.
出处
《国际金融研究》
CSSCI
北大核心
2015年第6期65-75,共11页
Studies of International Finance
关键词
信贷证券化
系统性风险
β分解效应
Credit Securitization
Systemic Risk
β Decomposition Effect
