经济政策不确定性与银行资产证券化

《上海财经大学学报》 2020年22卷第4期 页码：64 - 82  online：2020年7月27日

经济政策不确定性与银行资产证券化

Economic Policy Uncertainty and Asset Securitization of Banks

作者（中）：李佳

作者（英）：Li Jia

作者单位：1.山东师范大学 经济学院，山东 济南 250358

摘要：经济政策的频繁变动，将对银行微观经营环境产生负面作用，进而影响银行发展资产证券化的动机。文章基于经济政策不确定性—银行微观行为变化—资产证券化发展的关联链条，考察经济政策不确定性对银行资产证券化发展的影响。研究发现：经济政策不确定性上升显著促进了银行资产证券化发展。进一步探讨该正向影响的内在机理后发现，经济政策不确定性对银行期限错配、风险承担及盈利水平等产生的负面影响，是推动银行发展资产证券化的重要动机，说明银行发展资产证券化的主要目的在于缓解政策频繁调整带来的负向冲击。文章为科学制定资产证券化发展策略，以及在新冠肺炎疫情导致政策频繁调整的背景下，通过资产证券化的发展来稳定银行行为提供了有益启示。

关键词：经济政策不确定性; 银行; 资产证券化

Summary: Frequent changes in economic policies will bring negative effects on the micro operating environment of banks. In this context, the functional effects of asset securitization create conditions for banks to effectively resist the adverse impact of economic policy uncertainty. In view of this, this paper examines the impact of economic policy uncertainty on the development of asset securitization of banks based on the related chain of “economic policy uncertainty—bank micro behavior change—asset securitization development”. It is found that the increase of economic policy uncertainty significantly promotes the development of bank asset securitization. Further, this paper discusses the internal mechanism of the positive impact, and finds that the adverse impact of economic policy uncertainty on the term mismatch, risk-taking and profitability of banks is an important motivation for banks to develop asset securitization, which confirms the original logic of the article, that is, the adverse impact of economic policy uncertainty on the micro operating environment of banks constitutes a series of motives for the development of bank asset securitization, and fully explains that the functional system of asset securitization can be an effective way for banks to cope with frequent policy changes. Finally, this paper studies the corresponding heterogeneity characteristics, and finds that economic policy uncertainty promotes the development of bank asset securitization, which is more significant in non-listed banks and small and medium-sized banks, because these banks lack sufficient adjustment means to adapt to the unstable political environment, and they need to use the functional system of asset securitization to deal with economic policy uncertainty. Therefore, it has a stronger impetus for the development of asset securitization.This paper holds that the main purpose of developing asset securitization is to deal with the uncertain external environment and its adverse impact on its own microstructure. Under the background that the outbreak of the COVID-19 Epidemic has led to the increase of economic policy adjustment and policy uncertainty, the regulatory authorities should not only continuously improve the institutional space for the effective function of asset securitization, but also pay attention to the “double-edged sword” feature of asset securitization, and strive to create a transparent and fair policy environment and stabilize the bank’s expectation of future policies. The conclusion of this paper expands the research field of bank asset securitization from the perspective of economic policy uncertainty, and deepens the cognition of the effect of economic policy uncertainty on bank behavior, which provides useful enlightenment for making the development strategy of asset securitization scientifically, and stabilizing bank behavior through the development of asset securitization under the background of the frequent adjustment of policies caused by the COVID-19 Epidemic.

Key words: economic policy uncertainty; bank; asset securitization

DOI：10.16538/j.cnki.jsufe.2020.04.005

收稿日期：2020-2-13

基金项目：国家社科基金项目“经济下行期资产证券化创新对银行风险承担的影响研究”（16CJY070）

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