Asset Securitization,Bank Heterogeneity And Bank Risk

Under the circumstances of the economy entering a new normal state and interest rate market reforms,commercial banks are facing a slowdown in earnings growth,aggravation of maturity of deposits and loans,an urgent need to revitalize existing credit assets,and an urgent need to find new profit models.After the pilot,suspension and restart phases of China's asset securitization,it was restarted in 2012 and was placed on the expectation of “increasing bank flows and revitalizing bad loans”.China's asset securitization is still in its infancy,and the research on asset securitization is very limited.Most of the literature is theoretical research on asset securitization or comparison with asset securitization in developed countries.Empirical research is mostly based on developed countries.National commercial banks conduct research on samples,and few scholars conduct research based on commercial banks of asset securitization in China.As asset securitization becomes an increasingly widespread financial instrument in China,it is important and necessary to continue to explore the relationship between asset securitization and bank risk.This paper selects 71 banks that have carried out asset securitization activities in China from 2012 to 2017 to construct non-balanced panel data.Through the systematic GMM estimation method,the paper empirically studies the risk relationship between asset securitization and China's commercial banks,and how the leverage ratio and bank governance influence on the relationship.The results verified the three hypotheses and reached the following conclusions.First,Asset securitization will reduce the risk of commercial banks.Second,highly leveraged banks have low bankruptcy costs and will prefer aggressive investment behaviors to increase the risk accumulation of securitization.At the same time,asset securitization itself will increase bank leverage and further increase risk accumulation.Therefore,the higher the leverage ratio,the securitization of assets.The more serious the risk accumulation problem.Last,the more dispersed the equity,the less likely it is that the major shareholder will take the initiative to mitigate the risk accumulation caused by asset securitization.