Research On The Adverse Selection In The Process Of Credit Loan Obligation Of Bank

The global financial crisis originated from the US subprime mortgage crisis in2008.It has a strong destructive power and a wide spread.It has caused tremendous impact on the global economy.The root cause of this is the excessive asset securitization.After the outbreak of the subprime mortgage crisis,scholars have carried out extensive and in-depth research on assets securitization,and their focus has gradually locked in the problem of adverse selection hidden behind credit loan obligation.China's credit loan obligation was suspended in 2009 and re-launched in2012.The rapid improvement of this market mechanism and the rapid expansion of market scale have benefited from the support and guidance of national policies.As the end of December 2018,the credit loan obligation,which is one of the most important ways of bank refinancing,has reached about 2,700 billion yuan.Banks can transfer mortgage assets to the balance sheet by means of asset securitization,but at the same time,banks have both incentives and ability to use the implicit information they have in the process to choose to include low-quality loans in asset pools.The pool is transferred to the off-balance sheet to optimize its own mortgage quality.The existence of this problem is the adverse selection in the securitization of mortgage assets.This paper makes a research on this problem.On the one hand,it hopes todeepen the academic research on asset-based securities.On the other hand,it hopes that the research results can provide reference for the formulation of regulatory policies and ultimately serve the investment decision of investors.It wishes to realize its value and meaning both in theory and in practice.Based on the SYS-GMM measurement method of dynamic panel model,this paper takes the first quarter of 2015 to the third quarter of 2018 as the time interval,uses the quarterly panel data of the bank level as the date sample,introduces the macroeconomic variables as the control variables,and select non-performing loan ratio as a measure of adverse selection,empirically analyzing the relationship between the scale of off-balance sheet mortgage assets and the non-performing loan ratio,judging whether the bank uses the securitization process to transfer low-quality loans to the off-balance sheet,and verifying the existence of adverse selection in the credit loan obligation.The empirical results show a significant negative correlation between the off-balance sheet credit loan obligation scale and the non-performing loan ratio,which indicates that the bank has the act of using the securitization process to transfer the low-quality loan to the off-balance sheet.So,the problem of adverse selection exists.Based on the result,this paper thinks out relevant policy recommendations,including improving the structural standards of asset securitization,establishing a strict information disclosure mechanism and strengthening the supervision of credit rating agencies,and recommending investors to make rational investments,hoping to promote the progress and development of credit loan obligation in China.On the basis of this research,it is hoped that along with the continuous expansion of the asset securitization market and the deepening of market development,more comprehensive and accurate data samples can be obtained in future research,and efforts are made to improve the reference value and accuracy of the empirical results.