摘要
利用美国信用衍生产品市场面板数据,实证考察了CRT交易对银行贷款规模、风险水平与收益水平的影响,结果发现,CRT交易提高了适度参与型银行承担风险的意愿,而对市场主导型银行的影响并不显著,即CRT交易规模的提高并不会带来银行贷款规模的持续扩张,这与已有理论研究结论不同;由于存在双向作用,CRT交易并未带来银行收益水平的显著改善,对银行风险水平也没有明显影响。最后,对我国CRT市场发展问题提出了政策建议。
This paper discusses the influences of Credit risk Transfer （CRT）transaction on banks＇ loan scales, risk levels and benefit performance based on the penal data from America＇ s derivatives market. The findings reveal that CRT transaction of banks does not always resulted in the increase of bank loans, which is different from the results in other theoretical analyses. Because of bidirectional influence, CRT transaction of has not changed banks＇ risk levels and their benefit performance as expected. At last, the paper proposes some valuable advices to banks and supervisory authority on how to develop China＇s CRT markets.
出处
《金融研究》
CSSCI
北大核心
2007年第05A期147-160,共14页
Journal of Financial Research
