摘要
文章在阐述了信贷资产证券化对商业银行流动性风险影响机理的基础上,选用我国16家上市商业银行2007~2015年的季度数据,选取能够代表商业银行流动性风险和信贷资产证券化的相关指标构建指标体系,运用面板向量自回归模型（PVAR模型）进行实证研究。研究结果表明,信贷资产证券化有助于商业银行降低流动性风险。最后根据实证研究结论提出充分发挥资产证券化作用、降低商业银行流动性风险的对策建议。
This paper describes the effect mechanism of the credit assets securitization on commercial banks li- quidity risk, chooses quarterly data from 2007 to 2015 of 16 listed commercial banks in China, selects the related in- dexes on behalf of the commercial bank liquidity risk and credit assets securitization to construction index system, and uses panel vector autoregressive model （PVAR model） for empirical research. The results show that credit asset securi- tization can help commercial banks to reduce liquidity risk. Finally, based on the empirical research conclusion, this paper puts forward the countermeasures and suggestions on giving full play to the role of asset securitization and redu- ing the liquidity risk of commercial banks.
出处
《区域金融研究》
2016年第3期29-33,共5页
Journal of Regional Financial Research
