资产证券化对商业银行流动性风险的影响——基于流动性缓冲视角.pdfVIP

金 融 论 坛 2018 年第 2 期（总第 266 期） 资产证券化对商业银行流动性风险的影响 ———基于流动性缓冲视角 郭红玉 高 磊 史康帝 ［摘 要］本文采用流动性错配指数（ ）研究资产证券化、流动性缓冲与中国商业银行流 LMI 动性风险之间的关 系及影响 。研究表明：资产证券化并未提高商业银行的流动性，反而通过 商业 银行逐利特性和形成稳定预期 的方式减少 了流动性缓冲 ，从而强化了商业银行流动性风险。商业 银行有必要持有一定的流动性缓冲 ，并且控制资产证券化资产池中的资产质量，避免过度资产证 券化产生的流动性风险。 ［关键词］商业银行；资产证券化 ；流动性缓冲；流动性错配指数 ；流动性风险 ［文章编号］ （ ） ［ 分类号］ ； ［文献标志码］ 1009 - 9190 2018 02 - 0009 - 11 JEL G21 G29 A DOI:10.16529/ki.11-4613/f.2018.02.004 The Impact of Asset Securitization on the Liquidity Risk of Commercial Banks ———From the Perspective of Liquidity Buffer GUO Hong-yu GAO Lei SHI Kang-di ［ ］ Abstract The authors of this paper use the liquidity mismatch index (LMI) to research the relationship among the asset ’ securitization, liquidity buffer and the liquidity risk of China s commercial banks. The results of the paper shows that the asset securitization does not improve the liquidity of commercial banks, but reduces the liquidity buffer because of the pursuing-profit motive and stable expectation of commercial banks, and enhances the liquidity risk of commercial banks. It is necessary for commercial banks to keep some liquidity buffer, to control the quality of assets in the asset pool of as－ set securitization, and to avoid the liquidity risk caused by excessive asset securitization. ［ ］ Key words commercial bank; asset securitization; liquidity buffer; liquidity mismatch index; liquidity risk 一、引 言 资产证券化是近些年才在中国兴起 的，但是发展迅速。起初 ，资产证券化就是为