不确定流动性需求与银行资产证券化最优规模

本文建立了一个两期模型,分析了风险规避的银行面临未来不确定的流动性需求时,市场流动性预期、放贷规模与资产证券化规模之间的关系。本文发现:首先,只有未来的流动性需求存在不确定性时,银行才会进行资产证券化。其次,最优资产证券化规模与银行权益资本的规模存在非单调的关系,权益资本较少或较多的银行资产证券化水平都比较低。再次,如果银行高估了未来资产市场的流动性,会导致过度放贷和过度资产证券化,破产概率上升。最后,文献中通常使用出售银行贷款来刻画资产证券化的做法,低估了银行的最优贷款规模和资产证券化规模。

Uncertain Liquidity Demand and Optimal Scale of Bank Asset Securitization

This paper set up a two-period model, and analyzed the relationships between the expectation on market liquidity and scale of lending and asset securitization. The results show that banks securitize assets only when they face uncertainties in future liquidity demands. The relationships between optimal asset securitization scale and bank equity captial scale are non-monotonic, the asset securitization level of the banks with relatively less or more equity captial is low. If banks overestimate the liquidity of future captial market, excessive lending and asset securitization will be emerged, bankruptcy probability will be risen. The method of depicting asset securitization by using selling bank loans underestimates the optimal loan scale and asset securitization scale of banks.