金融创新中的“脱离本源”——来自关联担保型企业ABS的微观证据
金融创新中的“脱离本源”——来自关联担保型企业ABS的微观证据
“Deviation from the Source” in Financial Innovation: Micro Evidence from Asset-backed Securitization Using Related Guarantee
《财经研究》2023年49卷第5期 页码：4 - 18,48 online：2023年5月3日
作者
中：王剑锋 , 徐万肖
英：Wang Jianfeng, Xu Wanxiao
作者单位：对外经济贸易大学 金融学院，北京 100029
摘要及关键词
摘要：金融创新中的“脱离本源”现象是当前中国金融体系中的一个重要问题。文章以2012—2020年中国企业ABS为样本，分析了放松担保准入引发企业ABS“脱离本源”的微观机制。研究发现，关联担保型企业ABS的违约风险更高，这脱离了“主体信用和资产信用应当隔离”的本源。机制检验显示，在将担保作为发行条件的中国企业ABS场景下，关联担保容易引发信用混同，具体表现形式是主体风险传染和资金腾挪。进一步分析表明，低信用主体发行的关联担保型企业ABS更容易“脱离本源”。此外，低信用主体腾挪资金的动机还会受到计划管理人管理能力和企业性质的影响。文章的研究为资产证券化领域监管政策的完善以及金融创新“回归本源”提供了重要启示。
关键词：金融创新；关联担保型企业ABS；脱离本源；回归本源；合约理论
Summary: Financial innovation has always been the main driving force for the reform and development of China’s financial market, as well as an important factor for the long-term and stable growth of the national economy. However, in the above process, a variety of forms of “deviation from the source” have emerged, leading to financial risks and social risks. Among them, asset-backed securitization with related guarantee provides a good sample for our research. To clear the micro-mechanism of “deviation from the source” is not only conducive to enhancing the ability of asset-backed securitization to serve the real economy, but also helpful to prevent and resolve financial risks in this field, and provides enlightenment for promoting financial innovation from “deviation from the source” to “return to the source”. The study finds that the default risk of asset-backed securitization with related guarantee is higher, which is divorced from the origin of “corporate credit and asset credit should be separated”. The mechanism test shows that related guarantee is easy to cause credit confusion, which is manifested in the form of corporate risk contagion and fund transfer. Further analysis shows that asset-backed securitization with related guarantee issued by low-credit corporate is more likely to deviate from the origin. In addition, the motivation of low-credit corporate to transfer funds will also be affected by the management ability of special purpose vehicle and the nature of enterprises. Private enterprises with low credit have a larger financing gap, a higher moral hazard and a stronger motivation to transfer funds. The weaker the management ability of special purpose vehicle, the stronger the motivation of low-credit corporate to transfer funds. The contributions of this paper are as follows: First, it explores the institutional background and micro mechanism of “credit confusion in asset-backed securitization with related guarantee”, which is conducive to deepening the understanding of the formation process of “deviation from the source” in financial innovation, and provides enlightenment for the improvement of relevant policies. Second, on the basis of reading and combing a large number of practical materials, it for the first time constructs a measurement index reflecting the corporate risk contagion and fund transfer of asset-backed securitization, and measures corporate risk contagion by “whether there are corporate risks” and fund transfer by “frequency of interest payment”, which expands the empirical research in this field.
Key words:financial innovation; asset-backed securitization with related guarantee; deviation from the source; return to the source; contract theory
其他信息
DOI：10.16538/j.cnki.jfe.20230221.102
收稿日期：2022-09-13
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