資產證券化對銀行抵押貸款規模成長之影響

The Impact of Securitization on Banks’ Mortgage Loan Growth

本研究以2005年至2017年間美國銀行控股公司為對象，利用其旗下主要儲貸機構申報之HMDA房屋抵押貸款資料，探討金融危機前後銀行證券化活動對其核貸規模成長率之影響。實證結果發現，在金融危機前，銀行進行證券化活動確實有助提高信用供給，使得抵押放款核貸規模成長率上升；惟在金融危機後，證券化活動對於此成長率產生負面增額(incremental)影響，表示在金融危機之後，資產證券化對於放款成長的正向影響明顯被弱化，銀行放款行為相對謹慎。

This study investigates how asset securitization affects U.S. bank holding companies’mortgage lending behavior during pre- and post-financial crisis periods. Using Home Mortgage Disclosure Act (HMDA) data and FR Y9-C data from 2005 to 2017, we find a positive effect of asset securitization on U.S. holding companies’approved mortgage loan growth during pre-crisis period but such positive effect decreases dramatically after the crisis. Our results suggest that asset securitization do help increase banks’credit supply before the crisis while after the crisis, banks, even those relatively active in asset securitization and sales market, became more cautious with their lending.