Summary:
The shortage of collateral constitutes a binding constraint on financial and economic development. Banks are the financial institutions that most efficiently and economically utilize collateral(created loans) to generate liquidity. When banks' credit assets, under conditions of high quality and safety, are further securitized, they can be transformed into liquid and safe assets, thereby contributing to more complete financial markets. Based on cutting-edge collateral equilibrium theory within incomplete markets, this paper theoretically shows the complementarity between banks and securitization. It then exploits a unique quasi-natural experiment, the 2015 reform of China's loan-to-deposit ratio regulation, and exploit the fact that this exogenous policy differentially affected large banks (state-owned and nationwide joint-stock banks) versus small and medium-sized banks (urban and rural commercial banks). Utilizing panel data from 119 commercial banks between 2013 and 2023, and applying DID and DDD models, the paper cleanly identifies changes in off-balance-sheet behavior associated with credit asset securitization, as well as the causal effects and transmission mechanisms of such behavior on high-quality development in the banking sector. The study finds that proper securitization reduces banks' risk-taking behavior and enhances operational stability. In terms of mechanisms, securitization not only improves the asset quality and profitability of the banking system through collateral transformation, promotes credit and liquidity creation, but also provides collateral and creates safe assets for the economy. This demonstrates that proper securitization makes financial market more complete and represents a Pareto-improvement financial innovation. This study has significant policy implications. First, it shows that asset securitization serves as a market-based solution to liquidity shortages by alleviating collateral scarcity and upgrading collateral quality, highlighting that the nature of liquidity is collateral transformation and intermediation. As financial innovations and economic activity expand, increased financial promises generate endogenous shortages of eligible collateral. This paper verifies that financial innovations such as credit asset securitization, by transforming bank loans into asset-backed debt, can effectively utilize such loans as collateral to mitigate banks' liquidity risk and enhance their stability. Second, collateral shortages lead to safe asset scarcity, which in turn triggers financial stability and macroeconomic concerns. Currently, credit asset securitization, firms' ABS, and asset-backed commercial paper are promising private-sector attempts to create safe (collateralizable) assets, while sovereign bonds issued by the public sector remain the highest-quality collateral in the financial system. An adequate supply of government bonds reduces financing costs for the real economy, supports monetary policy implementation, and enhances financial system stability. However, sovereign bonds, as safe assets, face supply inelasticity and are constrained by fiscal revenues. Thus, market-based creation of safe assets, such as through securitization, is indispensable. A dual approach combining government bonds and securitization can better address safe asset shortages, support the construction of secure and efficient financial infrastructure. Finally, the findings of this paper also provide academic support for designing a robust financial system and promoting high-quality development of both the banking system and capital markets. By examining the financial contract-completion and market-completion functions of banks and capital markets, the paper argues that proper securitization under market incompleteness constitutes a Pareto improvement in financial innovation. Therefore, during this phase of high-quality development, it is essential to harness the complementary strengths of capital markets and banking system. Financial innovations like securitization should be used to gradually refine a system of specialized and cooperative financial institutions.
段白鸽, 王永钦, 何敏华. 证券化与中国银行业高质量发展——基于抵押品均衡理论的视角[J]. 金融研究, 2025, 542(8): 169-188.
DUAN Baige, WANG Yongqin, HE Minhua. Securitization and High-quality Development of China's Banking Industry: A Perspective of Collateral Equilibrium. Journal of Financial Research, 2025, 542(8): 169-188.
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