A Study on the Adverse Selection in the Securitization of Bank Credit Assets in China Using System GMM

DOI

10.2991/978-94-6463-042-8_145How to use a DOI?

Keywords

credit asset securitization; information asymmetry; adverse selection; regulatory capital arbitrage; system GMM

Abstract

After the outbreak of the subprime mortgage crisis in the United States, the problem of adverse selection in credit asset securitization had become a hot spot. Based on the data of Chinese commercial banks from 2012 to 2020, we used the system generalized method of moments to construct a dynamic panel model, and used the test of Arellano-Bond and Sargan to examine the rationality of models and instrumental variables, so as to made empirical research on whether there was adverse selection and its existing motivation in bank credit asset securitization. The results showed that large banks have adverse selection, but small and medium-sized banks did not have, and regulatory capital arbitrage was more sufficient than risk transfer profit in the bank's adverse selection motivations. It had important practical significance and theoretical value for promoting the steady development of credit asset securitization and preventing and resolving bank risks.

Copyright

© 2023 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Chongzhen Huang
AU  - Lingbao Fu
PY  - 2022
DA  - 2022/12/29
TI  - A Study on the Adverse Selection in the Securitization of Bank Credit Assets in China Using System GMM
BT  - Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)
PB  - Atlantis Press
SP  - 1017
EP  - 1024
SN  - 2352-538X
UR  - https://doi.org/10.2991/978-94-6463-042-8_145
DO  - 10.2991/978-94-6463-042-8_145
ID  - Huang2022
ER  -