本研究探討台灣金融資產證券化的發行對商業銀行經營績效之影響,以2003年至2006年實施金融資產證券化之銀行,選取其財務季資料,並利用複迴歸模型作實證分析,分析實行金融資產證券化對我國銀行獲利能力影響及是否能降低銀行的信用風險(放款風險)。 實證結果顯示,資產證券化對銀行獲利影響之複迴歸模型中,金融資產證券化比率(FABS)對銀行獲利的影響呈顯著的正向關係, 而在資產證券化對銀行信用風險的複迴歸模型中,金融資產證券化比率與逾放比呈顯著的負向關係,因此實施金融資產證券化對我國之商業銀行的確有相當大的助益,銀行實施金融資產證券化後不僅能提高其收益,並能透過風險性資產的表外化移轉,並改善銀行逾期放款以降低銀行之信用風險(放款風險)即逾放比降低,此亦可使我國之金融體系更加健全。
This empirical study investigates the relationship between profitability, credit risk and asset securitization for commercial banks in Taiwan. This study analyzes a sample consisting of the banks that have asset securitization activities between 2003 and 2006. Based on these banks’ quarterly financial statements, this study examines the influence of asset securitization on bank profitability and riskiness. The evidence indicates that (a) securitization has positive effects on bank profitability, and (b) there exists a negative statistical link between securitization and bank credit risk. A possible reason for this finding is that the securitization of credit assets enable a bank to shift risk to investors and raise loan quality, thus enhance profitability and decrease credit risk. Therefore, these empirical findings support the argument that securitization activities lower the risk of bank insolvency and increase bank profitability.