资产负担对银行行为的影响: 来自挪威引入担保债券的证据
The Effect of Asset Encumbrance on Bank Behavior: Evidence from the Introduction of Covered Bonds in Norway
Journal of the European Economic Association · 2025 · [{"name": "Jin Cao", "affiliation": ["University Bank", "Norges Bank"]}, {"name": "Ragnar Juelsrud", "affiliation": ["University Bank", "Norges Bank"]}, {"name": "Talina Sondershaus", "affiliation": ["Lund University", "University of Economics and Management"]}]
中文摘要
摘要：我们利用2007年挪威引入担保债券这一事件，结合银行和贷款层面的行政与监管数据，考察资产负担（即将资产质押为抵押品）对银行资产负债表构成和银行风险的影响。我们发现，担保债券尽管以住房抵押贷款作为抵押品，却导致银行贷款从住房抵押贷款转向企业贷款。边际企业借款人较为年轻且评级较低，表明总体信用风险上升。与此同时，我们发现资产负债表流动性有所提高。总体而言，流动性提高对银行风险带来的有利影响超过了信用风险上升带来的任何负面影响，最终降低了总融资和无担保融资的风险溢价。这些效应由那些初始流动资产净持有量较低、贷款组合中企业信用风险较低的银行所驱动。
Abstract
Abstract We use the introduction of covered bonds in Norway in 2007 together with administrative and supervisory data at the bank and loan level to investigate the effect of asset encumbrance, that is, pledging assets as collateral, on the composition of bank balance sheets and bank risk. We show that covered bonds—despite being collateralized with mortgages—lead to a shift in bank lending from mortgages to corporate loans. The marginal corporate borrower is young and low-rated, suggesting that overall credit risk increases. At the same time, we find that balance sheet liquidity increases. Overall, the beneficial effects of increased liquidity on bank risk outweighs any negative effects of increased credit risk, ultimately reducing risk premia on total and unsecured funding. The effects are driven by banks with initially low net holdings of liquid assets and low firm credit risk in their lending portfolios.