中文摘要：

文章基于非参数面板数据方法，运用2006—2015年间我国商业银行信贷资产证券化及不良贷款率数据，研究了信贷资产证券化对发起主体信用风险水平的影响。实证结果表明，信贷资产证券化显著降低了发起银行的不良贷款率，下降的比率高于银行的信贷资产证券化率，且两者的比值随时间呈递增态势。这意味着，通过将风险资产转移出表，信贷资产证券化会对发起主体的信用风险产生直接影响；同时还会通过对流动性、盈利能力、信贷投放等方面的改善，对信用风险产生间接影响：其调整效果呈现出逐年递增的杠杆效应（对不良贷款率的下调效果大于信贷资产证券化率），说明通过改善内部经营状况产生的间接影响在逐年增强。

英文摘要：

Based on the non-parametric panel data method, using the data of securitization and non-performing loan ratio of China＇s commercial banks from 2006 to 2015, the paper analyzes the effect of the securitization to sponsor＇ credit risk. The empirical results show that the securiti- zation significantly reduces the NPL of the sponsors, the NPL reduced is higher than the securiti- zation rate, and the ratio between them increases yearly. It means that, at present, the securiti- zation, through its function of transferring the risky assets out of the sheet, has a direct impact on the sponsor＇ credit risk while by improving the liquidity, profitability and credit expansion, # can also have an indirect impact on credit risk and the adjustment shows increasing leverage effect, which means the NPL reduced is larger than the asset securitized and the indirect impact by im- proving the intemal management status increases steadily.