【行业研报】国际清算银行-区块链绝对实力？来自中国ABS市场的证据（英）-2023.8_市场营销策划.docx

OBISBISWorkingPapersNo1116Abso1uteb1ockchainstrength?EvidencefromtheABSmarketinChinabyJing1iu,I1hyockShimandYanfengZhengMonetaryandEconomicDepartmentAugust2023JE1c1assification:G30,G32,M40,033.Keywords:asset-backedsecurity,b1ockchain,financia1techno1ogy,socia1embeddedness,techno1ogyadoption.BISWorkingPapersarewrittenbymembersoftheMonetaryandEconomicDepartmentoftheBankforInternationa1Sett1ements,andfromtimetotimebyothereconomists,andarepub1ishedbytheBank.Thepapersareonsubjectsoftopica1interestandaretechnica1incharacter.Theviewsexpressedinthemarethoseoftheirauthorsandnotnecessari1ytheviewsoftheBIS.Thispub1icationisavai1ab1eontheBISwebsite(©BankforInternationa1Sett1ements2023.A11rightsreserved.Briefexcerptsmaybereproducedortrans1atedprovidedthesourceisstated.ISSN1020-0959(print)ISSN1682-7678(on1ine)Abso1uteb1ockchainstrength?EvidencefromtheABSmarketinChinaJing1iu,I1hyockShimandYanfengZheng1AbstractB1ockchain,atypeofdistributed1edgertechno1ogy,hasbecomeabuzzwordinthepastdecade.Itspotentia1tocha11engecurrentbusinesspracticessuchasfinancia1transactionshasbeentoutedorcriticisedbynumerousresearchersandpractitioners.Nonethe1ess,academic1iteraturethusfarhasprovided1itt1eempirica1evidenceonhowfinancia1servicesbenefitfromsuchnewtechno1ogy.Weexp1oittheemergingasset-backedsecurity(ABS)marketinChinaanditsrapidadoptionofb1ockchaintechno1ogy.Weexaminewhetherb1ockchain-basedABSproductsenjoybetterpricingthanthosenotbasedonb1ockchainaftercontro11ingpotentia1endogeneitywithcoarsenedexactmatching.Ana1ysingapproximate1y5,000ABSproductsissuedbetween2015and2023,weshowthattheadoptionofb1ockchaintechno1ogyindeedreducestheyie1dspreadbyapproximate1y25basispointsandthatthisbenefitisheterogeneousacrossthedifferentunder1yingassetc1assesandinstitutiona1arrangements.Interesting1y,wefindthatsocia1factorssuchasfami1iarityamongkeyABSpartiesmayincreaseordecreasethebenefitofadoptingb1ockchaininABSproductsdependingontheassetc1assesandregu1atoryenvironments.Ourstudymakesatime1ycontributiontothedebatesurroundingb1ockchaintechno1ogyanditsimp1icationforthefinancia1sector.Keywords:asset-backedsecurity,b1ockchain,financia1techno1ogy,socia1embeddedness,techno1ogyadoption.JE1cIassification:G30,G32,M40,033.ChiefEconomistGreaterChina,HongKongandShanghaiBankingCorporation(HSBC)1imited(emai1:jingecon);HeadofEconomicsandFinancia1MarketsforAsiaandthePacific,MonetaryandEconomicDepartment,BankforInternationa1Sett1ements(BIS)(emai1:i1hyock.shimbis.org);andAssociateProfessor,DepartmentofManagementBusinessSchoo1,HongKongUniversityofScienceandTechno1ogy(emai1:yfzust.hk);respective1y.Theviewsexpressedinthispaperarethoseoftheauthorsanddonotnecessari1yref1ecttheviewofHSBCortheBIS.Contents1. Introduction12. TheABSmarketandb1ockchainadptioninChina32.1 TheABSmarket32.2 B1ockchainadoption53. Hypotheses64. Dataandempirica1design94.1 Data94.2 Regressionspecifications125. Estimationresu1ts136. Conc1usion15References16Figure 1: Ani11ustrativeexamp1eofab1ockchain-basedABS18Figure 2: Ani11ustrativeexamp1eofPSEmeasurement19Table 1: Descriptivestatistics20Table 2: Estimationoftheb1ockchainadoptioneffectwithprimarytradingandwithoutCEM21Table 3: Estimationoftheb1ockchainadoptioneffectwithprimarytradingandCEM22Table 4: Estimationoftheb1ockchainadoptioneffectwithsecondarytradingandCEM23Table 5: EstimationoftheinteractioneffectswithsecondarytradingandCEM24Appendix25Tab1eA1:Estimationoftheb1ockchainadoptioneffectwithprimarytradingandCEM(additiona11yverifiedb1ockchainABSdea1son1y)25Tab1eA2:Estimationoftheb1ockchainadoptioneffectwithsecondarytradingandCEM(additiona11yverifiedb1ockchainABSdea1son1y)261. IntroductionTheuseofb1ockchaintechno1ogyhasgrownrapid1yoverthepastdecadea1ongtheriseofcryptoassets.Therehasbeenagreatdea1ofexcitementaswe11asscepticismregardingtheimpactofadoptingb1ockchaininbusinessoperations,particu1ar1yinfinancia1services.A1thoughthetechno1ogyissti11farfromfu1fi11ingambitiousgoa1ssuchascurrencycreationorperson-to-personpayments,theadoptionofpermissionedb1ockchainhasbecomepreva1entintradefinance,c1earingandsett1ementduetoincreasedtransactionefficiencyandtransparency.Forexamp1e,theAustra1ianSecuritiesExchangeco11aboratedwithDigita1Assettodeve1opab1ockchain-basedposttradec1earingandsett1ementsystem.Five1eadingcommercia1banksinc1udingHongKongandShanghaiBankingCorporationandStandardCharteredBankinHongKongSARa1soadoptedab1ockchainp1atformdeve1opedbyPingAnTechno1ogytostream1inecredit1oanapp1icationsamongthebanks.Whi1etheadoptionofb1ockchaintechno1ogybythefinancia1sectorispromising,1itt1ehasbeendiscussed,1eta1oneempirica11yexamined,whetherthenove1techno1ogyushersinanewriskarisingfromthepotentia11yoverratedsenseofsecurity.Indeed,botheconomicsand1ega11iteratureshavesuggestedthatpermissionedb1ockchainmaybesubjecttopotentia1co11usionamongparticipantsandinextremecases,encouragesuchbehaviourwithabettercoverthanbefore.Forexamp1e,accountingprofessiona1sworrythatp