利率风险对我国商业银行盈利能力影响研究

发布时间：2018-03-02 16:31

本文选题：利率市场化　切入点：利率风险　出处：《广西大学》2013年硕士论文　论文类型：学位论文

【摘要】：本论文旨在探讨在利率市场化进程中,对我国商业银行面临的利率风险进行研究及度量,研究我国商业银行在利率频繁波动下的资产负债平均持有期间及资产调整速度,并进一步探讨利率风险对我国不同性质商业银行的盈利能力的影响。本文在研究组中采用量化的方法,先是利用2008年10月8日至2013年1月23日上海银行业将同业拆放利率数据,对我国商业银行面临的市场利率风险进行度量；然后对16家上市商业银行分类为五大行、中小股份制商业银行及城市商业银行三大类,采用2007年一季度至2012年四季度沪深两市上市公司季度报表,参考Flannery的部分调整模型,以多元线性规划估计上海银行业同业拆借利率波动对我国商业银行盈利能力的影响程度。实证结果显示短期Shibor((1个月))的变动迅速且频繁,存在比较高的市场有效性；而中长期Shibor(3个月至1年)变动缓慢且平稳,市场有效性不显著。我国银行的资产负债结构为“借长贷短”,利率风险对银行的长短期盈利能力影响明显,短期影响力度由高到低是中小股份制商业银行、城市商业银行、五大行。长期影响力度由高到低是城市商业银行、五大行、中心股份制银行。在实证研究沪深16家上市银行的利率风险对其盈利能力影响后,本文对我国商业银行提出了各种优化资产负债结构的合理建议。
[Abstract]:The purpose of this paper is to study and measure the interest rate risk faced by Chinese commercial banks in the process of interest rate marketization, and to study the average holding period of assets and liabilities and the adjustment speed of assets under the frequent fluctuation of interest rate. The paper also discusses the influence of interest rate risk on the profitability of commercial banks of different natures in China. This paper uses the quantitative method in the study group, first using the data of interbank offered rate from October 8th 2008 to January 23rd 2013 in Shanghai banking industry. The paper measures the market interest rate risk faced by commercial banks in our country, then classifies 16 listed commercial banks into five categories, small and medium-sized joint-stock commercial banks and city commercial banks. Based on the quarterly statements of listed companies in Shanghai and Shenzhen from 2007 to the fourth quarter of 2012, and referring to the partial adjustment model of Flannery, this paper estimates the influence of the fluctuation of interbank offered rate on the profitability of commercial banks in China by multivariate linear programming. The empirical results show that the short-term Shiboran (1 month) changes rapidly and frequently, and has high market efficiency, while in the medium and long term Shiboran (3 months to 1 year) changes slowly and steadily. The efficiency of the market is not obvious. The structure of assets and liabilities of Chinese banks is "borrowing long loans short", the interest rate risk has an obvious impact on the banks' profitability in the long and short term, and the short-term effects are small and medium-sized joint-stock commercial banks and urban commercial banks. Five big banks. The long-term impact from high to low is the city commercial banks, the five banks, the central joint-stock banks. After an empirical study of the impact of interest rate risk on profitability of 16 listed banks in Shanghai and Shenzhen, This paper puts forward some reasonable suggestions on optimizing the structure of assets and liabilities for Chinese commercial banks.
【学位授予单位】：广西大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33

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