我国上市商业银行汇率风险研究

发布时间：2018-05-24 19:01

本文选题：汇率风险 + 商业银行　；参考：《首都经济贸易大学》2012年硕士论文

【摘要】：2005年7月21日我国进行了人民币汇率制度改革，由原来的管理浮动的盯住美元制度，转变为以市场供求为基础、参考一篮子货币、有管理的浮动汇率制度。此改革使得蒙代尔三角中的汇率变得不稳定，增强了货币政策的独立性和资本的自由流动性。而长期的双顺差格局，使浮动汇率制下的人民币一直处于升值预期中，这对我国商业银行的汇率风险管理提出了新的挑战。2008年的全球金融危机，不仅暴露出复杂的金融衍生产品国际传导的风险，而且显示出参与国际业务的商业银行不可避免地遭受汇率风险。本文首先对汇率风险进行了定性分析，介绍了汇率、汇率风险的含义，分析了汇率风险形成的原因及对商业银行的影响，并重点探讨了汇率风险的三种类型，即交易风险、折算风险、经济风险。然后以上市商业银行的财务报表为依据，结合现状，分析了商业银行的汇率风险敞口以及在险价值VaR的运用。除了汇率风险的度量方法外，本文的另一重点是选取2007年3月1日至2009年3月2日的日度数据，定量分析了汇率风险对沪深300银行指数的影响，实证结果显示：金融危机前，偏重股票导向模型，股价的上扬吸引热钱的流入，本币的需求旺盛导致本币汇率的升值，两者相互影响；金融危机中，，偏重流量导向模型，本币升值致使企业利润下滑，对企业的盈利预期悲观，股价表现为下跌。最后，探讨了汇率风险管理的表内策略、表外策略，结合我国上市商业银行汇率风险管理的现状，提出了一些建议。
[Abstract]:On July 21, 2005, China carried out the reform of RMB exchange rate system, which changed from the original managed floating peg system to a managed floating exchange rate system based on market supply and demand and referring to a basket of currencies. The reforms have made exchange rates unstable in the Mondale Triangle, increasing the independence of monetary policy and the free flow of capital. Because of the long-term double surplus pattern, the RMB under the floating exchange rate system has been in the expectation of appreciation, which has posed a new challenge to the exchange rate risk management of Chinese commercial banks. The global financial crisis in 2008, It not only exposes the risk of international transmission of complex financial derivatives, but also shows that commercial banks participating in international business inevitably suffer exchange rate risk. This paper first analyzes the exchange rate risk qualitatively, introduces the exchange rate and the meaning of the exchange rate risk, analyzes the reasons for the formation of the exchange rate risk and its influence on the commercial banks, and probes into three types of exchange rate risk, namely, the transaction risk. Convert risk, economic risk. Then, based on the financial statements of listed commercial banks and combining with the present situation, the paper analyzes the exposure of exchange rate risk and the application of VaR in the risk value of commercial banks. In addition to the measurement of exchange rate risk, this paper focuses on the daily data from March 1, 2007 to March 2, 2009, and quantitatively analyzes the impact of exchange rate risk on the index of Shanghai and Shenzhen 300 Bank. The empirical results show that: before the financial crisis, Focusing on the stock oriented model, the rising stock price attracts the inflow of hot money, the exuberant demand of the local currency leads to the appreciation of the exchange rate of the local currency, and the two influence each other; in the financial crisis, the preference for the flow-oriented model, the appreciation of the local currency leads to a decline in the profits of the enterprise. The company's earnings expectations were pessimistic, and the share price fell. Finally, the paper discusses the intra- and off-balance sheet strategies of exchange rate risk management, and puts forward some suggestions based on the current situation of exchange rate risk management of listed commercial banks in China.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33;F832.6

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