我国商业银行汇率风险实证研究
发布时间：2018-08-03 10:23
【摘要】：长期以来，我国实行单一盯住美元的汇率制度，人民币汇率基本稳定，我国的商业银行并没有重视汇率变动可能带来的风险，汇率风险管理水平落后。2005年7月21日起，我国开始实行以市场供求为基础、参考一篮子货币进行调节、有管理的浮动汇率制度。在汇率市场化的条件下，人民币汇率波动幅度加大，不确定性增强，给金融机构在风险防范能力上提出了更高的要求，作为外汇市场主要参与者的商业银行所面临的汇率风险日益凸显。与此同时，在经济全球化的背景下，随着我国经济逐渐融入世界经济整体之中以及汇率管理体制和金融体制改革的日益深入，我国商业银行的外汇业务飞速增长，所面临的汇率风险越来越大。因此，对于我国商业银行的稳定发展而言，汇率风险管理越来越重要，加强汇率风险管理刻不容缓。 本文在学习和借鉴国内外相关文献的基础上，运用实证分析与规范分析相结合、定量分析与定性分析相结合的方法，对我国商业银行所面临的汇率风险问题进行了研究。首先，介绍了汇率风险的基本理论，对汇率风险进行了直观描述，并分析了我国商业银行汇率风险计量与管理的现状，从理论上对汇率波动对商业银行经营管理的影响进行了阐述。其次，在理论分析的基础上，重点采用实证研究方法对我国商业银行的汇率风险程度进行计量，实证研究主要分为三部分，第一部分运用外汇敞口分析法测量九家上市商业银行的敞口风险；第二部分以2005年7月25日～2011年6月30日美元、欧元、港币和日元兑人民币的每日汇率中间价为样本数据，运用GARCH-VaR模型预测风险值，计算单项外汇资产以及资产组合的汇率风险值，分析不同资产货币结构下，资产组合风险值的变动情况；第三部分运用压力测试法构建情景，对我国商业银行所能承受的汇率变动情况进行敏感性分析，，为VaR法提供有力补充。解决了作为汇率风险管理核心和基础的风险计量问题。实证研究结果表明，无论是单项资产还是资产组合，各商业银行的汇率风险值在2005～2010年期间呈现出升高—降低—升高的趋势。汇率风险的大小取决于汇率波动、外汇敞口净额以及各币种外汇敞口在总敞口中所占比重。并且通过实证验证了模型及方法选择的适用性和准确性。我国商业银行在管理汇率风险时，应采取GARCH-VaR模型为主，敞口分析及压力测试为辅的计量方法，有效地管理和控制汇率风险。最后根据前文的分析结果，针对目前存在的不足，提出了完善我国商业银行汇率风险管理的对策措施。
[Abstract]:For a long time, China has implemented a single peg to the US dollar exchange rate system, the RMB exchange rate is basically stable, our commercial banks have not attached importance to the risks that the exchange rate changes may bring, and the level of exchange rate risk management has lagged behind. Since July 21, 2005, the exchange rate risk management level has lagged behind. China began to implement a managed floating exchange rate system based on market supply and demand with reference to a basket of currencies. Under the condition of marketization of exchange rate, RMB exchange rate fluctuates greatly and uncertainty increases, which puts forward higher requirements on risk prevention ability of financial institutions. As the main participants in the foreign exchange market, commercial banks are facing increasingly prominent exchange rate risks. At the same time, under the background of economic globalization, with the gradual integration of China's economy into the whole world economy and the deepening reform of the exchange rate management system and financial system, the foreign exchange business of commercial banks in China is growing rapidly. The exchange rate risk is getting bigger and bigger. Therefore, exchange rate risk management is becoming more and more important for the stable development of commercial banks in China, so it is urgent to strengthen exchange rate risk management. On the basis of studying and drawing lessons from relevant literature at home and abroad, this paper studies the problem of exchange rate risk faced by commercial banks in China by combining empirical analysis with normative analysis and quantitative analysis with qualitative analysis. First of all, it introduces the basic theory of exchange rate risk, describes the exchange rate risk intuitively, and analyzes the current situation of the measurement and management of exchange rate risk in Chinese commercial banks. This paper expounds the influence of exchange rate fluctuation on the management of commercial banks in theory. Secondly, on the basis of theoretical analysis, the empirical research method is used to measure the exchange rate risk of commercial banks in China. The empirical research is divided into three parts. The first part uses the foreign exchange exposure analysis method to measure the exposure risk of the nine listed commercial banks. The second part is based on the sample data of the daily exchange rates of US $, euro, Hong Kong dollar and Japanese yen against RMB from July 25, 2005 to June 30, 2011. Using GARCH-VaR model to predict the risk value, calculate the exchange rate risk value of individual foreign exchange assets and asset portfolio, analyze the change of portfolio risk value under different asset monetary structure. The sensitivity analysis of the exchange rate fluctuation can be carried out by commercial banks in China, which provides a powerful supplement to the VaR method. It solves the problem of risk measurement as the core and foundation of exchange rate risk management. The empirical results show that the exchange rate risk values of commercial banks show the trend of rising, decreasing and increasing from 2005 to 2010, regardless of individual assets or portfolio. The magnitude of exchange rate risk depends on exchange rate fluctuations, net foreign exchange exposure and the proportion of foreign currency exposure in the total exposure. The applicability and accuracy of model and method selection are verified by empirical analysis. In managing exchange rate risk, commercial banks in China should adopt the measurement method of GARCH-VaR model, supplemented by exposure analysis and stress test, to manage and control the exchange rate risk effectively. Finally, according to the above analysis results, the paper puts forward the countermeasures to perfect the exchange rate risk management of commercial banks in China.
【学位授予单位】：南京航空航天大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.6
本文编号：2161444
[Abstract]:For a long time, China has implemented a single peg to the US dollar exchange rate system, the RMB exchange rate is basically stable, our commercial banks have not attached importance to the risks that the exchange rate changes may bring, and the level of exchange rate risk management has lagged behind. Since July 21, 2005, the exchange rate risk management level has lagged behind. China began to implement a managed floating exchange rate system based on market supply and demand with reference to a basket of currencies. Under the condition of marketization of exchange rate, RMB exchange rate fluctuates greatly and uncertainty increases, which puts forward higher requirements on risk prevention ability of financial institutions. As the main participants in the foreign exchange market, commercial banks are facing increasingly prominent exchange rate risks. At the same time, under the background of economic globalization, with the gradual integration of China's economy into the whole world economy and the deepening reform of the exchange rate management system and financial system, the foreign exchange business of commercial banks in China is growing rapidly. The exchange rate risk is getting bigger and bigger. Therefore, exchange rate risk management is becoming more and more important for the stable development of commercial banks in China, so it is urgent to strengthen exchange rate risk management. On the basis of studying and drawing lessons from relevant literature at home and abroad, this paper studies the problem of exchange rate risk faced by commercial banks in China by combining empirical analysis with normative analysis and quantitative analysis with qualitative analysis. First of all, it introduces the basic theory of exchange rate risk, describes the exchange rate risk intuitively, and analyzes the current situation of the measurement and management of exchange rate risk in Chinese commercial banks. This paper expounds the influence of exchange rate fluctuation on the management of commercial banks in theory. Secondly, on the basis of theoretical analysis, the empirical research method is used to measure the exchange rate risk of commercial banks in China. The empirical research is divided into three parts. The first part uses the foreign exchange exposure analysis method to measure the exposure risk of the nine listed commercial banks. The second part is based on the sample data of the daily exchange rates of US $, euro, Hong Kong dollar and Japanese yen against RMB from July 25, 2005 to June 30, 2011. Using GARCH-VaR model to predict the risk value, calculate the exchange rate risk value of individual foreign exchange assets and asset portfolio, analyze the change of portfolio risk value under different asset monetary structure. The sensitivity analysis of the exchange rate fluctuation can be carried out by commercial banks in China, which provides a powerful supplement to the VaR method. It solves the problem of risk measurement as the core and foundation of exchange rate risk management. The empirical results show that the exchange rate risk values of commercial banks show the trend of rising, decreasing and increasing from 2005 to 2010, regardless of individual assets or portfolio. The magnitude of exchange rate risk depends on exchange rate fluctuations, net foreign exchange exposure and the proportion of foreign currency exposure in the total exposure. The applicability and accuracy of model and method selection are verified by empirical analysis. In managing exchange rate risk, commercial banks in China should adopt the measurement method of GARCH-VaR model, supplemented by exposure analysis and stress test, to manage and control the exchange rate risk effectively. Finally, according to the above analysis results, the paper puts forward the countermeasures to perfect the exchange rate risk management of commercial banks in China.
【学位授予单位】：南京航空航天大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.6
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