利率波动对我国商业银行绩效影响研究
发布时间：2018-10-19 12:33
【摘要】：利率风险的评估、计量与监控是商业银行市场风险管理的重要内容。科学探讨我国商业银行资产与负债平均持有期间、调整速度及可能造成的利率风险的程度，并进一步观察分析市场利率波动对不同性质商业银行收益的影响，对提升我国商业银行资产负债管理水平，实现利率风险管理科学决策有重要意义。 本文选取A股11家上市商业银行作为样本，将其分为大型商业银行和股份制商业银行两类。研究期间从2007年3季度至2011年3季度，选取CCER经济经济金融数据库中商业银行损益表和资产负债表的数据，采用Flannery的部分调整模型对我国商业银行的利率风险管理进行了长时间窗口实证分析。通过研究，得出如下结论： 大型商业银行和股份制商业银行的资产复制啊的平均到期日和调整速度都有缺口，，利率波动时将面临风险。两类银行的资产负债平均到期日都为“借短贷长”，利率上升时，两类银行的长短期净收益都将会上升，反之都会下降。利率波动对大型商业银行的净收益影响较大而对股份制商业银行的净收益影响较小。 文章在最后分别从改善商业银行资产负债管理，加快金融创新步伐，防范流动性风险等方面提出了一些建议。
[Abstract]:The evaluation, measurement and monitoring of interest rate risk is an important part of market risk management of commercial banks. This paper probes into the adjustment speed and the possible degree of interest rate risk during the average holding period of assets and liabilities of commercial banks in China, and further observes and analyzes the influence of market interest rate fluctuations on the returns of commercial banks of different nature. It is of great significance to improve the management level of assets and liabilities of commercial banks and to realize the scientific decision of interest rate risk management. This paper selects 11 A-share listed commercial banks as samples and divides them into two categories: large commercial banks and joint-stock commercial banks. From the third quarter of 2007 to the third quarter of 2011, the data of the profit and loss account and balance sheet of commercial banks in the CCER economic and financial database were selected. This paper analyzes the interest rate risk management of commercial banks in China in a long time window by using the partial adjustment model of Flannery. Through research, we draw the following conclusions: the average maturity date and adjustment speed of asset replication of large commercial banks and joint-stock commercial banks are both short, and interest rate fluctuations will face risks. The average maturity date for both types of banks is "short loan maturity." when interest rates rise, both banks' net returns in the long and short term will rise and vice versa. The fluctuation of interest rate has great influence on the net income of large commercial banks and less on the net income of joint-stock commercial banks. At last, the paper puts forward some suggestions on improving the management of assets and liabilities of commercial banks, quickening the pace of financial innovation and preventing liquidity risk.
【学位授予单位】：河北大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33;F224
本文编号：2281122
[Abstract]:The evaluation, measurement and monitoring of interest rate risk is an important part of market risk management of commercial banks. This paper probes into the adjustment speed and the possible degree of interest rate risk during the average holding period of assets and liabilities of commercial banks in China, and further observes and analyzes the influence of market interest rate fluctuations on the returns of commercial banks of different nature. It is of great significance to improve the management level of assets and liabilities of commercial banks and to realize the scientific decision of interest rate risk management. This paper selects 11 A-share listed commercial banks as samples and divides them into two categories: large commercial banks and joint-stock commercial banks. From the third quarter of 2007 to the third quarter of 2011, the data of the profit and loss account and balance sheet of commercial banks in the CCER economic and financial database were selected. This paper analyzes the interest rate risk management of commercial banks in China in a long time window by using the partial adjustment model of Flannery. Through research, we draw the following conclusions: the average maturity date and adjustment speed of asset replication of large commercial banks and joint-stock commercial banks are both short, and interest rate fluctuations will face risks. The average maturity date for both types of banks is "short loan maturity." when interest rates rise, both banks' net returns in the long and short term will rise and vice versa. The fluctuation of interest rate has great influence on the net income of large commercial banks and less on the net income of joint-stock commercial banks. At last, the paper puts forward some suggestions on improving the management of assets and liabilities of commercial banks, quickening the pace of financial innovation and preventing liquidity risk.
【学位授予单位】：河北大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33;F224
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