基于汇率价格传递效应的商业银行汇率风险管理研究

发布时间：2018-04-29 21:19

本文选题：汇率风险 + 价格传递效应　；参考：《福州大学》2014年硕士论文

【摘要】：上世纪70年代,布雷顿森林体系崩溃,之后国际金融市场上汇率波动剧烈,汇率风险加大,成为常见的金融风险,威胁到国家的金融安全。商业银行在众多金融机构中居于最重要的位置,所以商业银行能否安全稳定运行关系着整个社会经济的发展。衡量商业银行管理是否成熟的核心指标之一就是商业银行的汇率风险管理能力。但是长期以来我国实行固定汇率制,商业银行无需承担汇率风险,导致汇率风险管理意识淡薄,缺少管理人才和管理手段,以及必要的汇率风险管理经验和技能。随着我国经济的发展和金融改革的深入,特别是在2005年我国汇率体制改革以后,汇率市场化改革不断推进,人民币汇率波动幅度和波动频率都增大,对商业银行汇率风险管理能力提出了更高的要求,良好的汇率风险管理能力有利于商业银行持续稳健发展,也有利促进经济平稳健康运行,因此,如何改善我国商业银行汇率风险的管理是一个亟待解决的问题。本文以商业银行汇率风险管理为主体,从汇率价格传递效应的角度出发,分析了我国商业银行汇率风险管理中存在的问题,并采用VaR模型测量商业银行的汇率风险,以中国银行为例,从理论到实证系统分析我国商业银行的汇率风险,探讨汇率风险管理机制的构建。本文分为六个部分来分析我国商业银行汇率风险的管理。首先,本文回顾了国内外对汇率风险的研究,包括汇率风险的定义、管理方法、计量方法和VaR方法在国内外的发展和应用情况,并阐述了本文的写作思路和结构安排。第二部分是汇率价格传递效应的分析,介绍了汇率价格传递效应的定义,在此基础之上,分析了不同的传递机制——直接价格传递效应和间接价格传递效应,并对汇率价格传递效应与汇率风险管理之间的关系进行了说明。第三部分是商业银行的汇率风险概述,包括汇率风险的定义、分类以及目前我国商业银行汇率风险的现状。第四部分重点分析了汇率价格传递效应与商业银行汇率风险之间的联系,第五部分是实证分析部分,概况的介绍了VaR模型,然后将VaR模型应用到我国商业银行汇率风险计量中,并以中国银行为例具体分析。最后一部分是政策建议部分,本文从商业银行的外部金融环境和内部控制两方面提出改进商业银行汇率风险管理的建议。
[Abstract]:After the Bretton Woods system collapsed in the 1970s, the exchange rate fluctuated sharply in the international financial market, and the exchange rate risk increased, which became the common financial risk and threatened the financial security of the country. The commercial bank occupies the most important position in many financial institutions, so whether the commercial bank can operate safely and stably is related to the development of the whole society and economy. One of the core indicators to measure the maturity of commercial bank management is the exchange rate risk management ability of commercial banks. However, for a long time, the fixed exchange rate system has been implemented in our country, and commercial banks do not have to bear exchange rate risk, which leads to a weak awareness of exchange rate risk management, a lack of management personnel and means, and necessary experience and skills in exchange rate risk management. With the development of China's economy and the deepening of financial reform, especially after the reform of China's exchange rate system in 2005, the market-oriented exchange rate reform continues to advance, and the fluctuation range and frequency of RMB exchange rate increase. Higher requirements have been put forward to the ability of commercial banks to manage exchange rate risks. Good exchange rate risk management capability is conducive to the sustained and steady development of commercial banks and to the smooth and healthy operation of the economy. How to improve the management of exchange rate risk of commercial banks is an urgent problem to be solved. Based on the exchange rate risk management of commercial banks, this paper analyzes the problems existing in the exchange rate risk management of Chinese commercial banks from the point of view of exchange rate price transfer effect, and measures the exchange rate risk of commercial banks by using VaR model. Taking Bank of China as an example, this paper systematically analyzes the exchange rate risk of Chinese commercial banks from theory to demonstration, and probes into the construction of exchange rate risk management mechanism. This paper is divided into six parts to analyze the exchange rate risk management of commercial banks in China. First of all, this paper reviews the research on exchange rate risk at home and abroad, including the definition of exchange rate risk, management method, measurement method and VaR method at home and abroad development and application, and describes the writing ideas and structural arrangements of this paper. The second part is the analysis of the exchange rate price transfer effect, and introduces the definition of the exchange rate price transfer effect. On the basis of this, the paper analyzes the different transmission mechanism-direct price transfer effect and indirect price transfer effect. The relationship between exchange rate price transfer effect and exchange rate risk management is explained. The third part is an overview of the exchange rate risk of commercial banks, including the definition, classification and current situation of exchange rate risk of commercial banks in China. The fourth part focuses on the analysis of the relationship between the exchange rate price transfer effect and the exchange rate risk of commercial banks. The fifth part is the empirical analysis part. The VaR model is introduced, and then the VaR model is applied to the measurement of the exchange rate risk of commercial banks in China. And take Bank of China as an example to analyze concretely. The last part is the policy suggestion part. This paper puts forward some suggestions to improve the exchange rate risk management of commercial banks from the aspects of external financial environment and internal control.
【学位授予单位】：福州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6

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