我国商业银行外汇风险影响因素的实证分析

发布时间：2018-05-16 22:24

本文选题：商业银行 + 外汇风险敞口　；参考：《复旦大学》2014年硕士论文

【摘要】：随着人民币汇率制度改革的深化,汇率市场化程度也逐步加快。2014年3月16日,央行对人民币汇率波动幅度进行第三次扩大。人民币兑美元汇率的波动幅度由1%扩大为2%。与此同时,现汇买卖价与中间价之差由2%扩大为3%。在人民币汇率波动幅度不断扩大的背景下,商业银行的外汇敞口风险也将发生变化。而商业银行的外汇敞口风险可能会受到多种因素的影响。对这些影响因素的考察和分析有助于对外汇敞口风险的控制和管理。本文基于外汇风险敞口角度对我国商业银行外汇风险的影响因素进行了实证分析。对来自银行运营指标、宏观经济变量以及银行属性等因素进行了分析。同时,着重分析了银行间外汇市场做市商制度是否会对商业银行的外汇风险产生影响,以及做市商这个变量是否会同其他变量交叉影响到商业银行的外汇风险。本文选取了我国上市的16家商业银行2007年至2012年的年度数据进行研究。根据选取的样本和变量的特点,采用面板数据模型对提出的研究假设进行实证检验。初步的研究结果表明,做市商这个变量对商业银行的外汇风险产生了影响,做市商银行比非做市商银行存在更大的外汇敞口风险。通过变量交叉影响因素的设定,我们发现,做市商银行可以通过银行资产规模的管理来适度降低外汇敞口风险；而对于汇率变动的敏感度方面,做市商银行与非做市商银行并不存在显著的差异。同时,初步研究结果表明,商业银行外汇风险与资产规模,资产收益率、非利息收入比例存在显著的正相关关系,与拨备覆盖率、资产流动性比例存在显著的负相关关系。
[Abstract]:With the deepening of the reform of the RMB exchange rate regime, the marketization of the exchange rate has gradually accelerated. On March 16, 2014, the central bank expanded the volatility of the RMB exchange rate for the third time. The exchange rate of the RMB against the dollar fluctuated from 1% to 2%. At the same time, the difference between the selling price and the intermediate price widened from 2% to 3%. In the context of the increasing volatility of the RMB exchange rate, commercial banks' foreign exchange exposure risk will also change. The foreign exchange exposure risk of commercial banks may be affected by a variety of factors. The investigation and analysis of these factors will help to control and manage the risk of foreign exchange exposure. This paper empirically analyzes the influencing factors of foreign exchange risk of Chinese commercial banks based on foreign exchange exposure. This paper analyzes the factors such as bank operation index, macro-economic variables and bank attributes. At the same time, the paper analyzes whether the market maker system in the interbank foreign exchange market will have an impact on the foreign exchange risk of commercial banks, and whether the market maker will cross with other variables to influence the foreign exchange risk of commercial banks. This paper studies the annual data of 16 commercial banks listed in China from 2007 to 2012. According to the characteristics of the selected samples and variables, the panel data model is used to test the proposed research hypothesis. The preliminary results show that the variable of market maker has an impact on the foreign exchange risk of commercial banks. Market makers' banks have more foreign exchange exposure risks than non-market makers' banks. Through the setting of variable cross influence factors, we find that market maker banks can appropriately reduce the risk of foreign exchange exposure through the management of bank asset size, and the sensitivity of exchange rate changes, There is no significant difference between market maker bank and non-market maker bank. At the same time, the preliminary results show that there is a significant positive correlation between foreign exchange risk and asset size, asset return rate, non-interest income ratio, and a significant negative correlation between foreign exchange risk and reserve coverage, asset liquidity ratio.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6

【参考文献】