商业银行外汇风险暴露及其影响因素

发布时间：2018-05-23 16:09

本文选题：商业银行 + 外汇风险暴露　；参考：《金融论坛》2012年02期

【摘要】：本文以中国上市的14家商业银行为研究对象,计算未被预期到的汇率变动率及各家银行的外汇风险暴露系数,采用偏最小二乘回归法对影响商业银行外汇风险暴露水平的诸因素进行分析。结果表明,有7家银行有显著的外汇风险暴露系数,其中6家受到人民币升值的不利影响。对于受人民币升值不利影响的银行,现金流量能力越强,对汇率波动的敏感性越低;资产负债率越高、规模越大、成长性越高,对汇率波动的敏感性越高。相对于其他财务指标来说,资产负债率对银行的外汇风险暴露水平具有更大的影响力。
[Abstract]:Taking 14 commercial banks listed in China as the research object, this paper calculates the rate of exchange rate change that has not been expected and the exposure coefficient of each bank to foreign exchange risk. The partial least square regression method is used to analyze the factors affecting the exposure level of foreign exchange risk in commercial banks. The results showed that seven banks had significant exposure factors to foreign exchange risk, and six of them were adversely affected by RMB appreciation. For banks adversely affected by RMB appreciation, the stronger the cash flow capacity, the lower the sensitivity to exchange rate fluctuations; the higher the ratio of assets and liabilities, the larger the scale, the higher the growth, the higher the sensitivity to exchange rate fluctuations. Compared with other financial indicators, asset-liability ratio has more influence on banks' exposure to foreign exchange risk.
【作者单位】：中国科学技术大学管理学院统计与金融系;
【基金】：国家973重点基础研究发展计划(2007CB814901)
【分类号】：F832.6

【共引文献】