基于利率不对称变动情况下的商业银行利率风险实证分析

发布时间：2018-01-07 06:05

本文关键词：基于利率不对称变动情况下的商业银行利率风险实证分析　出处：《西南财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：我国的利率市场化始于1986年1月,中国的货币管理当局为了防止金融环境的动荡,在一个长的跨度时期内(1986年-2012年)逐渐推进了不同金融层面的市场利率化改革。但是,利率风险始终是利率市场化无法回避的问题,那么,如何在利率市场化进一步深入的今天更科学准确的测量商业银行的利率风险,并寻找适当的措施来缓解这种不利影响,这是个值得关注的重大问题。目前我国已经基本完成外币存贷款、货币市场和债券市场的利率市场化改革。2012央行两次下调存贷款利率,并允许存款利率上调不超过10%,贷款利率调整的下限为基准利率的70%。这项措施被普遍认为是利率市场化实质性的进展。存款利率上浮10%,同时贷款利率下浮,这种双重冲击必然给我国的商业银行的经营管理带来一定的影响。而这种影响的程度如何、对商业银行的冲击有多大、商业银行的经营管理者应该如何去更好的应对这种冲击等等问题切实的摆在了我们面前。一、论文的研究目的我国利率市场化目前所发生的实质性进展使得我所研究的问题具有十分重要的现实意义。在利率市场化以及这种改革会带给商业银行怎样的影响方面,很多学者都做过深入研究。他们灵活的观察角度,多样的研究方法,创新的理论见解都值得我在论文构思创作过程中学习。这篇论文在参考前人研究结果的基础上,结合我国利率市场化的实质性进展,在使用经典的利率风险缺口模型并对传统利率风险分析思路做出一定的改进的同时,采用了比前人分析时更具有时效性和更全面可信的银行数据,对目前利率市场化进程带给银行的利率风险进行初步定量分析,并力图通过实证分析的结论来解读商业银行应该如何更好地应对利率风险。二、论文的主要内容及观点第一章前言中介绍了研究问题的意义：在利率市场化实质性进展的时候去分析商业银行利率风险是与时俱进的并且具有非常重要的现实意义。随后对国内外研究动态进行了文献综述。然后介绍了论文写作过程中所使用的理论工具和研究方法,梳理了论文的基本思路和逻辑结构。最后总结了这篇论文的创新点与不足之处。第二章首先定义了利率市场化的概念,然后介绍了国外美国、德国、日本、韩国、马来西亚、阿根廷、智利等国利率市场化的发展过程和所经历的金融风险等情况,然后将话题引入对中国利率市场化的探讨环节上来：主要从银行同业拆借市场、债券交易市场、存贷款利率市场化进程和货币市场这四个方面系统介绍了中国利率市场化的发展过程。在研究外国利率市场化进程实践的过程中,我发现多数实现利率市场化改革的国家发生过银行业的动荡和不稳定。虽然各国银行业危机的表现形式千差万别,但是它们在很大程度上均是由于利率波动带来的利率风险的逐渐发酵和演进所造成的,所以研究利率风险是至关重要的。第三章首先对利率风险进行理论方面的探讨,系统阐述了利率风险的定义、发生条件、四种表现形式和利用收益分析法及经济价值分析法来评估利率风险的两种不同思路。之后介绍了计量利率风险的两种方式：利率敏感性缺口分析模型和持续期分析模型与管理方法。这两种方法简单易用,但是也存在着很多的局限性。此章节在讨论了这些局限性后也介绍了一些克服此类局限性的方法和基本思路。论文的第四章从偏向理论的角度探讨了利率市场化对我国商业银行存在的影响。主要的思路是通过研究国外利率市场化进程对商业银行影响的实践数据和经验总结,结合近年来我国商业银行经营管理数据的变化做出一定的比较和分析,从五个方面总结出了利率市场化进程对我国商业银行的影响：(1)存贷款利率上升是大概率事件；(2)利率市场化导致银行业存贷利差、净息差收窄；(3)利率市场化导致商业银行利息收入占比下降、非息收入占比上升。(4)利率市场化加剧商业银行竞争,考验银行经营管理水平；(5)利率市场化刺激商业银行金融创新。第五章进行利率风险的实证研究：选取两个样本银行,在对利率变动情况做一定假设并对银行财务报表做一定简化的前提下运用利率敏感性缺口分析方法具体分析了2012年年中两次降息可能对它们带来的冲击与影响。第六章是对分析结果的讨论：通过对于结论的分析,我认为这两次降息对商业银行带来了实质性的影响和业绩压力。在实证分析的结果分析中我发现利率敏感性缺口模型所依赖的利率曲线平行移动的假设已经逐渐偏离实际(2012年以前,国内的利率变动无论是加息还是降息,基本符合所有利率同时平行上升或下降多少基点的假设),而且利率敏感性负缺口在利率下降的过程中不一定会带来利息收入的增加。要得到更精确和可信的结论必须详细探讨各期限利率具体的变动情况,并用这种变动对每一种具体的利率风险资产或者负债分别进行独立的分析。这个发现对于商业银行的经营管理者应该如何计量和应对利率风险提出了更高的要求；在对结论的分析中我也对商业银行如何运用同业业务来分散利率风险做出了初步的探讨。三、本文的主要贡献 1.采用我国利率市场化过程中最新的发展趋势(在两次降息的背景下存款利率上浮10%,同时贷款利率下浮最低至7折)和数据(采用2012年6月30日上市银行半年报表)对国内一家上市国有商业银行和一家上市股份制商业银行进行利率风险实证分析并通过对计算结果的对比,探讨两种不同性质的银行在经营管理理念和应对利率风险策略方面的不同,并寻找可能存在的改善利率风险暴露的方法和思路。 2.不再教条的遵循存贷款利率同等移动的假设,而是根据现实情况分期限对于利率可能的变动情况作一定的估计,并在此基础上进行资产负债表利率风险暴露的分析。 3.利率风险分析的内容也不仅仅局限于商业银行的存贷款头寸,而是在自己能力所及以及有具体数据支撑的范围内力图全面分析商业银行所有的生息资产(信贷资产、同业资产、存放央行的货币和投资资产等)和付息负债(存款负债、同业负债等)由于利率变动带来的利率风险暴露。
[Abstract]:China's interest rate market began in January 1986, Chinese the monetary authorities in order to prevent the financial turmoil in the environment, in a long period of time span (1986 -2012) gradually promote the interest rate marketization reform of different financial level. However, the interest rate is always the risk of interest rate marketization can not evade the issue, then, how to in the interest rate market further today more scientific and accurate measurement of the interest rate risk of commercial banks, and to find appropriate measures to alleviate the adverse effects, it is worth paying close attention to major issues.
At present, China has basically completed the foreign currency loan, money market and bond market interest rate marketization reform.2012 the two time the central bank cut the deposit and lending rates, deposit interest rates and allowed no more than 10%, lower loan interest rates adjusted for the benchmark interest rate 70%. this measure is widely recognized to be in the interest rate market substantial. The deposit interest rate of 10%, while the loan interest rate to float downward, the double impact will bring some impact to the operation and management of China's commercial banks. To the extent of the impact, the commercial banks have much impact, the commercial bank managers how to deal with this problem and the pendulum impact etc. in front of us.
First, the purpose of the thesis research
Substantial progress in China's interest rate market has happened so I study the problem has very important practical significance. In the interest rate market and the reform of commercial banks will bring influence how, many scholars have done in-depth research. Observe their flexible angle, a variety of research methods, theory innovation are worthy of my learning in the design process. This paper in reference to previous research results, combined with the substantial progress of the marketization of interest rate in China, in the interest rate risk gap model using the classical and traditional ideas of interest rate risk analysis is improved at the same time, the more timeliness a more comprehensive and credible than the previous bank data analysis, a preliminary quantitative analysis on the marketization of interest rates to the bank's interest rate risk, and through empirical analysis. To explain how commercial banks should deal with interest rate risk better.
Two, the main contents and views of the paper
The first chapter introduces the significance of research questions: when the substantial progress in the interest rate market to analyze the interest rate risk of commercial banks is to keep pace with the times and has very important practical significance. Then the research at home and abroad were reviewed. And then introduces the theoretical tools and research methods used in the process of writing the basic ideas and logical structure, combing the thesis. Finally, this thesis summarizes the innovations and deficiencies.
The second chapter first defines the concept of interest rate marketization, then introduces the United States, Germany, Japan, South Korea, Malaysia, Argentina, Chile and other countries in the development process of interest rate marketization and experienced financial risk, then introduce the topic up to Chinese market interest rates on the part: mainly from the banks the interbank market, the bond market, the process of deposit and loan interest rate marketization and money market four aspects of the system this paper introduces the developing process of China in the interest rate market. In the study of foreign interest rate market process the process of practice, I found that most realize the marketization reform of interest rate countries experienced banking turmoil and instability. Although all forms of banking crises vary, but they are largely due to the gradual fermentation and evolution of interest rate fluctuations caused by interest rate risk, So it is very important to study interest rate risk.
The third chapter discusses the theory of interest rate risk system, expounds the definition, the interest rate risk condition, four kinds of forms and use benefit analysis and economic value analysis method to evaluate the two different ideas of interest rate risk. After the introduction of two ways of measuring interest rate risk: interest rate sensitivity gap analysis model with the management model and the analytical method of duration. These two methods are simple and easy to use, but also has many limitations. In this chapter discusses these limitations also introduced some methods to overcome such limitations and based this idea.
The fourth chapter discusses the theoretical point of view from the impact of interest rate marketization of our commercial banks. The main idea is to study abroad through the process of marketization of interest rates of commercial banks influence the practice of data and experience, combined with the recent changes in the data management of China's commercial banks to make a comparison and analysis. From five aspects, summed up the process of marketization of interest rate on the impact of China's commercial banks: (1) the deposit and loan interest rate rise is a high probability event; (2) market interest rates lead to banking deposit spreads, net interest margin; (3) market interest rates lead to commercial bank interest income accounted for the decline in non. Interest income accounted for the rise. (4) the interest rate market intensified competition in the commercial banks, the management level of test bank; (5) the interest rate market to stimulate the financial innovation of commercial banks.
The fifth chapter is empirical research on interest rate risk: selecting two sample banks, doing some assumptions and the financial statements of the bank under the premise of a simplified using the interest rate sensitivity gap analysis method to analyze the two 2012 year interest rates could lead to the impact and influence of changes in the interest rate.
The sixth chapter is to discuss the results of the analysis: through the analysis of the conclusion, I think that the two interest rate cut has brought substantial impact and pressure on the performance of commercial banks. In the analysis of the results of empirical analysis, I discovered that the interest rate curve of interest rate sensitivity gap model relies on the parallel movement hypothesis has gradually deviated from the actual (before 2012 the domestic interest rate changes, whether interest rates or interest rates, interest rates and all accord with the parallel increase or decrease the number of basis points), and the assumption of a negative interest rate sensitivity gap in the process of falling interest rates will not necessarily increase the interest income. To get more accurate and credible conclusion must be discussed in detail specific changes in the period of interest rate, and change analysis of each specific interest rate risk assets or liabilities independently with this. This discovery for the commercial bank business How to measure and respond to interest rate risk is put forward higher requirement by managers. In the conclusion analysis, I also made a preliminary discussion on how commercial banks use interbank business to decentrate interest rate risk.
Three, the main contribution of this article
1. using the latest development trend of China's market-oriented interest rate process (two cuts in the context of the deposit interest rates go up 10%, while the lowest loan interest rate to fall to 30 percent off) and data (the June 30, 2012 listed banks report on the first half) of a domestic listed state-owned commercial banks and a listed joint-stock commercial banks: an empirical analysis the interest rate risk and through the comparison of the calculated results of two different kinds of banks of different nature in concept and coping strategies of interest rate risk management, and find out the possible improvement of interest rate risk exposure methods and ideas.
2., no longer dogmatic to follow the assumption that the interest rate is equal to mobile. Instead, we will estimate the possible change of interest rate according to the actual situation, and analyze the interest rate risk exposure of the balance sheet based on this.
The content analysis of 3. interest rate risk is not limited to commercial bank's loan positions, but in their own ability and range of internal force diagram of specific data to support the comprehensive analysis of commercial banks all interest earning assets (credit assets, interbank assets, deposit the central bank's monetary and investment assets etc.) and interest bearing liabilities (interbank deposit liabilities. Liabilities) due to changes in interest rates, interest rate risk exposure.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33;F832.5

【参考文献】