利率变动周期与商业银行绩效的实证研究

利率风险的计量、评估、监控是银行市场风险管理的重要内容。科学分析利率波动与银行收益之间关系,进而了解银行资产负债期限特征及利率风险管理水平,对实现我国商业银行资产负债管理科学决策,提升利率风险管理水平意义重大。本文采用Flannery的部分调整模型对我国上市银行的利率风险管理进行长时间窗口实证分析,结果表明:样本银行呈“借短贷长”的资产负债期限特征,利率变动期内其资产负债管理并未为银行带来实质收益,利率风险管理水平有待提高。

An Empirical Study of Interest Circle and Performance of Commercial Banks

The measurement,valuation,management of interest rate risk is the important content of market risk of the banks.The study about the relation between the fluctuation of interest rate and the return of the banks,and the term character of asset and liability,is very important for the asset and liability management and interest rate risk management.This article provides a empirical study about the interest rate risk management of the listed banks in China.The result shows that the banks in China should raise the awareness of risk management,strengthening their risk management and improving their risk management capacity.