利率市场化条件下的利率风险及其压力测试

本文研究我国推行利率市场化过程中商业银行所面临的利率风险,以中国工商银行数据为例,基于敏感性压力测试的方法,测试国有大型商业银行遭遇潜在利率风险时,其风险抵抗及应对能力。研究表明,压力测试作为一种国际通行的测量极端潜在风险的方法,对于利率风险的规避具有定量分析的意义。目前中国大型商业银行处于短期内为利率敏感性负缺口,此类情形在利率升高时将面临利润下降的风险。商业银行应考虑加快业务创新,全面加大发展中间业务,增加非利差收入,抵消因利率风险给银行带来的收益减少。     

A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk

This article presents a technique for nonparametrically estimating continuous-time diffusion processes that are observed at discrete intervals. We illustrate the methodology by using daily three and six month Treasury Bill data, from January 1965 to July 1995, to estimate the drift and diffusion of the short rate, and the market price of interest rate risk. While the estimated diffusion is similar to that estimated by Chan, Karolyi, Longstaff, and Sanders (1992) , there is evidence of substantial nonlinearity in the drift. This is close to zero for low and medium interest rates, but mean reversion increases sharply at higher interest rates.     

信用卡市场利率粘性和消费者行为研究综述

本文从信息不对称和消费者理性的框架出发,对20世纪70年代以来国外学者在信用卡市场利率粘性和消费者行为等方面的研究成果进行综述,并指出我国信用卡研究的现状及存在的问题和未来研究方向。     

利率市场化对商业银行的影响及对策

利率市场化是我国金融产业走向市场的重要步骤之一,也是国民经济运行体制转变到市场经济上来的基本标志之一.随着货币市场的完善和利率市场化的发展,利率对我国商业银行收益水平产生了正、负两方面的影响,商业银行金融改革和创新对规避利率风险具有重要的意义.     

利率市场化条件下对商业银行加强利率风险防范的思考

本文重点探讨在利率市场化的条件下,商业银行如何构筑严密的风险管理机制,高效地进行利率风险控制,以适应国际经济、金融一体化的发展要求,成为商业银行需要认真研究的重要课题。     

银行账户利率风险的利率冲击情景构建研究——基于金融市场利率数据

在银行账户利率风险管理实践中,风险计量涉及两个重要环节:风险计量方法和风险参数设计。其中,风险参数设计主要指如何构建利率冲击情景,包括关键利率选择和冲击程度。目前,监管部门和商业银行普遍采用巴塞尔委员会于2004年在《利率风险管理与监管原则》中提出的200个基点标准利率冲击法,但这一简单的冲击情景远远不能解释复杂的市场环境。如何构建利率冲击情景以准确衡量银行账户利率风险,成为监管部门和商业银行共同面临的挑战。本文参考国际监管改革的最新进展,运用国内金融市场的利率历史数据,探索构建了以国内利率环境为基准的利率冲击情景,为准确衡量国内银行真实利率风险水平夯实了基础。     

通货膨胀水平、股票市值与中国国债利率期限结构

本文选取2007年1月—2016年6月中国国债即期收益率数据,利用动态Nelson-Siegel模型构造反映国债利率期限结构的水平、斜率和曲率因子,并运用Johansen协整检验、VEC模型等方法考察通货膨胀水平、股票市值与利率期限结构间的行为特征,研究发现:通过Nelson-Siegel模型构造的结构因子体现出利率期限结构的特征;通货膨胀率、股票市值与国债利率期限结构的水平、斜率因子之间存在长期的协整关系,但是通货膨胀水平和股票市值变动对水平因子无显著影响,反映出货币政策向债券市场传导的效率有待完善;长期看来,通货膨胀水平和股票市值均在缩小斜率因子方面效果显著。此外,斜率因子可以预测出通货膨胀水平的变化,为制定和实施货币政策提供前瞻性信息。     

Market Segmentation and the Cost of Capital in a Domestic Market: Evidence from Municipal Bonds

We study the implications of market segmentation in a domestic setting, the US municipal bond market. A (state‐level) segmentation of this market emerges from asymmetric tax exemption. Municipal bond investors are exempt from state and local taxes on bonds issued by their own state, but not on bonds issued by other states. We demonstrate that market segmentation imposes significant costs on both issuers and investors in the form of higher yields and higher costs of financial intermediation. Our results provide insight into some well‐documented artifacts of the municipal bond market, such as high yields and the popularity of insurance.     

Market Risk,Interest Rate Risk,and Interdependencies in Insurer Stock Returns: A System‐GARCH Model

We examine market risk, interest rate risk, and interdependencies in returns and return volatilities across three insurer segments within a System‐GARCH framework. Three main results are obtained: market risk is greatest for accident and health (A&H) insurers, followed by life (Life) and property and casualty (P&C) insurers; interest rate sensitivity is negative and greatest for Life insurers; and interdependencies in returns are significant with the magnitude being strongest between P&C and A&H insurers. The implication is that greatest diversification benefits arise between Life and the other segments of the insurance industry. Market risk and interest rate risk for diversified firms are smaller than those for nondiversified firms for both product and geographic diversification.     

利率放开条件下防范利率风险的手段与操作

利率风险是市场风险的重要组成部分,直接影响市场风险的总量和结构.目前我国基准利率市场化还尚未开始,影响利率的市场因素仍不明朗,利率风险将逐步成为我国金融业最主要的市场风险.对商业银行表内业务的缺口管理和表外业务的金融衍生工具管理可以使商业银行有效规避和降低利率风险,在此前提下,获取最大收益.     

The Competitive Impact of Commercial Bank Underwriting on the Market for Municipal Revenue Bonds

This paper examines the impact of commercial bank entry in the market for municipal revenue bonds. We show that issues underwritten by commercial banks have lower underwriter spreads but not lower yields relative to issues underwritten by nonbank investment firms. In particular, this is more significant for non-investment-grade bonds underwritten by commercial banks. Our results are consistent with the interpretation that bank entry has resulted in increased competition in the municipal revenue bond market and that the lower yields observed for bank-underwritten commercial bonds may be due to banks having private information. Overall, our results suggest that policy changes leading to the relaxation of restrictive provisions concerning bank underwriting of municipal revenue bonds have had beneficial effects.     

利率市场化及商业银行利率风险分析

在我国,利率一直实行管制政策,在计划经济时期,低利率管制政策有其一定的合理性,利率是否市场化并不重要。但随着市场机制作用的增大,特别是在非国有企业、股份制银行和外资银行兴起以及国有商业银行和国有企业经营机制转变之后,利率管制的弊端愈加突出。本刊签约作者周革平博士认为当前国内外的物价水平稳中趋低,商业银行存差较大,最宜实行利率市场化改革。文章通过阐述利率市场化的基本涵义,分析论证了利率市场化后,国有商业银行面临的利率风险     

人民币利率走势与证券市场

利率作为重要的经济杠杆,对证券市场的运行有着极其重要的调节作用,从近期看人民币利率保持基本稳定,将在一定程度上促进中国证券市场的结构调整之后,形成稳定健康的发展局面。     

Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model

We develop a two-factor general equilibrium model of the term structure. The factors are the short-term interest rate and the volatility of the short-term interest rate. We derive closed-form expressions for discount bonds and study the properties of the term structure implied by the model. The dependence of yields on volatility allows the model to capture many observed properties of the term structure. We also derive closed-form expressions for discount bond options. We use Hansen's generalized method of moments framework to test the cross-sectional restrictions imposed by the model. The tests support the two-factor model.     

人民币掉期市场:中美利差旋律仍在跃动

年初以来,境内美元兑人民币长端1年期掉期点不断向上突破。文章分析指出,中美货币政策预期调整奠定中美利差走阔基础,同时当前金融扩大开放背景下,人民币所具有的投资属性特质为境外资金持续流入、通过掉期开展资产套期保值带来强力的买盘支撑。展望下半年,中美利差大概率不会走出单边收窄或展宽行情,更可能是在利差中枢区间上下波动。     

The Interest Rate Risk Exposure of Financial Intermediaries: A Review of the Theory and Empirical Evidence

The paper surveys current and previous research on financial institutions' interest rate risk exposure. The implications of such exposure are discussed and motivating insights are emphasized. Various theoretical frameworks and models are presented. For each one an overview of the studies and any relationship to each other is provided. In a cross‐industry analysis, other idiosyncratic risk factors are considered and their importance is delineated. A number of empirical relations are established. More specifically, there is an inverse relationship between interest rate changes and common stock returns of financial institutions. The intermediaries' apparent yield sensitivity is mainly attributed to the duration gap inherent in their balance sheet structure. Furthermore, the aforesaid equity sensitivity due to other possible dynamics such as dividend yield, unanticipated inflation and regulatory lags is also considered. Changes in economic regimes have altered volatility in market yields with a subsequent effect, positive or negative, on financial intermediaries' equity returns. The issue of the risk‐return compensation is further analyzed, and findings suggest that the interest rate risk is priced by capital markets. Finally, a few other issues are identified as avenues for future research.     

我国民间利率的市场缺陷及因应之策

运用利率管制条件下的资金供求模型对民间利率的市场形成机制进行分析发现，民间利率不仅高于正规金融市场均衡利率水平，也高于资金需求者的意愿水平。同时，民间利率在当前市场中具有缺陷性：它的高利率性及非”市场利率”性糅合在一起，给金融市场及社会发展带来了不利影响。因此，有必要将民间利率纳入监管范畴进行规范引导，从而有效克服其市场缺陷性，充分发挥其拾遗补缺的作用。     

The Interest Rate Risk of Fannie Mae and Freddie Mac

This paper evaluates the interest rate risk of Fannie Mae and Freddie Mac (F&F) and develops related public policy proposals. F&F merit special attention due to (1) their potentially very large interest rate risk, and (2) their status as U.S. government sponsored enterprises. The analysis focuses on the dynamic hedging strategy and extensive use of interest rate derivatives employed by F&F to control their interest rate risk. While dynamic hedging is highly cost effective for F&F, it creates imperfect hedges and thus could impose significant costs on U.S. taxpayers in a potential future F&F bailout. The policy discussion includes proposals to modify the F&F interest rate disclosures and the OFHEO stress test, and to create rate interest risk standards for F&F.     

利率调整的未预期成分对股市的影响效应研究

本文通过将利率调整分解为预期成分和未预期成分,建立扩展的指数广义自回归条件异方差模型,以分析中央银行利率调整的未预期成分对股市的影响.实证结果表明,利率调整的未预期成分与股市收益率负相关,一个百分点的未预期的利率变动将导致次日股市收益率反向变化0.34个百分点.同时,未预期的利率调整成分将导致次日的股市波动性降低,但利率调整后的第2个交易日股市的波动性又恢复到之前的水平.从利率调整后的第3个交易日开始,未预期成分对股市波动性的影响不再具有显著性,表明股市价格在2个交易日的时间里已经完全吸收了未预期利率调整的信息.