构建商业银行利率风险预警体系的思路

我国的利率市场化改革源于经济体制转型与金融制度的变迁,是中国“入世”后,经济金融融入世界经济、金融一体化的必然选择．从1996年放开银行间拆借市场利率开始．到2004年放开商业银行贷款浮动利率上限,城乡信用社贷款利率浮动上限扩大到基准利率的2．3倍,我国的利率市场化稳步推进并取得实质性突破。在新的利率框架下,商业银行已经由利率管制下的被动接受者,     

THE DIFFERENTIAL EFFECTS OF DEREGULATION ON SAVINGS AND LOAN ASSOCIATIONS AND BANKS

The passage of the Garn-St Germain Depository Institutions Act of 1982 was a legislative response to the plight of the thrift industry. The Act broadened the asset/liability powers of thrifts and granted regulators emergency authority to aid failing institutions. In this paper we analyze the effect of the Act on the market returns of large S&Ls and banks using a two-factor estimating procedure. Single-factor models of depository institutions' returns produce biased estimates and confound the Act's interpretation. Explicit treatment of the event/risk interaction is necessary to avoid ambiguities in the interpretation of the Act's effect on the returns of depository institutions. It is difficult to use capital market data to pinpoint the effect of information flows on complex regulatory changes.     

DURATION,DEFAULT RISK,AND THE TERM STRUCTURE OF INTEREST RATES

We examine the interactive effect of default and interest rate risk on duration of defaultable bonds. We show that duration for defaultable bonds can be longer or shorter than default‐free bonds depending on the relation between default intensity and interest rates. Empirical evidence indicates that in most cases duration for defaultable bonds is much shorter than for their default‐free counterparts because of the negative relation between default risk and interest rates. Results suggest that the duration measure must be adjusted for the effects of default risk and stochastic interest rates to achieve an effective bond portfolio immunization.