| 利率衍生产品需求研究:来自中国金融机构的证据 |
| |
| 引用本文： | 王敬.利率衍生产品需求研究:来自中国金融机构的证据[J].中南财经政法大学学报,2010(1). |
| |
| 作者姓名： | 王敬 |
| |
| 作者单位： | 西南财经大学,证券与期货学院,四川,成都,611130 |
| |
| 摘 要： | 首先从理论上分析了金融机构对利率衍生产品的需求特性,久期错配程度和资产规模对金融机构的利率衍生产品需求具有正向作用,而资本水平的影响具有两面性.在此基础上,对中国金融机构的利率衍生产品需求进行了实证分析,结果发现,上述因素的影响也体现在中国金融机构对利率衍生产品的需求上,但与理论分析及国外的相关实证结果存在较大差异,主要表现为金融机构的利率衍生产品需求与久期错配程度负相关,金融机构的利率衍生产品需求不存在规模效应,资本水平对金融机构的利率衍生产品需求有显著正向影响.对这些差异文章进行了相应的解释.
|
| 关 键 词： | 利率衍生产品 利率风险 久期错配 |
A Study of the Demands for Interest Rate Derivatives:Evidences from China's Financial Institutions |
| |
| WANG Jing.A Study of the Demands for Interest Rate Derivatives:Evidences from China''s Financial Institutions[J].Journal of Zhongnan University of Finance and Economics,2010(1). |
| |
| Authors: | WANG Jing |
| |
| Institution: | WANG Jing(School of Securities , Futures,Southwestern University of Finance , Economics,Chengdu 611130,China) |
| |
| Abstract: | The paper analyzes first theoretically the demand characteristics of financial institutions for interest rate derivatives,and concludes that duration mismatch and capital sizes affect positively the demands for interest rate derivatives,but capital level and credit have alternative effects.Based on this conclusion,the paper analyzes quantitatively the demand characteristics of Chinese financial institutions.The results indicate that the mentioned factors also affect the demands of Chinese financial institut... |
| |
| Keywords: | Interest Rate Derivatives Interest Risk Duration Mismatch |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
