| 商业银行利率风险暴露——基于中国的银行数据的实证分析 |
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| 引用本文： | 刘湘云,吕杏.商业银行利率风险暴露——基于中国的银行数据的实证分析[J].广东金融学院学报,2009,24(3):66-75. |
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| 作者姓名： | 刘湘云 吕杏 |
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| 作者单位： | 广东商学院,广东,广州,510320 |
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| 基金项目： | 广东自然科学基金项目(8151032001000006) |
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| 摘 要： | 随着利率市场化程度越来越深,商业银行利率风险暴露已成为大量经验研究的主题。对中国四大国有银行和10家股份制银行2000~2006年间财务数据进行实证分析的结果表明,银行股权收益与未预期的利率变化存在显著负相关关系;银行利率风险暴露水平与银行规模大小并不存在稳定的相关性。同时,单个银行的利率风险水平与银行特征比率密切相关。其中银行股权收益的利率敏感性与权益资产比、贷款占资产的比率和企业存款占比存在正相关关系,与非利息收入占比存在负相关关系。总之,银行利率风险暴露程度受银行特征比率影响。
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| 关 键 词： | 商业银行 利率风险暴露 SUR估计 银行特征比率 |
Interest Rate Risk Exposure in Commercial Banks: Empirical Analysis Based on Domestic Banks Data |
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| Liu Xiangyun,Lv Xing.Interest Rate Risk Exposure in Commercial Banks: Empirical Analysis Based on Domestic Banks Data[J].Journal of Guangdong University of Finance,2009,24(3):66-75. |
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| Authors: | Liu Xiangyun Lv Xing |
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| Institution: | Guangdong University of Business Studies;Guangzhou 510320;China |
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| Abstract: | As the degree of interest rates liberalization getting deeper and deeper,interest rate risk exposure in commercial banks has become the theme of many finance studies.In this paper,the financial statement data of the main domestic state-owned commercial banks and 10 joint-equity banks from 2000 to 2006 are processed.The conclusion is,the stockholding incomes of commercial banks are remarkably negative to unanticipated interest rate changes,and there is no steady correlation between the degree of interest rat... |
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