本文選題：商業(yè)銀行 + 外匯風(fēng)險敞口��； 參考：《復(fù)旦大學(xué)》2014年碩士論文

【摘要】：隨著人民幣匯率制度改革的深化,匯率市場化程度也逐步加快。2014年3月16日,央行對人民幣匯率波動幅度進行第三次擴大。人民幣兌美元匯率的波動幅度由1%擴大為2%。與此同時,現(xiàn)匯買賣價與中間價之差由2%擴大為3%。在人民幣匯率波動幅度不斷擴大的背景下,商業(yè)銀行的外匯敞口風(fēng)險也將發(fā)生變化。而商業(yè)銀行的外匯敞口風(fēng)險可能會受到多種因素的影響。對這些影響因素的考察和分析有助于對外匯敞口風(fēng)險的控制和管理。本文基于外匯風(fēng)險敞口角度對我國商業(yè)銀行外匯風(fēng)險的影響因素進行了實證分析。對來自銀行運營指標、宏觀經(jīng)濟變量以及銀行屬性等因素進行了分析。同時,著重分析了銀行間外匯市場做市商制度是否會對商業(yè)銀行的外匯風(fēng)險產(chǎn)生影響,以及做市商這個變量是否會同其他變量交叉影響到商業(yè)銀行的外匯風(fēng)險。本文選取了我國上市的16家商業(yè)銀行2007年至2012年的年度數(shù)據(jù)進行研究。根據(jù)選取的樣本和變量的特點,采用面板數(shù)據(jù)模型對提出的研究假設(shè)進行實證檢驗。初步的研究結(jié)果表明,做市商這個變量對商業(yè)銀行的外匯風(fēng)險產(chǎn)生了影響,做市商銀行比非做市商銀行存在更大的外匯敞口風(fēng)險。通過變量交叉影響因素的設(shè)定,我們發(fā)現(xiàn),做市商銀行可以通過銀行資產(chǎn)規(guī)模的管理來適度降低外匯敞口風(fēng)險；而對于匯率變動的敏感度方面,做市商銀行與非做市商銀行并不存在顯著的差異。同時,初步研究結(jié)果表明,商業(yè)銀行外匯風(fēng)險與資產(chǎn)規(guī)模,資產(chǎn)收益率、非利息收入比例存在顯著的正相關(guān)關(guān)系,與撥備覆蓋率、資產(chǎn)流動性比例存在顯著的負相關(guān)關(guān)系。
[Abstract]:With the deepening of the reform of the RMB exchange rate regime, the marketization of the exchange rate has gradually accelerated. On March 16, 2014, the central bank expanded the volatility of the RMB exchange rate for the third time. The exchange rate of the RMB against the dollar fluctuated from 1% to 2%. At the same time, the difference between the selling price and the intermediate price widened from 2% to 3%. In the context of the increasing volatility of the RMB exchange rate, commercial banks' foreign exchange exposure risk will also change. The foreign exchange exposure risk of commercial banks may be affected by a variety of factors. The investigation and analysis of these factors will help to control and manage the risk of foreign exchange exposure. This paper empirically analyzes the influencing factors of foreign exchange risk of Chinese commercial banks based on foreign exchange exposure. This paper analyzes the factors such as bank operation index, macro-economic variables and bank attributes. At the same time, the paper analyzes whether the market maker system in the interbank foreign exchange market will have an impact on the foreign exchange risk of commercial banks, and whether the market maker will cross with other variables to influence the foreign exchange risk of commercial banks. This paper studies the annual data of 16 commercial banks listed in China from 2007 to 2012. According to the characteristics of the selected samples and variables, the panel data model is used to test the proposed research hypothesis. The preliminary results show that the variable of market maker has an impact on the foreign exchange risk of commercial banks. Market makers' banks have more foreign exchange exposure risks than non-market makers' banks. Through the setting of variable cross influence factors, we find that market maker banks can appropriately reduce the risk of foreign exchange exposure through the management of bank asset size, and the sensitivity of exchange rate changes, There is no significant difference between market maker bank and non-market maker bank. At the same time, the preliminary results show that there is a significant positive correlation between foreign exchange risk and asset size, asset return rate, non-interest income ratio, and a significant negative correlation between foreign exchange risk and reserve coverage, asset liquidity ratio.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.6

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相關(guān)期刊論文 前2條

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本文編號：1898678