發(fā)布時(shí)間：2018-05-23 16:09

  本文選題：商業(yè)銀行 + 外匯風(fēng)險(xiǎn)暴露��； 參考：《金融論壇》2012年02期

【摘要】：本文以中國上市的14家商業(yè)銀行為研究對(duì)象,計(jì)算未被預(yù)期到的匯率變動(dòng)率及各家銀行的外匯風(fēng)險(xiǎn)暴露系數(shù),采用偏最小二乘回歸法對(duì)影響商業(yè)銀行外匯風(fēng)險(xiǎn)暴露水平的諸因素進(jìn)行分析。結(jié)果表明,有7家銀行有顯著的外匯風(fēng)險(xiǎn)暴露系數(shù),其中6家受到人民幣升值的不利影響。對(duì)于受人民幣升值不利影響的銀行,現(xiàn)金流量能力越強(qiáng),對(duì)匯率波動(dòng)的敏感性越低;資產(chǎn)負(fù)債率越高、規(guī)模越大、成長性越高,對(duì)匯率波動(dòng)的敏感性越高。相對(duì)于其他財(cái)務(wù)指標(biāo)來說,資產(chǎn)負(fù)債率對(duì)銀行的外匯風(fēng)險(xiǎn)暴露水平具有更大的影響力。
[Abstract]:Taking 14 commercial banks listed in China as the research object, this paper calculates the rate of exchange rate change that has not been expected and the exposure coefficient of each bank to foreign exchange risk. The partial least square regression method is used to analyze the factors affecting the exposure level of foreign exchange risk in commercial banks. The results showed that seven banks had significant exposure factors to foreign exchange risk, and six of them were adversely affected by RMB appreciation. For banks adversely affected by RMB appreciation, the stronger the cash flow capacity, the lower the sensitivity to exchange rate fluctuations; the higher the ratio of assets and liabilities, the larger the scale, the higher the growth, the higher the sensitivity to exchange rate fluctuations. Compared with other financial indicators, asset-liability ratio has more influence on banks' exposure to foreign exchange risk.
【作者單位】： 中國科學(xué)技術(shù)大學(xué)管理學(xué)院統(tǒng)計(jì)與金融系;
【基金】：國家973重點(diǎn)基礎(chǔ)研究發(fā)展計(jì)劃(2007CB814901)
【分類號(hào)】：F832.6

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本文編號(hào)：1925447