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。
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 rate risk exposure and the size of bank. Meanwhile, interest rate risk of single bank is correlative closely with some bank characteristic ratios. Among these, there exists positive correlation between the interest rate sensibility of bank stockholding income and equity to asset ratio ＆ loan to asset ratio ＆ business deposit to total deposit ratio, and there are negative correlation between it and non-interest return. In short, the degree of interest rate risk exposure in commercial banks is affected by bank characteristic ratios.
出处
《广东金融学院学报》
CSSCI
北大核心
2009年第3期66-75,共10页
Journal of Guangdong University of Finance
基金
广东自然科学基金项目(8151032001000006)
关键词
商业银行
利率风险暴露
SUR估计
银行特征比率
commercial bank
interest rate risk exposure
SUR（seemingly unrelated regression）estimation
Bank characteristic ratios
