摘要
本文使用截尾回归模型和LOGIT模型,针对全球45个经济体436个商业银行从事的汇率、利率、权益、信用和商品等类别的衍生品,分析银行衍生品交易的决定因素,并对监管变量、其他未控制的国家层面的因素、银行盈利能力和财务结构变量、管理层变量等因素进行检验。研究表明:存款保险和银行监管没有导致银行出现道德风险,而是促使银行更加积极地管理风险;总资产和ISDA成员身份对银行从事衍生品交易有显著的促进作用;一个经济体在交易、投资和货币方面的市场化指数促进了该经济体衍生品交易的发展;银行从事衍生品交易降低了银行陷入财务危机的可能性。
Based on the censored regression model and LOGIT model, and centering on the derivatives of exchange rate, interest rate, equity, credit, commodities, etc., this paper analyses the determinants of derivatives transaction of banks and tests the regulatory variables, dummy variables of country-level, earning capability variables of banks, financial structure variables and management variables. The results show that deposit insurance and bank regulation do not lead to moral hazard of banks but encourage banks to manage risks more actively; total assets of banks and ISDA membership have significant impacts on promoting banks to participate in derivatives transaction; market index of transaction, investment and currency of an economy can promote the development of derivatives transactions; participation in derivatives transactions will reduce the possibility that banks involve in financial crisis.
出处
《金融论坛》
CSSCI
北大核心
2011年第10期40-49,共10页
Finance Forum
关键词
商业银行
衍生品
金融监管
风险控制
commercial bank
derivatives
financial regulation
risk control
