摘要
探究利率水平的波动性是否会影响商业银行贷款的信用风险。在利率市场化下,利率水平波动加剧,利率不确定性增加,会给商业银行带来重定价风险、基准风险、收益率曲线风险、选择权风险,为避免上述风险,银行偏好于短期贷款,因此,企业借款以续短为长为主要模式,从而使得企业更加可能出现还本付息危机,进而带来银行的信用风险增加。根据我国16家上市商业银行从2007年到2015年的面板数据,统计分析结果表明,利率波动性与商业银行信用风险显著正相关。因此,商业银行要联系利率风险来管理信用风险。
To explore whether the volatility of interest rate will affect the credit risk of commercial bank loans. In liberalization of interest rate,as interest rate volatility increased,uncertainty of interest rate increase,which could bring repricing risk,basis risk,yield curve risk and option risk. To avoid the above risks,the bank prefers short-term loam. Therefore,the mode of corporate borrowings is continued short for long loan thus the enterprises are more likely to meet servicing crisis,and increases risk of bank credit. According to the annual panel data of 16 listed commercial banks in China from 2007 to 2015,statistical result shows that interest rate volatility is significantly positively correlated with the credit risk of commercial banks. Therefore,commercial banks to interest rate risk to manage credit risk.
出处
《审计与经济研究》
CSSCI
北大核心
2017年第6期116-124,共9页
Journal of Audit & Economics
关键词
利率风险
利率波动性
信用风险
贷款期限偏好
续短为长借款模式
银行利率
商业银行
银行贷款
interest-rate risk
volatility of interest rate
credit risk
preference of loan term
continued short for long loan mode
bank interest rate
commercial banks
bank loan
