中国商业银行利率风险的实证分析  

An Empirical Analysis on Interest Rate Risk in Chinese Commercial Bank

作　　者：张远为[1] 

机构地区：[1]湖北经济学院金融学院,湖北武汉430205

出　　处：《经济与管理》2008年第4期27-30,共4页Economy and Management

基　　金：湖北省教育厅人文社会科学研究规划项目(项目编号:2007d178)

摘　　要：运用计量经济学方法估计中国商业银行资产和负债的平均成熟期,以检验中国商业银行的净利息收入是否受利率变动的影响。实证分析的主要结论是,目前中国商业银行的利率风险暴露水平较高,其中中等商业银行的利率风险暴露水平比大型商业银行更高。所以,大力加强利率风险管理体系的建设,提高利率风险管理水平是中国商业银行当前面临的迫切任务之一。We can use econometric method to estimate the average asset and liability maturities for Chinese commercial banks. Regression models are tested to determine if interest rate fluctuations have a significant impact on bank＇s net interest income. The main conclusion is that Chinese commercial banks expose to larg interest rate risk and the exposure of medium commercial banks is much larger than the exposure of large banks nowadays. So,enhancing the development of interest rate risk management system and improving the management level of interest rate risk are urgent tasks for China＇s commercial bank.

关 键 词：商业银行 利率风险 

分 类 号：F830.33[经济管理—金融学]