银行衍生品交易的决定因素  

The Determinants of Derivatives Transaction of Banks

作　　者：戈建国[1,2] 周继忠[3] 

机构地区：[1]中国人民银行金融研究所博士后流动站 [2]交通银行博士后工作站 [3]上海财经大学金融学院

出　　处：《金融论坛》2011年第10期40-49,共10页Finance Forum

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.

关 键 词：商业银行 衍生品 金融监管 风险控制 

分 类 号：F831.5[经济管理—金融学] F224