利用股市信息测度我国商业银行的利率风险  

The Measurement of China's Commercial Banks' Interest Rate Risks through Stock Market Information

作　　者：王晋忠[1] 高菲[2] 

机构地区：[1]西南财经大学,成都610000 [2]中国银行业监督管理委员会四川监管局,成都610042

出　　处：《金融理论探索》2016年第2期3-11,共9页Exploration of Financial Theory

摘　　要：利率风险是商业银行面临的重要风险之一,可利用银行股票价格对利率变动的敏感性来对其进行量化分析。运用参数和非参数模型对我国商业银行所面临的利率风险的实证分析表明:我国商业银行存在显著的利率风险,长期利率变动对商业银行股票收益率有正向影响,而短期利率变动有负向影响;我国商业银行还面临着显著的非线性利率风险,但传统的线性利率风险更为显著;我国商业银行对长期利率变动还有显著的大小非对称性,趋势非对称性并不显著。非参数模型的估计结果表明,利率变动对银行组合收益率的边际效应不是恒定的,具有时变性特征。Interest rate risk is one of the major risks facing commercial banks. Quantitative analysis of interest rate risk could be conducted by using bank stock price＇s sensitivity to interest rate changes. The paper conducted empirical analysis of the interest rate risks facing China＇s commercial banks by using parametric and non-parametric model. Through the analysis, it could be concluded that China＇s commercial banks face remarkable interest rate risks. Long-term fluctuations in interest rates have a positive effect on commercial banks＇ stock returns, while short-term changes have a negative impact. Moreover, it could also be discovered that China＇s commercial banks face remarkable non-linear interest rate risks, but the traditional linear risks are even more significant.Besides the abovementioned problems, China＇s commercial banks＇ reaction to long-term interest rates fluctuations demonstrates a feature of significant asymmetry in size, but the asymmetry in trend is not significant. Lastly, non-parametric model estimation results indicate that changes in interest rates on the marginal effect of bank portfolio yield is not constant, it changes with the times.

关 键 词：股市信息 商业银行 利率风险 

分 类 号：F832.51[经济管理—金融学] F832.33