金融衍生品交易对银行绩效的影响研究——基于中国16家上市银行数据的分析  

Research on the Impact of Financial Derivatives Trading on Bank Performance——Based on the Analysis of 16 Listed Banks in China

作　　者：王琰 封思贤 Wang Yan;Feng Sixian

机构地区：[1]南京师范大学商学院,江苏南京210023 [2]南京师范大学金陵女子学院,江苏南京210023

出　　处：《西南金融》2019年第2期16-24,共9页Southwest Finance

基　　金：国家社科基金重点项目"我国移动支付风险的识别;度量与管控研究"(No.16AJY023)

摘　　要：本文基于中国16家上市银行数据建立面板模型,从总体和结构层面分析了商业银行参与金融衍生品交易对其绩效的影响,并实证检验了传导路径。研究发现:金融衍生品与银行绩效显著正相关,尤其对非国有银行绩效的提升作用更强、更显著;外汇类和利率类衍生品均能显著促进银行绩效的提高,但利率类衍生品对银行绩效的正效应弱于外汇类衍生品;银行通过使用金融衍生品可以调控现金流波动进而提升绩效。根据以上结论提出了差别化管理金融衍生品的相关建议。Based on the panel model of 16 listed banks in China, this paper analyzes the impact of commercial banks' participation in financial derivatives trading on their performance from the overall and structural levels, and empirically tests the conduction path. The study finds that financial derivatives are significantly positively correlated with bank performance, it is especially effective and significant for the performance improvement of non-stateowned banks;Foreign exchange and interest rate derivatives can significantly improve bank performance, but the positive impact of interest rate derivatives on bank performance is weaker than that of foreign exchange derivatives;banks can use financial derivatives to regulate cash flow volatility and improve performance. Based on the above con. clusions, relevant recommendations for differential management of financial derivatives are proposed.

关 键 词：金融衍生品 银行绩效 金融创新 表外业务 套期保值 风险对冲 现金流波动 汇率风险 利率风险 风险管理 衍生品监管 

分 类 号：F832.33[经济管理—金融学]