利率衍生工具降低银行业系统性风险了吗?——基于面板变系数模型的实证分析  

Does Interest Rate Derivatives Lower Banking Industries’ Systemic Risk Contributions?——Evidence from Panel Variable Coefficient Model

作　　者：刘志洋[1] LIU Zhiyang(School of Economics, Northeast Normal University,Changchun 130117,China)

机构地区：[1]东北师范大学经济学院

出　　处：《当代经济科学》2019年第3期49-60,共12页Modern Economic Science

基　　金：教育部人文社会科学研究青年基金项目“货币政策与宏观审慎监管协同机制及有效性检验”(19YJC790088)

摘　　要：本文使用面板变系数回归模型,实证分析利率衍生产品对银行业系统性风险的影响。研究结果表明:第一,当总体名义价值变化率、互换类利率衍生产品名义价值变化率、期权类利率衍生产品名义价值变化率增加时,商业银行系统性风险贡献度整体降低,但各个商业银行表现出较强的异质性;第二,总体利率衍生产品资产方公允价值变化率、互换类利率衍生产品资产方公允价值变化率增加时,各家商业银行的对冲交易所造成交易方向的一致性会导致整体系统性风险的增加;第三,负债方总体公允价值变化率、互换类利率衍生产品负债方公允价值变化率和期权类利率衍生产品负债方公允价值变化率增加时,整体上会导致商业银行系统性风险贡献度的增加,且商业银行个体层面表现出较强的异质性特征。本文认为,使用衍生金融工具的公允价值计价方式能够有效反映市场对未来资产状况的预期和评估。Using panel variable coefficient model, this paper empirically studies how interest rate derivatives affect banking industries’ systemic risk. The conclusion is: first, when the nominal value of total derivatives, swap and interest rate options increase, in all, systemic risk will be lower but each commercial banks behaves heterogeneity;second, when the fair value of total derivatives and swap in the asset side increase, in all, an increasing systemic risk will be induced by the consistency of trading directions caused by hedge exchanges of each commercial bank;thirdly, when the fair value of total derivatives, swap and interest rate options in the liability side increase, in all, the contribution of systemic risk will be increased and each commercial bank behaves heterogeneity. Finally, this paper argues that regulators should pay attention to the fair value of derivatives which reflects financial market’s perception.

关 键 词：利率 衍生工具 系统性风险 利率市场化 风险对冲 商业银行 公允价值 

分 类 号：F832[经济管理—金融学]