套期衍生工具与同业融资成本——来自A股上市银行的经验证据  

Derivatives-Hedging and Interbank Funding Costs——Empirical Evidence from A-Share Listed Banks

作　　者：郭飞 严丹良 Guo Fei;Yan Danliang(School of Accounting,Zhongnan University of Economics and Law;School of Accounting and Auditing,Guangxi University of Finance and Economics)

机构地区：[1]中南财经政法大学会计学院 [2]广西财经学院会计与审计学院

出　　处：《国际金融研究》2022年第3期35-44,共10页Studies of International Finance

基　　金：国家社会科学基金一般项目“银行监管和会计监管协调下商业银行风险管理决策与信贷资源配置研究”(20BJY029)资助。

摘　　要：本文以2010—2019年A股上市银行为研究对象,探讨商业银行使用套期衍生工具对同业融资成本的影响。实证结果发现,使用套期衍生工具可以显著降低商业银行同业融资成本。机制检验表明,银行会计信息质量越低、分析师预测分歧度越大、现金流波动水平和经营风险越高时,使用套期衍生工具对同业融资成本的负向影响越显著,说明在信息不对称程度和违约风险较高的情况下,套期衍生工具降低银行同业融资成本的作用更大。进一步研究发现,现金流量套期对同业融资成本的降低作用更为显著;2018年实施修订的套期会计准则CAS24(2006)后,商业银行使用套期衍生工具对同业融资成本的降低作用更为显著。本研究丰富了商业银行套期衍生工具使用与同业融资决策相关文献,为提升衍生品信息披露质量、维护金融市场稳定提供了证据支持。Reducing interbank funding costs is important to improve the performance of banks.Effective hedging can manage bank risks,while using derivatives for non-hedging purposes may exacerbate bank and financial risks.Only by reasonably defining effective hedging can we accurately explore the relationship between derivatives hedging and interbank financing costs.This paper defines effective hedging based on CAS24(2006)Hedge Accounting standard and takes A-share listed commercial banks from 2010 to 2019 as the research sample to explore the influence of derivatives hedging on interbank funding costs.The empirical results show that the use of derivatives for hedging purpose can significantly reduce the interbank funding costs of commercial banks.The mechanism tests show that the reduction effect of derivatives hedging on interbank funding costs is more pronounced in commercial banks with lower accounting information quality,larger analyst forecast dispersion,higher level of cash flow volatility,and higher operational risk.These results suggest that derivatives hedging plays a greater role in reducing interbank funding costs when the information asymmetry and default risk are higher.Further research shows that cash flow hedging has a more significant effect on reducing interbank funding costs.After the revised Hedge Accounting standard was implemented in 2018,the hedging derivatives used by commercial banks have a stronger effect on reducing interbank funding costs.The contributions of this paper are as follows.Firstly,this paper discusses the impact of interbank funding costs of commercial banks from the perspective of effective hedging,which enriches the literature on the influencing factors of interbank funding costs.Secondly,this paper clarifies the mechanism of derivatives-hedging affecting interbank funding costs.This study provides a theoretical basis for financial regulators to further standardize the use of derivatives and formulate policies.Thirdly,this paper defines and measures effective hedging from the perspe

关 键 词：商业银行 套期衍生工具 同业融资成本 

分 类 号：F832[经济管理—金融学]