商业银行净息差、资产负债期限错配与利率期限结构  

Banks Net Interest Margin,Asset and Liability Maturity Mismatch and Interest Rate Term Structure

作　　者：吴隽豪 Wu Jun-hao

机构地区：[1]上海社会科学院应用经济研究所 [2]浦发银行总行资产负债管理部

出　　处：《经济学家》2024年第3期66-76,共11页Economist

基　　金：上海社会科学院招标课题(研究生专项)“中国版巴塞尔协议Ⅲ背景下银行账簿利率风险管理研究”。

摘　　要：美国快速加息形成利率曲线倒挂诱发银行业危机,利率风险管理引起高度关注。本文从商业银行资产负债配置的微观视角出发,分别从期限错配程度和利率期限结构分析净息差的变化机理,通过手工采集数据构建微观层面期限错配程度对我国上市银行2015—2022年数据进行实证检验。研究发现:净息差与期限错配程度呈现相反关系,出现“期限错配之谜”,信用风险承担渠道和主动资产负债管理倾向则是可能的解释;利率期限结构对净息差影响的短期效应与长期效应方向相反,本质上与资产负债利率重定价周期错位有关;期限错配程度较高的银行利率风险敏感性更小,并非是其利率风险主动管理能力较强的结果,反而暴露出我国银行业利率风险管理能力较差的现状;全国性银行相较地方性银行利率风险敏感性也更高,短期“船大难调头”特征明显。为牢牢守住我国金融体系不发生系统性风险底线,应当提高跨周期风险管理能力、重视资产质量和资产负债主动管理以及坚持稳健的货币政策不动摇。The rapid rise of Fed fund rate has caused backwardation of YTM curve, resulting to banking crisis in the US.Hence the interest rate risk management has raised highly attention. From the perspective of the microstructure of banks asset and liability allocation, the paper analyzes the NIM(net interest margin) variation with maturity mismatch and interest rate term structure. The paper constructs micro maturity mismatch index with manual collected data and examines the relationship among NIM, maturity mismatch and interest rate term structure with the China listed banks during 2015 to 2022. The results shows that NIM has an adverse relationship with the maturity mismatch, which is so called maturity mismatch mystery, and the explanation may be the credit risk mechanism and the intended asset and liability management mechanism. The interest rate term structure has a negative impact on NIM in the short run and in the long run, which is related to the asset and liability repricing gap. Banks with high maturity mismatch have a much lower interest risk exposure than those with low mismatch, not as a result of their strong active interest risk management ability, but as a result of overall low risk management ability. Those nationwide banks which have heavier asset and liability also have a much higher interest risk exposure. To forestall systemic financial risk, the paper suggests to enhance the cross cycle risk management ability, to emphasis on asset quality and active asset and liability management, and to insist on prudent monetary policy.

关 键 词：利率风险管理 净息差 资产负债期限错配 利率期限结构 

分 类 号：F832[经济管理—金融学]