金融衍生品交易降低了商业银行风险承担水平吗?——兼论利率类与外汇类金融衍生工具对不同商业银行的影响  

Does Trading Financial Derivatives Reduce the Risk Taking of Commercial Banks?:An Analysis of the Impact of Interest Rate and Foreign Exchange Derivatives on Different Types of Commercial Banks

作　　者：周圣杭 马先仙[2] ZHOU Shenghang;MA Xianxian(Sichuan University of Arts and Science;Chengdu University of Information Technology)

机构地区：[1]四川文理学院 [2]成都信息工程大学

出　　处：《金融经济》2024年第6期18-27,共10页Finance Economy

基　　金：国家统计局统计信息技术与数据挖掘重点开放实验室开放课题“我国商业银行利率风险管理效果测评及其原因研究”(SDL202101);达州市数学与金融研究中心资助项目“川东北地区居民消费升级与经济高质量发展研究”(SCMF202204)。

摘　　要：本文基于我国42家商业银行2012—2021年间的年度数据,通过建立非平衡面板数据模型,考察金融衍生品对商业银行风险承担水平的影响。结果表明,商业银行使用金融衍生工具能够显著降低其风险承担水平,这一结论通过了稳健性检验。本文还探究了商业银行交易不同类型衍生工具的异质性影响,发现利率类金融衍生工具显著降低了银行的风险承担水平,而外汇类金融衍生工具并未对银行的风险承担水平产生显著影响。进一步研究发现,金融衍生工具能够显著降低地方性银行的风险,而利率类金融衍生工具对全国性银行没有显著影响,外汇类金融衍生工具会显著增加全国性银行的风险。本文丰富了商业银行风险承担的理论研究,对商业银行金融衍生品的交易和监管有一定的借鉴意义。Based on annual data from 42 commercial banks in China from 2012 to 2021,this paper examines the impact of financial derivatives on the risk taking of commercial banks by establishing an unbalanced panel data model.The results show that the use of financial derivatives by commercial banks significantly reduces their risk taking,and this conclusion is robust.The paper also explores the differences in the impact of trading different types of derivatives.Interest rate derivatives significantly reduce the risk taking of banks,whereas foreign exchange derivatives do not have a significant impact on bank risk taking.Further research reveals that financial derivatives can significantly reduce the risk of regional banks,but have no significant impact on national banks.This study enriches the theoretical research on the risk taking of commercial banks and provides some reference for the trading and regulation of financial derivatives by commercial banks.

关 键 词：金融衍生品 风险承担 利率类衍生工具 外汇类衍生工具 

分 类 号：F832.5[经济管理—金融学]