银行账簿债券利率风险的显性暴露和隐性承担——兼论“左手换右手”式会计盈余管理模式  

Interest Rate Risk in Banking Book Bonds Consisting of Explicit Exposure and Implicit Taking:the Earning Management Technique of Moving from Left Hand to Right Hand

作　　者：吴隽豪 Wu Junhao

机构地区：[1]上海社会科学院应用经济研究所,200020 [2]浦发银行资产负债与财务管理部,200002

出　　处：《会计研究》2024年第11期48-62,共15页Accounting Research

摘　　要：防控风险不仅是金融工作的永恒主题,也是中国特色金融发展之路的内在要求。结合巴塞尔协议框架和我国会计准则,提出银行账簿债券利率风险的显性暴露和隐性承担,推演“左手换右手”式盈余管理模式,检验我国银行业2015—2022年的利率风险及盈余管理行为,研究发现:我国商业银行以被动接受利率风险为主,倾向于将显性暴露向隐性承担转移以减少利率波动对会计账面的影响,隐性承担与显性暴露比例约为4:1,两者具有替代效应,显性暴露产生的估值效应是冲击资本充足率的重要渠道;市场利率每向上一个标准差,全国性银行产生浮亏约为营业收入的30%,在流动性冲击下浮动亏损可能转化为实际亏损,务必引起警惕;银行账簿债券的盈余管理取决于短期利润与长期收益的平衡,商业银行虽然有相关动机,但现阶段却没有实质的盈余管理行为。对此,应健全利率风险管理体系并规范相关信息披露,打造具有中国特色的银行业会计制度,杜绝监管套利空间。To forestall risk is not only the eternal theme of financial work,but also the intrinsic requirements of the China's Financial Rise Road.Following the Basel framework and Chinese accounting rules,the paper gives concept of the explicit exposure and implicit taking for the interest rate risk in banking book bonds.Then the paper gives empirical evidence of the Chinese banking industry interest rate risk and earning management behavior between 2015 and 2022.The result shows that China banks suffer interest rate risk passively,and tend to move the explicit exposure to implicit taking in order to mitigate the impact of interest rate variation in balance sheet.The ratio of implicit taking and explicit exposure is about four to one,which substitute to each other.The valuation effect from explicit exposure is a crucial channel to influence capital adequacy ratio.While the interest rate rises one sigma,the unrealized loss is 30%of the revenue for nationwide banks in average.The unrealized loss would turn into realized loss once liquidity shock took place,worthing attention.The earning management behavior of moving from left hand to right hand balances the gains between long term and short term.Although banks have the motivation to do such a thing,they have not done so yet.In this regard,the paper gives suggestions as follows.The interest rate risk management and their information disclosure shall be enhanced,and the accounting rules with Chinese features shall be set up to eliminate regulatory arbitrage.

关 键 词：利率风险 银行账簿 银行会计 盈余管理 其他综合收益 

分 类 号：F830.42[经济管理—金融学] F832.3