我國商業(yè)銀行匯率風險實證研究
發(fā)布時間：2018-08-03 10:23
【摘要】：長期以來，我國實行單一盯住美元的匯率制度，人民幣匯率基本穩(wěn)定，我國的商業(yè)銀行并沒有重視匯率變動可能帶來的風險，匯率風險管理水平落后。2005年7月21日起，我國開始實行以市場供求為基礎(chǔ)、參考一籃子貨幣進行調(diào)節(jié)、有管理的浮動匯率制度。在匯率市場化的條件下，人民幣匯率波動幅度加大，不確定性增強，給金融機構(gòu)在風險防范能力上提出了更高的要求，作為外匯市場主要參與者的商業(yè)銀行所面臨的匯率風險日益凸顯。與此同時，在經(jīng)濟全球化的背景下，隨著我國經(jīng)濟逐漸融入世界經(jīng)濟整體之中以及匯率管理體制和金融體制改革的日益深入，我國商業(yè)銀行的外匯業(yè)務(wù)飛速增長，所面臨的匯率風險越來越大。因此，對于我國商業(yè)銀行的穩(wěn)定發(fā)展而言，匯率風險管理越來越重要，加強匯率風險管理刻不容緩。 本文在學(xué)習和借鑒國內(nèi)外相關(guān)文獻的基礎(chǔ)上，運用實證分析與規(guī)范分析相結(jié)合、定量分析與定性分析相結(jié)合的方法，對我國商業(yè)銀行所面臨的匯率風險問題進行了研究。首先，介紹了匯率風險的基本理論，對匯率風險進行了直觀描述，并分析了我國商業(yè)銀行匯率風險計量與管理的現(xiàn)狀，從理論上對匯率波動對商業(yè)銀行經(jīng)營管理的影響進行了闡述。其次，在理論分析的基礎(chǔ)上，重點采用實證研究方法對我國商業(yè)銀行的匯率風險程度進行計量，實證研究主要分為三部分，第一部分運用外匯敞口分析法測量九家上市商業(yè)銀行的敞口風險；第二部分以2005年7月25日～2011年6月30日美元、歐元、港幣和日元兌人民幣的每日匯率中間價為樣本數(shù)據(jù)，運用GARCH-VaR模型預(yù)測風險值，計算單項外匯資產(chǎn)以及資產(chǎn)組合的匯率風險值，分析不同資產(chǎn)貨幣結(jié)構(gòu)下，資產(chǎn)組合風險值的變動情況；第三部分運用壓力測試法構(gòu)建情景，對我國商業(yè)銀行所能承受的匯率變動情況進行敏感性分析，，為VaR法提供有力補充。解決了作為匯率風險管理核心和基礎(chǔ)的風險計量問題。實證研究結(jié)果表明，無論是單項資產(chǎn)還是資產(chǎn)組合，各商業(yè)銀行的匯率風險值在2005～2010年期間呈現(xiàn)出升高—降低—升高的趨勢。匯率風險的大小取決于匯率波動、外匯敞口凈額以及各幣種外匯敞口在總敞口中所占比重。并且通過實證驗證了模型及方法選擇的適用性和準確性。我國商業(yè)銀行在管理匯率風險時，應(yīng)采取GARCH-VaR模型為主，敞口分析及壓力測試為輔的計量方法，有效地管理和控制匯率風險。最后根據(jù)前文的分析結(jié)果，針對目前存在的不足，提出了完善我國商業(yè)銀行匯率風險管理的對策措施。
[Abstract]:For a long time, China has implemented a single peg to the US dollar exchange rate system, the RMB exchange rate is basically stable, our commercial banks have not attached importance to the risks that the exchange rate changes may bring, and the level of exchange rate risk management has lagged behind. Since July 21, 2005, the exchange rate risk management level has lagged behind. China began to implement a managed floating exchange rate system based on market supply and demand with reference to a basket of currencies. Under the condition of marketization of exchange rate, RMB exchange rate fluctuates greatly and uncertainty increases, which puts forward higher requirements on risk prevention ability of financial institutions. As the main participants in the foreign exchange market, commercial banks are facing increasingly prominent exchange rate risks. At the same time, under the background of economic globalization, with the gradual integration of China's economy into the whole world economy and the deepening reform of the exchange rate management system and financial system, the foreign exchange business of commercial banks in China is growing rapidly. The exchange rate risk is getting bigger and bigger. Therefore, exchange rate risk management is becoming more and more important for the stable development of commercial banks in China, so it is urgent to strengthen exchange rate risk management. On the basis of studying and drawing lessons from relevant literature at home and abroad, this paper studies the problem of exchange rate risk faced by commercial banks in China by combining empirical analysis with normative analysis and quantitative analysis with qualitative analysis. First of all, it introduces the basic theory of exchange rate risk, describes the exchange rate risk intuitively, and analyzes the current situation of the measurement and management of exchange rate risk in Chinese commercial banks. This paper expounds the influence of exchange rate fluctuation on the management of commercial banks in theory. Secondly, on the basis of theoretical analysis, the empirical research method is used to measure the exchange rate risk of commercial banks in China. The empirical research is divided into three parts. The first part uses the foreign exchange exposure analysis method to measure the exposure risk of the nine listed commercial banks. The second part is based on the sample data of the daily exchange rates of US $, euro, Hong Kong dollar and Japanese yen against RMB from July 25, 2005 to June 30, 2011. Using GARCH-VaR model to predict the risk value, calculate the exchange rate risk value of individual foreign exchange assets and asset portfolio, analyze the change of portfolio risk value under different asset monetary structure. The sensitivity analysis of the exchange rate fluctuation can be carried out by commercial banks in China, which provides a powerful supplement to the VaR method. It solves the problem of risk measurement as the core and foundation of exchange rate risk management. The empirical results show that the exchange rate risk values of commercial banks show the trend of rising, decreasing and increasing from 2005 to 2010, regardless of individual assets or portfolio. The magnitude of exchange rate risk depends on exchange rate fluctuations, net foreign exchange exposure and the proportion of foreign currency exposure in the total exposure. The applicability and accuracy of model and method selection are verified by empirical analysis. In managing exchange rate risk, commercial banks in China should adopt the measurement method of GARCH-VaR model, supplemented by exposure analysis and stress test, to manage and control the exchange rate risk effectively. Finally, according to the above analysis results, the paper puts forward the countermeasures to perfect the exchange rate risk management of commercial banks in China.
【學(xué)位授予單位】：南京航空航天大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.6
本文編號：2161444
[Abstract]:For a long time, China has implemented a single peg to the US dollar exchange rate system, the RMB exchange rate is basically stable, our commercial banks have not attached importance to the risks that the exchange rate changes may bring, and the level of exchange rate risk management has lagged behind. Since July 21, 2005, the exchange rate risk management level has lagged behind. China began to implement a managed floating exchange rate system based on market supply and demand with reference to a basket of currencies. Under the condition of marketization of exchange rate, RMB exchange rate fluctuates greatly and uncertainty increases, which puts forward higher requirements on risk prevention ability of financial institutions. As the main participants in the foreign exchange market, commercial banks are facing increasingly prominent exchange rate risks. At the same time, under the background of economic globalization, with the gradual integration of China's economy into the whole world economy and the deepening reform of the exchange rate management system and financial system, the foreign exchange business of commercial banks in China is growing rapidly. The exchange rate risk is getting bigger and bigger. Therefore, exchange rate risk management is becoming more and more important for the stable development of commercial banks in China, so it is urgent to strengthen exchange rate risk management. On the basis of studying and drawing lessons from relevant literature at home and abroad, this paper studies the problem of exchange rate risk faced by commercial banks in China by combining empirical analysis with normative analysis and quantitative analysis with qualitative analysis. First of all, it introduces the basic theory of exchange rate risk, describes the exchange rate risk intuitively, and analyzes the current situation of the measurement and management of exchange rate risk in Chinese commercial banks. This paper expounds the influence of exchange rate fluctuation on the management of commercial banks in theory. Secondly, on the basis of theoretical analysis, the empirical research method is used to measure the exchange rate risk of commercial banks in China. The empirical research is divided into three parts. The first part uses the foreign exchange exposure analysis method to measure the exposure risk of the nine listed commercial banks. The second part is based on the sample data of the daily exchange rates of US $, euro, Hong Kong dollar and Japanese yen against RMB from July 25, 2005 to June 30, 2011. Using GARCH-VaR model to predict the risk value, calculate the exchange rate risk value of individual foreign exchange assets and asset portfolio, analyze the change of portfolio risk value under different asset monetary structure. The sensitivity analysis of the exchange rate fluctuation can be carried out by commercial banks in China, which provides a powerful supplement to the VaR method. It solves the problem of risk measurement as the core and foundation of exchange rate risk management. The empirical results show that the exchange rate risk values of commercial banks show the trend of rising, decreasing and increasing from 2005 to 2010, regardless of individual assets or portfolio. The magnitude of exchange rate risk depends on exchange rate fluctuations, net foreign exchange exposure and the proportion of foreign currency exposure in the total exposure. The applicability and accuracy of model and method selection are verified by empirical analysis. In managing exchange rate risk, commercial banks in China should adopt the measurement method of GARCH-VaR model, supplemented by exposure analysis and stress test, to manage and control the exchange rate risk effectively. Finally, according to the above analysis results, the paper puts forward the countermeasures to perfect the exchange rate risk management of commercial banks in China.
【學(xué)位授予單位】：南京航空航天大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.6
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