本文選題：匯率風(fēng)險 + 價格傳遞效應(yīng)��； 參考：《福州大學(xué)》2014年碩士論文

【摘要】：上世紀(jì)70年代,布雷頓森林體系崩潰,之后國際金融市場上匯率波動劇烈,匯率風(fēng)險加大,成為常見的金融風(fēng)險,威脅到國家的金融安全。商業(yè)銀行在眾多金融機(jī)構(gòu)中居于最重要的位置,所以商業(yè)銀行能否安全穩(wěn)定運(yùn)行關(guān)系著整個社會經(jīng)濟(jì)的發(fā)展。衡量商業(yè)銀行管理是否成熟的核心指標(biāo)之一就是商業(yè)銀行的匯率風(fēng)險管理能力。但是長期以來我國實(shí)行固定匯率制,商業(yè)銀行無需承擔(dān)匯率風(fēng)險,導(dǎo)致匯率風(fēng)險管理意識淡薄,缺少管理人才和管理手段,以及必要的匯率風(fēng)險管理經(jīng)驗(yàn)和技能。隨著我國經(jīng)濟(jì)的發(fā)展和金融改革的深入,特別是在2005年我國匯率體制改革以后,匯率市場化改革不斷推進(jìn),人民幣匯率波動幅度和波動頻率都增大,對商業(yè)銀行匯率風(fēng)險管理能力提出了更高的要求,良好的匯率風(fēng)險管理能力有利于商業(yè)銀行持續(xù)穩(wěn)健發(fā)展,也有利促進(jìn)經(jīng)濟(jì)平穩(wěn)健康運(yùn)行,因此,如何改善我國商業(yè)銀行匯率風(fēng)險的管理是一個亟待解決的問題。本文以商業(yè)銀行匯率風(fēng)險管理為主體,從匯率價格傳遞效應(yīng)的角度出發(fā),分析了我國商業(yè)銀行匯率風(fēng)險管理中存在的問題,并采用VaR模型測量商業(yè)銀行的匯率風(fēng)險,以中國銀行為例,從理論到實(shí)證系統(tǒng)分析我國商業(yè)銀行的匯率風(fēng)險,探討匯率風(fēng)險管理機(jī)制的構(gòu)建。本文分為六個部分來分析我國商業(yè)銀行匯率風(fēng)險的管理。首先,本文回顧了國內(nèi)外對匯率風(fēng)險的研究,包括匯率風(fēng)險的定義、管理方法、計(jì)量方法和VaR方法在國內(nèi)外的發(fā)展和應(yīng)用情況,并闡述了本文的寫作思路和結(jié)構(gòu)安排。第二部分是匯率價格傳遞效應(yīng)的分析,介紹了匯率價格傳遞效應(yīng)的定義,在此基礎(chǔ)之上,分析了不同的傳遞機(jī)制——直接價格傳遞效應(yīng)和間接價格傳遞效應(yīng),并對匯率價格傳遞效應(yīng)與匯率風(fēng)險管理之間的關(guān)系進(jìn)行了說明。第三部分是商業(yè)銀行的匯率風(fēng)險概述,包括匯率風(fēng)險的定義、分類以及目前我國商業(yè)銀行匯率風(fēng)險的現(xiàn)狀。第四部分重點(diǎn)分析了匯率價格傳遞效應(yīng)與商業(yè)銀行匯率風(fēng)險之間的聯(lián)系,第五部分是實(shí)證分析部分,概況的介紹了VaR模型,然后將VaR模型應(yīng)用到我國商業(yè)銀行匯率風(fēng)險計(jì)量中,并以中國銀行為例具體分析。最后一部分是政策建議部分,本文從商業(yè)銀行的外部金融環(huán)境和內(nèi)部控制兩方面提出改進(jìn)商業(yè)銀行匯率風(fēng)險管理的建議。
[Abstract]:After the Bretton Woods system collapsed in the 1970s, the exchange rate fluctuated sharply in the international financial market, and the exchange rate risk increased, which became the common financial risk and threatened the financial security of the country. The commercial bank occupies the most important position in many financial institutions, so whether the commercial bank can operate safely and stably is related to the development of the whole society and economy. One of the core indicators to measure the maturity of commercial bank management is the exchange rate risk management ability of commercial banks. However, for a long time, the fixed exchange rate system has been implemented in our country, and commercial banks do not have to bear exchange rate risk, which leads to a weak awareness of exchange rate risk management, a lack of management personnel and means, and necessary experience and skills in exchange rate risk management. With the development of China's economy and the deepening of financial reform, especially after the reform of China's exchange rate system in 2005, the market-oriented exchange rate reform continues to advance, and the fluctuation range and frequency of RMB exchange rate increase. Higher requirements have been put forward to the ability of commercial banks to manage exchange rate risks. Good exchange rate risk management capability is conducive to the sustained and steady development of commercial banks and to the smooth and healthy operation of the economy. How to improve the management of exchange rate risk of commercial banks is an urgent problem to be solved. Based on the exchange rate risk management of commercial banks, this paper analyzes the problems existing in the exchange rate risk management of Chinese commercial banks from the point of view of exchange rate price transfer effect, and measures the exchange rate risk of commercial banks by using VaR model. Taking Bank of China as an example, this paper systematically analyzes the exchange rate risk of Chinese commercial banks from theory to demonstration, and probes into the construction of exchange rate risk management mechanism. This paper is divided into six parts to analyze the exchange rate risk management of commercial banks in China. First of all, this paper reviews the research on exchange rate risk at home and abroad, including the definition of exchange rate risk, management method, measurement method and VaR method at home and abroad development and application, and describes the writing ideas and structural arrangements of this paper. The second part is the analysis of the exchange rate price transfer effect, and introduces the definition of the exchange rate price transfer effect. On the basis of this, the paper analyzes the different transmission mechanism-direct price transfer effect and indirect price transfer effect. The relationship between exchange rate price transfer effect and exchange rate risk management is explained. The third part is an overview of the exchange rate risk of commercial banks, including the definition, classification and current situation of exchange rate risk of commercial banks in China. The fourth part focuses on the analysis of the relationship between the exchange rate price transfer effect and the exchange rate risk of commercial banks. The fifth part is the empirical analysis part. The VaR model is introduced, and then the VaR model is applied to the measurement of the exchange rate risk of commercial banks in China. And take Bank of China as an example to analyze concretely. The last part is the policy suggestion part. This paper puts forward some suggestions to improve the exchange rate risk management of commercial banks from the aspects of external financial environment and internal control.
【學(xué)位授予單位】：福州大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.6

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