本文選題：商業(yè)銀行 + 外匯風(fēng)險(xiǎn)敞口�。� 參考：《復(fù)旦大學(xué)》2014年碩士論文

【摘要】：隨著人民幣匯率制度改革的深化,匯率市場(chǎng)化程度也逐步加快。2014年3月16日,央行對(duì)人民幣匯率波動(dòng)幅度進(jìn)行第三次擴(kuò)大。人民幣兌美元匯率的波動(dòng)幅度由1%擴(kuò)大為2%。與此同時(shí),現(xiàn)匯買賣價(jià)與中間價(jià)之差由2%擴(kuò)大為3%。在人民幣匯率波動(dòng)幅度不斷擴(kuò)大的背景下,商業(yè)銀行的外匯敞口風(fēng)險(xiǎn)也將發(fā)生變化。而商業(yè)銀行的外匯敞口風(fēng)險(xiǎn)可能會(huì)受到多種因素的影響。對(duì)這些影響因素的考察和分析有助于對(duì)外匯敞口風(fēng)險(xiǎn)的控制和管理。本文基于外匯風(fēng)險(xiǎn)敞口角度對(duì)我國(guó)商業(yè)銀行外匯風(fēng)險(xiǎn)的影響因素進(jìn)行了實(shí)證分析。對(duì)來(lái)自銀行運(yùn)營(yíng)指標(biāo)、宏觀經(jīng)濟(jì)變量以及銀行屬性等因素進(jìn)行了分析。同時(shí),著重分析了銀行間外匯市場(chǎng)做市商制度是否會(huì)對(duì)商業(yè)銀行的外匯風(fēng)險(xiǎn)產(chǎn)生影響,以及做市商這個(gè)變量是否會(huì)同其他變量交叉影響到商業(yè)銀行的外匯風(fēng)險(xiǎn)。本文選取了我國(guó)上市的16家商業(yè)銀行2007年至2012年的年度數(shù)據(jù)進(jìn)行研究。根據(jù)選取的樣本和變量的特點(diǎn),采用面板數(shù)據(jù)模型對(duì)提出的研究假設(shè)進(jìn)行實(shí)證檢驗(yàn)。初步的研究結(jié)果表明,做市商這個(gè)變量對(duì)商業(yè)銀行的外匯風(fēng)險(xiǎn)產(chǎn)生了影響,做市商銀行比非做市商銀行存在更大的外匯敞口風(fēng)險(xiǎn)。通過(guò)變量交叉影響因素的設(shè)定,我們發(fā)現(xiàn),做市商銀行可以通過(guò)銀行資產(chǎn)規(guī)模的管理來(lái)適度降低外匯敞口風(fēng)險(xiǎn)；而對(duì)于匯率變動(dòng)的敏感度方面,做市商銀行與非做市商銀行并不存在顯著的差異。同時(shí),初步研究結(jié)果表明,商業(yè)銀行外匯風(fēng)險(xiǎn)與資產(chǎn)規(guī)模,資產(chǎn)收益率、非利息收入比例存在顯著的正相關(guān)關(guān)系,與撥備覆蓋率、資產(chǎn)流動(dòng)性比例存在顯著的負(fù)相關(guān)關(guān)系。
[Abstract]:With the deepening of the reform of the RMB exchange rate regime, the marketization of the exchange rate has gradually accelerated. On March 16, 2014, the central bank expanded the volatility of the RMB exchange rate for the third time. The exchange rate of the RMB against the dollar fluctuated from 1% to 2%. At the same time, the difference between the selling price and the intermediate price widened from 2% to 3%. In the context of the increasing volatility of the RMB exchange rate, commercial banks' foreign exchange exposure risk will also change. The foreign exchange exposure risk of commercial banks may be affected by a variety of factors. The investigation and analysis of these factors will help to control and manage the risk of foreign exchange exposure. This paper empirically analyzes the influencing factors of foreign exchange risk of Chinese commercial banks based on foreign exchange exposure. This paper analyzes the factors such as bank operation index, macro-economic variables and bank attributes. At the same time, the paper analyzes whether the market maker system in the interbank foreign exchange market will have an impact on the foreign exchange risk of commercial banks, and whether the market maker will cross with other variables to influence the foreign exchange risk of commercial banks. This paper studies the annual data of 16 commercial banks listed in China from 2007 to 2012. According to the characteristics of the selected samples and variables, the panel data model is used to test the proposed research hypothesis. The preliminary results show that the variable of market maker has an impact on the foreign exchange risk of commercial banks. Market makers' banks have more foreign exchange exposure risks than non-market makers' banks. Through the setting of variable cross influence factors, we find that market maker banks can appropriately reduce the risk of foreign exchange exposure through the management of bank asset size, and the sensitivity of exchange rate changes, There is no significant difference between market maker bank and non-market maker bank. At the same time, the preliminary results show that there is a significant positive correlation between foreign exchange risk and asset size, asset return rate, non-interest income ratio, and a significant negative correlation between foreign exchange risk and reserve coverage, asset liquidity ratio.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.6

【參考文獻(xiàn)】

相關(guān)期刊論文 前2條

1 吳雪峰;王懷;;淺談我國(guó)商業(yè)銀行外匯風(fēng)險(xiǎn)敞口的計(jì)量[J];時(shí)代金融;2007年10期

2 任夢(mèng);;國(guó)有銀行與股份制銀行競(jìng)爭(zhēng)力的比較分析[J];時(shí)代金融;2012年17期

，

本文編號(hào)：1898678