利率波动对我国商业银行绩效影响研究-金融学专业论文.docxVIP

摘 要 摘 要 利率风险的评估、计量与监控是商业银行市场风险管理的重要内容。科学探讨我国 商业银行资产与负债平均持有期间、调整速度及可能造成的利率风险的程度，并进一步 观察分析市场利率波动对不同性质商业银行收益的影响，对提升我国商业银行资产负债 管理水平，实现利率风险管理科学决策有重要意义。 本文选取A股 11 家上市商业银行作为样本，将其分为大型商业银行和股份制商业 银行两类。研究期间从 2007 年 3 季度至 2011年3 季度，选取 CCER 经济经济金融数据 库中商业银行损益表和资产负债表的数据，采用 Flannery 的部分调整模型对我国商业 银行的利率风险管理进行了长时间窗口实证分析。通过研究，得出如下结论： 大型商业银行和股份制商业银行的资产复制啊的平均到期日和调整速度都有缺口， 利率波动时将面临风险。两类银行的资产负债平均到期日都为“借短贷长”，利率上升 时，两类银行的长短期净收益都将会上升，反之都会下降。利率波动对大型商业银行的 净收益影响较大而对股份制商业银行的净收益影响较小。 文章在最后分别从改善商业银行资产负债管理，加快金融创新步伐，防范流动性风 险等方面提出了一些建议。 关键词 利率风险 商业银行 资产负债管理 缺口管理 I Abstract Abstract The measurement, valuation, management of interest rate risk is the important content of market risk of the banks. The study about the term character of asset and liability, adjustment speed and interest rate risk, further study the interest rate fluctuations influence on commercial bank of different characters, is very important for the asset and liability management and interest rate risk management. Empirical target of this study is 11 commercial banks. Will it into state-owned commercial Banks and joint-stock commercial bank two kinds. The study period from the third quarter of 2007 to the third quarter of 2011, using CCERDATE’s profit and loss and the balance sheet data, using the Flannery part of the adjustment model of our countrys commercial bank interest rate risk management conducted a long time window empirical analysis. Through the study, the conclusions are as follows: the two types of commercial bank assets and liabilities of the average value adjustment speed and the gap between the average maturity date is, face interest rates fluctuate will appear the interest rate risk. One of the joint-stock commercial bank assets and liabilities adjust speed is greater than the state-owned commercial Banks; In the assets and liabilities of the average maturity date, the performance for the borrow short loan long; In earnings, two types of bank regardless of short and long, as long as interest rates rise, gains will rise