银行股价对利率风险的敏感性——定量测度和影响因素

The Sensitivity of Bank Stock Price to Interest Rate Risk——Quantitative Measure and Influence Factors

本文基于经济价值视角研究中国上市银行的利率风险问题,动态测度并分析银行股价对国债收益率曲线变动的敏感性,实证检验影响银行利率风险敞口的微观因素。研究发现:(1)样本期间银行业股价对利率波动显著敏感。国债收益率期限结构的斜率因素对银行股价具有正向影响,水平因素和曲率因素对银行股价的影响存在年度差异性。(2)期限错配增加流动性风险,也放大银行所面临的利率风险敞口。(3)银行规模、贷款占比等指标上升时,会扩大银行利率风险敞口;非利息收入占比的提高,则会缩小银行的利率风险敞口。

From the perspective of economic value,this paper studies the interest rate risk of listed banks in China,measures and analyzes the sensitivity of bank stock price to the shifting yield curve of government bond,and empirically tests the micro factors influencing the risk exposure of bank interest rate.It is found that:(1)Bank stock price reacts sensitively to interest rate volatility.The impact of term structure of government bond yield on bank price is positive through the slope factor,and is time-varying through the level factor and the curvature factor.(2)Maturity mismatch increases banks’liquidity risk and interest rate risk exposure.(3)For commercial banks,the increasing bank size and loan ratio would increase interest rate risk exposure,while the increasing non-interest income would reduce the interest rate risk exposure.