资产负债久期错配与利率衍生品使用——基于中国上市商业银行的经验证据

Duration Mismatch and Interest Rate Derivatives Usage——Empirical Evidence Based on Chinese Listed Commercial Banks

由于商业银行业务的特殊性,其资产与负债之间往往会出现久期错配,从而在利率发生波动时形成利率风险,国外研究表明久期错配对利率衍生品使用存在正向拉动作用。通过对中国16家上市商业银行2006—2012年的半年度数据进行实证分析后却发现,久期错配对利率衍生品的影响为负。进一步的研究显示,这种负效应的规模及显著性水平均与错配的期限结构存在正相关性。基于实证结果并结合中国金融体系的现状,提出了相关政策建议。

Due to the particularity of commercial banking business, there is the duration mismatch between assets and liabilities which results in interest rate risk with the volatility of interest rates. Foreign studies demonstrate that duration mismatch has the positive effect on interest rate derivatives usage. Based on the half - year data from 2006 to 2012 for 16 listed commercial banks, this paper finds that the effect is negative. In the further, it finds there is the positive correlation between the maturity and the effect in size and significance. Finally, it puts forward the relevant policy recommendations.