金融衍生品使用动机及其对银行风险、价值的影响

Motivation for Using Financial Derivatives and Its Influence on the Risks and Value of of Banks

本文使用2007～2011年半年度衍生品相关经营数据,对中国上市银行衍生品使用动机及其对银行风险、价值的影响相关问题进行实证研究。结果表明,银行规模、资本充足率是银行衍生品使用的主要影响因素,银行规模假说、监管与市场约束假说得到验证。使用外汇衍生品将降低市场和汇率风险,而使用利率衍生品反而增加银行风险。规模大的银行使用衍生品面临的市场风险和利率风险暴露更多,具有风险管理意识的银行合理使用利率、汇率等衍生品能够降低银行利率、外汇风险等内生性风险,有利于银行价值提升,而外汇风险与银行价值呈内在互动因果关系。

Based on the semi-annual business data of derivatives during 2007-2011, this paper empirically analyzes the moti- vation of Chinese listed banks for using derivatives and its influence on the risks and value of banks. The results show that the size and capital adequacy ratio of bank are the main factors to influence the bank to use derivatives, so the bank size hypothe- sis, supervision and market discipline hypothesis are verified. Using exchange rate derivatives will reduce the market risks and exchange rate risks of banks, however, using interest rate derivatives will increase the risks of banks. The larger banks that use derivatives face more exposures to market risks and interest rate risks. Banks with risk management awareness can reduce their interest rate risks, exchange rate risks and other endogenous risks, and increase their values if they appropriately use interest rate derivatives, exchange rate derivatives and other derivatives. There is an inherent and casual interaction between foreign cur- rency risks and bank value.