我国商业银行使用利率衍生品的动因研究--基于资产负债期限错配视角的经验证据

Determinants of Interest Rate Derivatives Usage in Chinese Commercial Banks:Evidence on Assets and Liabilities Maturity Mismatch Perspective

国外研究表明商业银行资产负债期限错配对利率衍生品使用存在正向影响。然而,以我国16家上市商业银行作为实证样本,分析了2006-2012年共计179组半年度数据后却发现,无论是整体资产负债的期限错配还是不同期限结构的期限错配均对利率衍生品使用产生了负效应,进一步的研究还显示出这种负效应无论在规模上还是显著性水平上均与期限错配的期限结构存在正相关性,本文尝试从我国特有的金融体系出发对实证结果进行解释,最后也提出了相关的政策建议。

Foreign studies demonstrate that maturity mismatch between assets and liabilities has the positive effect on interest rate derivatives usage. However, based on 179 half - year data observations from 2006 to 2012 for 16 listed commercial banks in China, this paper finds that the effect is negative for both the whole assets ＆ liabilities and the different terms assets ＆ liabilities. In the further, it finds there is the positive correlation between the maturity and the effect in size and significance. It tries to make the explanations from the Chinese special financial system. Finally, it puts forward the relevant policy recommendations.