利率衍生工具对银行净利息收益率决定的影响研究

A Study on Impacts of Interest Rate Derivatives on Determinants of Bank Net Interest Spread

本文在银行净利息收益率决定的做市商模型中加入利率衍生工具的影响,认为利率衍生工具对净利息收益率的影响主要是改变了银行纯利差对利率波动的敏感性,并改变了银行资产负债组合的利率风险暴露。检验了中国银行业利率衍生工具的使用对净利息收益率的影响,得出如下结论:其一,是否运用利率衍生工具显著影响银行纯利差,使用利率衍生工具的银行降低了对纯利差的要求;其二,利率衍生工具交易提高了调整后的利差,主要是由于利率衍生工具交易使银行保持较大的利率敏感性缺口。这揭示了利率衍生工具对中国银行业风险管理的影响,首先从风险意识上降低了对市场利率波动的敏感程度;其次,银行在资产负债管理中有可能保持一个较大的利率敏感性缺口,以求得较高的收益,从而增大银行的利率风险暴露。

This paper develops the original dealership model of the determinants of bank net interest spread by taking interest rate derivatives into account, believing that interest rate derivatives affect net interest spread by changing the sensitivity of pure spread to interest rate fluctuations and also the interest rate exposure of banking balance sheet. This study tests the impacts of interest rate derivatives used by banks in China on bank net interest spread. Conclusions are as followed： first, the use of interest rate derivatives significantly affects the pure spread and the banks using those interest rate derivatives decrease their pure spread demand; second, transactions of interest rate derivatives increase banks＇ adjusted spread, mainly because the interest rate derivatives trading enables banks to maintain a larger interest rate sensitivity gap. It reveals the impact of in- terest rate derivatives on risk management of China＇s commercial banks, firstly banks＇ sensitivity to interest rates volatility is reduced from the perspective of risk consciousness; secondly banks may hold a larger interest rate sensitivity gap in assets and liabilities management to get a higher risk premium which increases banks＇ interest rate risk exposure.