不同类型商业银行利率风险的实证研究——基于银行间同业拆借利率视角

Empirical Research on Interest Rate Risk of Different Types of Commercial Banks——Form the Perspective of Interbank Offered Rate

本文通过建立基于三种不同分布下的GARCH族模型,计算银行间同业拆借头寸VaR值,定量分析了我国商业银行利率风险状况,并对不同类型商业银行利率风险的差异性进行了考察。实证结果表明,EGARCH-GED—VaR模型能够较好地估计银行间同业拆借利率风险。估计结果显示,我国银行间同业拆借利率风险较高且市场利率波动存在杠杆效应(TARCH);不同类型商业银行利率风险存在显著差异,国有商业银行和股份制商业银行利率风险最高,城商行次之,外资银行、农村商业银行和合作银行风险较低。

With GARCH models based on three different distributions and the calculation of the Value-at- Risk （VaR） value of interbank lending positions, this paper analyzes the interest rate risks of China＇s commercial banks quantitatively and the differences of interest rate risks among different types of commercial banks. The empirical result shows that： the EGARCH-GED-VaR model could better estimate the risk of interbank offered rates; interbank offered rates have a higher risk; interest rate fluctuations have leverage effects （TARCH）; different types of commercial banks have significant differences in interest rate risks. Among banks, the interest rate risks of the state-owned commercial banks and joint-stock commercial banks are higher; city commercial banks are next; foreign banks and rural commercial banks are the least.