汇率、利率风险与商业银行衍生品运用研究——基于中国16家上市银行的经验证据

Exchange Rate and Interest Rate Risk and Derivatives Usage of Commercial Banks——The Empirical Evidence from 16 listed banks in China

以2008-2015年中国16家上市商业银行超额收益率和衍生品持有头寸为样本,实证检验了上市商业银行超额收益率与汇率、利率变动之间的关系,以及持有汇率、利率衍生品规避风险的效果。研究发现,汇率风险和利率风险都显著影响商业银行的超额收益率,且汇率风险比利率风险影响更大;衍生品持有头寸的增加有助于降低银行的汇率和利率风险,从而提升银行的超额收益率。这表明,衍生品为银行对冲风险提供了较好的机会。

Based on the excessive return rate and the derivatives usage of 16 listed commercial bank of China between 2008 and 2015, we study if exchange rate and interest rate change can significantly affect the commercial banks＇ return and if derivatives usage can hedge the risk. The empirical results indicate that exchange rate and interest rate rising can make bank＇s return fall, exchange rate risk is more serious than interest rate risk, and by using derivatives the bank can hedge and reduce the risk, improve the excess return rate of banks, also improve the risk exposure of banks.