我国股份制商业银行利率敏感性实证分析

An Empirical Analysis of the Interest Rate Sensitivity of Joint-stock Commercial Banks in China

运用利率敏感性缺口对我国股份制商业银行的利率风险状况进行实证研究,分析我国股份制商业银行面临的利率风险。研究表明:我国股份制商业银行利率敏感性较强,利率变动幅度对银行的经营收益有明显的影响,在面临利率风险时常采取被动的防御型策略。因此股份制商业银行应提高缺口管理水平,完善资产负债结构平衡管理,加强对业务内容和产品的多元化发展,提升我国股份制商业银行应对利率风险的能力。

The paper did an empirical study on joint-stock commercial banks’ interest rate risks through interest rate sensitivity gap. Research shows that joint-stock commercial banks in China have relatively strong interest rate sensitivity, and fluctuation of interest rate has a remarkable impact on banks’ operating revenue and joint-stock commercial banks often passively take defensive actions against interest rate risks. Therefore, it is necessary for joint-stock commercial banks to improve governance of gap management and assets and liabilities balance management and strengthen diversified development of business content and financial products, so as to improve commercial banks’ capacity to deal with interest rate risks.