商业银行外汇风险暴露及其影响因素

A Study of Chinese Commercial Banks' Foreign Exchange Risk Exposure and the Factors

本文以中国上市的14家商业银行为研究对象,计算未被预期到的汇率变动率及各家银行的外汇风险暴露系数,采用偏最小二乘回归法对影响商业银行外汇风险暴露水平的诸因素进行分析。结果表明,有7家银行有显著的外汇风险暴露系数,其中6家受到人民币升值的不利影响。对于受人民币升值不利影响的银行,现金流量能力越强,对汇率波动的敏感性越低;资产负债率越高、规模越大、成长性越高,对汇率波动的敏感性越高。相对于其他财务指标来说,资产负债率对银行的外汇风险暴露水平具有更大的影响力。

This paper calculates the unexpected change of exchange rate and the coefficients of foreign exchange risk exposure of Chinese 14 listed commercial banks and,with Partial Least-squares Regression,analyses the factors to impact commercial bank's foreign exchange risk exposure.The results show that 7 banks have significant exposure coefficients of foreign exchange risk,of which 6 are adversely impacted by RMB appreciation.When adversely affected by RMB appreciation,the banks that have stronger cash flow will have lower sensitivity to exchange rate fluctuations.On the contrary,the banks with higher asset-debt ratio,larger asset scale and more rapid growth will have higher sensitivity.Compared to other financial indicators,asset-debt ratio has more influence on foreign exchange risk exposure.