货币错配对商业银行盈利水平的影响

The Influence of Money Mismatch on the Profitability of Commercial Banks

本文在简化的资产负债表框架基础上,分析货币错配对商业银行净利润的影响,提出测度商业银行货币错配程度的新指标——BCMI。总体来看,在2005~2012年间,中国上市银行货币错配程度和汇兑损失都呈逐渐下降趋势;商业银行货币错配程度同其盈利能力之间存在明显的负相关关系。因此,建议推进人民币汇率改革时要充分考虑商业银行的承受能力;控制外汇风险敞口,加强商业银行货币错配的审慎性监管;加速发展资本市场,鼓励外汇金融衍生工具创新;废除不合理的外汇管理制度;鼓励人民币跨境交易,积极推进人民币国际化。

Based on the framework of simplified balance sheet, this paper analyzes the influence of money mismatch on the net profits of commercial banks, and proposes new indicators, BCMI, to measure the degree of the money mismatch of commercial banks. Overall, the degree of the money mismatch and exchange losses of Chinese listed banks gradually declined during 2005-2012; there is a significant negative correlation between the degree of money mismatch and the profitability of commercial banks. Therefore, it is recommended to give full consideration to the bearing capacity of commercial banks when the RMB exchange rate reform is promoted, control foreign exchange risk exposure, strengthen the prudential supervision of the money mismatch of commercial banks, accelerate the development of capital markets, encourage the innovation of the financial derivative instruments of foreign exchange, abolish the unreasonable management systems of foreign exchange, encourage cross-border RMB trade, and actively promote the internationalization of RMB.