摘要
实证研究商业银行利率衍生工具使用动机,经面板变系数回归分析发现:第一,3个月期限内,商业银行因在利率走势预测方面具有优势,会倾向于使用利率衍生工具作盈利交易;第二,3个月期限以上,商业银行倾向于使用利率衍生工具对冲中长期利率风险;第三,商业银行使用利率衍生工具的动机存在个体异质性;第四,商业银行使用利率衍生工具能降低自身系统性风险的贡献度。
This paper empirically studies the motivation of using interest rate derivatives in Chinese commercial banking.By using panel variable coefficient model,four aspects of conclusion were found.First,within three-month period,commercial banks are inclined to use interest rate derivatives for profitable transactions due to its advantage of forecasting short term interest rate.Second,beyond three-month period,commercial banks are inclined to use interest rate derivatives to hedge mediate and long-term interest rate risk.Third,there is individual heterogeneity in the motivation of commercial banks to use interest rate derivatives.Fourth,commercial banks use interest rate derivatives to reduce their systematic risk contribution.
作者
刘志洋
Liu Zhi-yang(School of Economics and Management,Northeast Normal University,Changchun,Jilin 130117)
出处
《贵州商学院学报》
2019年第4期24-35,共12页
Journal of Guizhou University Of Commerce
基金
教育部人文社会科学研究青年基金项目“货币政策与宏观审慎监管协同机制及有效性检验”(19YJC790088)
关键词
利率衍生工具
利率缺口
利率互换
系统性风险贡献度
Interest Rate Derivatives
Interest Rate Gap
Interest Rate Swap
Systematic Risk Contribution