商业银行利率衍生工具使用:对冲风险还是赚取利润?

The Use of Interest Rate Derivatives in Chinese Commercial Banks: Hedging or Earning?

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.