汇率、汇率衍生产品与银行业风险

Exchange Rate,Exchange Rate Derivatives and Banking Risks

汇率是重要的系统风险因子,随着中国"一带一路"大战略的实施以及人民币逐渐国际化,汇率风险必将成为影响银行业系统性风险的重要风险来源。商业银行包括国有大型商业银行、股份制商业银行和城市商业银行,以2018年在中国上市的商业银行为研究样本,从商业银行个体经营风险和系统性风险贡献度两个角度出发,根据GARCH-MIDAS模型将汇率波动率分解为长期波动率和短期波动率,运用马尔科夫机制转换模型研究人民币兑美元、欧元和日元汇率短期波动对中国商业银行的风险溢出效应,运用面板数据回归分析法研究商业银行利率衍生产品的使用对商业银行个体经营风险和系统性风险贡献度的影响。研究结果表明,汇率波动对商业银行风险的溢出效应具有异质性,且汇率衍生品的使用对商业银行风险的影响相对中性。从单个商业银行风险看,人民币兑美元汇率对国有大型商业银行个体经营风险的影响较大,人民币兑欧元汇率显著影响大多数城市商业银行的个体经营风险,人民币兑日元汇率并没有增加国有大型商业银行和城市商业银行的个体经营风险。从状态持续期看,国有大型商业银行处在高风险状态的时间长于股份制商业银行。从系统性风险贡献度角度看,人民币兑美元汇率短期波动率的上升显著增加了中国银行业的系统性风险,且城市商业银行的系统性风险贡献度受汇率波动的影响最大。而汇率衍生产品名义价值占总资产比值和衍生产品公允价值(无论是资产方还是负债方)占资产比值均不影响商业银行个体经营风险和系统性风险贡献度,说明衍生品的使用并没有增加银行业的风险。研究结果对人民币管理部门有一定启示,即应重视人民币兑美元短期波动率的影响,重视汇率波动对银行业系统性风险的影响,进一步发展汇率衍生产品市场。

Exchange rate is an important system risk factor.With the implementation of China’s"the Belt and Road Initiative"and the gradual internationalization of RMB,exchange rate risk will become an important source of risk affecting the systemic risks of the banking industry.This study takes 2018 listed in China large commercial banks as the research samples,from the two perspective of the commercial banks’individual business risk(PD)and systemic risk contribution(ΔCoVaR),based on the GARCH-MIDAS which exchange rate volatility is decomposed into long-term and short-term volatility,using the Markov mechanism conversion model to study the short-term volatility of the RMB-US dollar exchange rate,the short-term volatility of the RMB-Euro exchange rate,and the short-term volatility of the RMB-Yen exchange rate on the risk spillover effects of Chinese commercial banks.And the panel data regression analysis was used to study the impact of the use of interest rate derivatives on the contribution of commercial banks to individual business risks and systemic risks.The overall conclusion shows that the volatility of exchange rate has heterogeneity on the risk of commercial banks,and the use of exchange rate derivatives has a relatively neutral impact on the risk of commercial banks.From the point of individual risk of commercial banks,RMB against USD to the state-owned commercial banks’individual business risk is bigger,the influence of RMB against EUR,the management risk of the most significant impact on city commercial banks,and against YEN,RMB exchange rate did not increase the large state-owned commercial banks’and city commercial banks’operating risk;and in terms of state duration,large state-owned commercial banks have been in high-risk state for longer than that of joint-stock commercial banks.From the perspective of contribution to systemic risks,the increase of short-term volatility of RMB exchange rate against US dollar significantly increases the level of systemic risk of Chinese banking industry,and the contribution of urban commercial banks to systemic risk is most affected by the volatility of exchange rate.However,the ratio of the nominal value of exchange rate derivatives to the total assets and the fair value of derivatives(no matter either from the asset or the liability)to the assets will not affect the contribution of individual business risks and systematic risks of commercial banks,indicating that the use of derivatives does not increase the risks of the banking industry.Therefore,the policy recommendations in this study are:first,pay attention to the impact of RMB against the short-term volatility of the US dollar;second,pay attention to the impact of volatility of exchange rate on the systemic risks of the banking industry;third,develop the exchange rate derivatives market.