利率衍生品对我国商业银行利率风险规避的实证研究

An empirical study on interest rate derivatives avoiding interest rate risk of commercial banks in China

以我国商业银行2010-2018年的相关数据为样本,研究了利率衍生品的使用程度对银行存在的利率风险的规避效应.研究表明,利率衍生品的使用对利率风险抑制效果显著.其中利率衍生品名义金额与总资产比值每提高1%,则利率风险缺口率降低0.009%;利率衍生品名义金额与总贷款的比值每提高1%,则利率风险缺口率降低0.004%.结果显示:利率衍生工具的使用,有利于降低利率敏感性敞口,从而降低银行面临的利率风险.

Taking the relevant data of Chinese commercial banks from 2010 to 2018 as samples,this paper empirically studies the evasive effect of the use of interest rate derivatives on the interest rate risk of banks.The research shows that the use of interest rate derivatives has a significant effect on the suppression of interest rate risk.When the ratio of nominal amount of interest rate derivatives to total assets increases by 1%,the rate of interest rate risk gap decreases by 0.009%,and when the ratio of nominal amount of interest rate derivatives to total loans increases by 1%,the rate of interest rate risk gap decreases by 0.004%.This result shows that the use of interest rate derivatives is conducive to reducing interest rate sensitivity exposures,thereby reducing the interest rate risk faced by banks.