本文選題：利率市場化　切入點：利率風(fēng)險　出處：《廣西大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：本論文旨在探討在利率市場化進(jìn)程中,對我國商業(yè)銀行面臨的利率風(fēng)險進(jìn)行研究及度量,研究我國商業(yè)銀行在利率頻繁波動下的資產(chǎn)負(fù)債平均持有期間及資產(chǎn)調(diào)整速度,并進(jìn)一步探討利率風(fēng)險對我國不同性質(zhì)商業(yè)銀行的盈利能力的影響。本文在研究組中采用量化的方法,先是利用2008年10月8日至2013年1月23日上海銀行業(yè)將同業(yè)拆放利率數(shù)據(jù),對我國商業(yè)銀行面臨的市場利率風(fēng)險進(jìn)行度量；然后對16家上市商業(yè)銀行分類為五大行、中小股份制商業(yè)銀行及城市商業(yè)銀行三大類,采用2007年一季度至2012年四季度滬深兩市上市公司季度報表,參考Flannery的部分調(diào)整模型,以多元線性規(guī)劃估計上海銀行業(yè)同業(yè)拆借利率波動對我國商業(yè)銀行盈利能力的影響程度。 實證結(jié)果顯示短期Shibor((1個月))的變動迅速且頻繁,存在比較高的市場有效性；而中長期Shibor(3個月至1年)變動緩慢且平穩(wěn),市場有效性不顯著。我國銀行的資產(chǎn)負(fù)債結(jié)構(gòu)為“借長貸短”,利率風(fēng)險對銀行的長短期盈利能力影響明顯,短期影響力度由高到低是中小股份制商業(yè)銀行、城市商業(yè)銀行、五大行。長期影響力度由高到低是城市商業(yè)銀行、五大行、中心股份制銀行。在實證研究滬深16家上市銀行的利率風(fēng)險對其盈利能力影響后,本文對我國商業(yè)銀行提出了各種優(yōu)化資產(chǎn)負(fù)債結(jié)構(gòu)的合理建議。
[Abstract]:The purpose of this paper is to study and measure the interest rate risk faced by Chinese commercial banks in the process of interest rate marketization, and to study the average holding period of assets and liabilities and the adjustment speed of assets under the frequent fluctuation of interest rate. The paper also discusses the influence of interest rate risk on the profitability of commercial banks of different natures in China. This paper uses the quantitative method in the study group, first using the data of interbank offered rate from October 8th 2008 to January 23rd 2013 in Shanghai banking industry. The paper measures the market interest rate risk faced by commercial banks in our country, then classifies 16 listed commercial banks into five categories, small and medium-sized joint-stock commercial banks and city commercial banks. Based on the quarterly statements of listed companies in Shanghai and Shenzhen from 2007 to the fourth quarter of 2012, and referring to the partial adjustment model of Flannery, this paper estimates the influence of the fluctuation of interbank offered rate on the profitability of commercial banks in China by multivariate linear programming. The empirical results show that the short-term Shiboran (1 month) changes rapidly and frequently, and has high market efficiency, while in the medium and long term Shiboran (3 months to 1 year) changes slowly and steadily. The efficiency of the market is not obvious. The structure of assets and liabilities of Chinese banks is "borrowing long loans short", the interest rate risk has an obvious impact on the banks' profitability in the long and short term, and the short-term effects are small and medium-sized joint-stock commercial banks and urban commercial banks. Five big banks. The long-term impact from high to low is the city commercial banks, the five banks, the central joint-stock banks. After an empirical study of the impact of interest rate risk on profitability of 16 listed banks in Shanghai and Shenzhen, This paper puts forward some reasonable suggestions on optimizing the structure of assets and liabilities for Chinese commercial banks.
【學(xué)位授予單位】：廣西大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.33

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