商业银行拓展外汇衍生品的动因研究——基于我国上市银行的面板数据分析被引量：3

A Study on Motivation of Foreign Exchange Derivatives Expanded by Commercial Banks: Based on the Panel Data Model of Chinese Listed Banks

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摘要随着人民币汇率形成机制改革的推进和外汇衍生品市场的发展,我国商业银行已经成为外汇衍生品交易的主要参与者。以我国上市银行为研究样本,利用2006-2012年的半年度数据进行实证分析后发现,汇率风险、盈利能力、成长能力以及资产规模对运用外汇衍生品均产生了显著的正效应,而资产质量、流动性水平、资本充足水平和人民币汇率变动则不是主要影响因素,此外资本充足水平的影响在大型国有银行与股份制银行之间存在差异性。 With the reform of Chinese currency regime and the development of the foreign exchange derivatives market,Chinese commercial banks have become the major players in the market.Based on the half-year data from 2006 to 2012 for Chinese listed banks,the paper finds that exchange rate risk,profitability,grow opportunity and the asset size have the significant positive effects on usage of foreign exchange derivatives,while the factors including asset quality,liquidity,capital adequacy level and the RMB exchange rate are not important.In addition,the effects of capital adequacy are different between the large state-owned banks and joint-stock banks.

作者斯文陈熹

机构地区上海社会科学院世界经济研究所南开大学商学院

出处《现代财经（天津财经大学学报）》 CSSCI 北大核心 2013年第5期60-71,共12页 Modern Finance and Economics：Journal of Tianjin University of Finance and Economics

关键词外汇衍生品商业银行汇率风险面板数据 foreign exchange derivatives commercial banks exchange rate risk panel data

分类号 F832.33 [经济管理—金融学]

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