摘要
本文基于中国16家上市银行2006-2012年间的半年度数据,通过建立非平衡面板数据模型,分别考察了整体衍生品和不同类型衍生品对银行风险承担的影响,探究了衍生品对银行事前风险和事后风险影响的差异性。实证结果显示,整体衍生品和按合约类型划分的单一衍生品均对银行风险承担产生了显著的正效应,并且从衍生品的信贷扩张效应视角阐述了内在的传导机制。研究还表明,与事前风险相比,整体衍生品、利率衍生品对银行事后风险的影响更大,而外汇衍生品则对事前与事后风险的作用趋同,同时从国内银行信贷结构的角度对此进行了分析。本文提出了金融监管部门应加强对银行衍生品业务的监管、银行管理层需重新审视衍生品业务发展战略等对策建议。
This paper investigates the effects of the total derivatives and the single derivatives usage on the bank risk- taking, and explores the difference between the effects of derivatives on pre - risk and post - risk taking. It makes the unbalanced panel data model with semi - annual data of 16 Chinese listed commercial banks in the period from 2006 to 2012. The findings reveal that not only the total derivatives but also the single derivatives have significantly positive effect on the bank risk - taking. The paper explains the intrinsic mechanism from the perspective of the credit expansion effect of derivatives. In addition, the empirical results show that both the total derivative and the interest rate derivatives have stronger influence on the bank＇ s post - risk taking than the pre - risk taking. Meanwhile,the foreign exchange derivatives have the similar effect on the post- risk and pre- risk taking. The paper analyzes the results from the structure of bank loans. Finally, it puts forward the relevant policy recommendations.
出处
《经济评论》
CSSCI
北大核心
2013年第5期131-138,共8页
Economic Review
关键词
衍生品
风险承担
商业银行
Derivatives
Risk Taking
Commercial Banks
