商业银行利率风险暴露影响货币政策传导吗——基于中国上市银行数据的实证检验被引量：3

Does Interest Rate Risk Exposure of Bank Affect the Conduction of Monetary Policy:the Evidence from Listed Banks in China

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摘要借短贷长的业务特征使得商业银行面临利率风险的暴露。在未对利率风险进行充分对冲的情况下,利率水平波动会对商业银行的贷款行为产生影响,即影响货币政策的传导。上市银行的财务数据表明我国上市银行普遍面临明显的利率风险,并且对冲不足。实证结果表明我国上市商业银行的利率敏感性缺口对其贷款行为有显著的解释力,当利率敏感性缺口为负时,利率水平上升将导致贷款增速的下降,即加强了货币政策效果。 The banks are exposed to interest rate risk because of the operating characteristics. Without perfect hedging, the volatility of interest rate affects the credits the banks issue. The fi- nancial statements show the listed banks in China all have obvious exposure to interest rate risk and the risk is not hedged perfectly. The empirical study shows the income gap being used to measure the banks＇ exposure to interest rate risk can predict the sensitivity of bank lending to interest rate.

作者罗宏锋

机构地区云南财经大学国际工商学院

出处《现代财经（天津财经大学学报）》 CSSCI 北大核心 2014年第12期13-24,共12页 Modern Finance and Economics：Journal of Tianjin University of Finance and Economics

关键词商业银行利率风险货币政策 commercial bank Interest Rate Risk Monetary Policy

分类号 F832.33 [经济管理—金融学]

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