文档介绍：金融论坛
2012 年第 11 期(总第 203 期)
多边汇率波动与中国商业银行外汇风险暴露
段军山
魏友兰
[摘
要]本文选取中国上市商业银行为分析样本,运用面板数据模型和资本市场法,对中国银行
业的整体外汇风险暴露进行定量分析。研究结果表明:中国银行业整体对当期人民币兑美元汇率不存
在显著的外汇风险暴露,但在考虑汇率滞后因素之后,中国银行业整体对滞后一期、四期和五期的人
民币兑美元汇率存在显著的外汇风险暴露;人民币兑日元当期、滞后一期及滞后两期的外汇风险暴露
系数均为负数;人民币兑欧元的汇率波动对中国银行业整体价值的影响远小于美元。商业银行对人民
币汇率波动的影响进行分析和追踪观察,可以将其不利影响转化为有利影响。
[关键词]汇率波动;外汇风险;外汇风险暴露;商业银行;资本市场法
[文章编号]1009 - 9190(2012)11 - 0038 - 09
[中图分类号]F831
[文献标志码]A
Multilateral Fluctuations of Exchange Rate and Risk Exposure of Foreign Exchange of
mercial Banks
DUAN Jun-shan
WEI You-lan
[Abstract]This paper selects Chinese mercial banks as analytical samples and uses panel data model and capital
market method to present a quantitative analysis of the risk exposure of the foreign exchange of Chinese banking sector as a whole.
The results show that Chinese banking sector as a whole has no significant risk exposure to the exchange rate of RMB against U S
dollar in the current period, but it has a significant risk exposure to the exchange rate in the lagged one, four and five periods if
the lagging is considered. The s of the risk exposure to the exchange rate of RMB against Yen in the current, lagged
one and two periods are negative; the fluctuation of the exchange rate of RMB against Euro has a much less impact on the value
of Chinese banking sector as a whole than it against the U S dollar. mmeicial b