【摘要】 本文系统考察了2007年金融危机以来,在中国大陆和香港两地上市的全部中国商业银行运营资料。根据我国商业银行的实际运营情况和两地金融市场金融时间序列数据的特点,对基于资本市场法的传统风险暴露模型进行了补充。并使用修正后的模型,对我国商业银行的汇率风险暴露进行了估计。实证结果显示,70%以上的中国商业银行汇率风险暴露显著,这表明中国商业银行普遍存在着较大的汇率风险。更多还原

【Abstract】 The paper has examined the commercial banks operating data listed in mainland and Hong Kong since the financial crisis.According to the actual operational situation of commercial banks and characteristics of two financial time series data,the traditional exposure models of the capital market law were carried out to add.Using the modified model,exchange rate exposure of commercial banks was estimated.More than 70% commercial bank’s exchange rate risk is obviously exposed.It indicated that commercial banks have the great exchange rate risk generally.更多还原