【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。更多还原

【Abstract】 This paper selects Chinese listed commercial 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 coefficinets 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. The commmeicial banks should analyse and continuously inspect the impacts of the fluctuation of the exchange rate so that the adverse impacts can be converted into the beneficial ones.更多还原