我国上市商业银行汇率风险的实证研究——基于2005年汇改以来数据的分析

An Empirical Study on Exchange Rate Risk of Listed Commercial Banks——An Analysis Based on Data after RMB Exchange Rate Regime Reform in 2005

中文关键词:  人民币汇率  上市商业银行  协整检验  Granger因果检验

英文关键词:RMB exchange rate  listed commercial banks  co-integration test  Granger causality test

中文摘要:

      随着人民币汇率形成机制改革的推进,汇率风险日益突出,人民币大幅升值对我国商业银行产生了重要影响。本文利用汇改以来我国若干上市商业银行的数据,从财务数据和银行股价的角度实证分析了汇率变动对银行的影响,发现人民币汇率变动对我国国有商业银行产生了严重的负面影响,而股份制银行影响相对较小,但人民币汇率与股份制银行股价并不存在明确的协整关系和Granger因果关系。

英文摘要:

      With the reform of RMB exchange rate regime, the risk of exchange rate has been increasingly prominent and the huge appreciation of RMB has a great influence on China’s commercial banks. Based on the data of some listed banks after the reform of RMB exchange rate regime in 2005, this paper empirically studies the impact of the RMB appreciation upon Chinese banks from the perspectives of financial data and stock prices of listed banks. It finds that the changes of RMB exchange rate have a seriously adverse effect on the state-owned banks while the joint-stock banks are comparatively less influenced. Meanwhile, there is no clear relationship of co-integration and Granger causality between RMB exchange rate and stock prices of joint-stock banks.