本文通过经验总结、文献梳理与理论归纳，认为我国利率风险整体可控，但
在区域性层面，以某省城市商业银行为例，其在某种程度上利率波动对（利率敏
感性）资产负债具有负向溢出效应，即利率大幅波动期间各城市商业银行没有做
到有效地（利率敏感性）资产负债管理，间接表明利率风险管理的效果不佳，同
时，负债水平的高企、盈利空间的收窄、自营资本获利的低效等均意味着利率风
险发生概率的增加，而目前某省四家城市商业银行利率风险管理的效果不佳，显
然难以满足现实对其利率风险管理能力的要求；另一方面，发现某省城市商业银
行通过资产负债表及利润表进行利率风险分散、转移、规避等能力十分有限，整
体表现为利率风险抵御能力的不足，在行业内部处于国内城市商业银行的食物链
底端。最后，在此基础上，提出某省城市商业银行在利率市场化接近完成后如何
提升自身风险防范与风险抵御的具体政策与建议。
关键词：利率市场化；某省城商行；利率风险管理西安建筑科技大学硕士学位论文
Interest rate risk management study of urban commercial
bank in A provinces
Professional:Industrial and commercial management
A graduate student:zhangyan
The insturctor:Wangshujian
ABSTRACT
The tone of the reform of economic system is the main theme Chinese of economic
development. The financial system is also undergoing profound changes and structural
adjustment, and the interest rate market is an important aspect of financial reform.
Along with the process of China&39;s interest rate market near the end, and China&39;s interest
rate marketization is nearing completion. The interest rate market impact to the
traditional banking is great, especially based on traditional deposit and loan business of
commercial banks influence even more. Among these, Inner Mongolia city commercial
banks due to the late start, on a smaller scale, business category is limited, can use to
hedge interest rate risk financial instruments are less, which means that the impact of
interest rate risk on its impact is more intense, so, Inner Mongolia city commercial
banks more urgent need to strengthen the scientific and effective management of
interest rate risk.
This paper summarized the experience, theory and literature, believes that the
overall interest rate risk in China is in control, but at the regional level, to Inner
Mongolia City Commercial Bank as an example, think to some extent of fluctuations in
interest rates (interest rate sensitive assets and liabilities) has negative spillover effect,
that is, during the period of interest rate volatility, the commercial banks in different
cities do not have effective (interest rate sensitive) asset liability management, which
indirectly indicates that the effect of interest rate risk management is not good, at the
same time, the high level of debt, profit space narrowing, self capital profit inefficient
mean interest rate risk probability increases, and the four largest city commercial bank
interest rate risk management is ineffective, obviously difficult to meet the reality of the
interest rate risk management capacity requirements; On the other hand, found in Inner西安建筑科技大学硕士学位论文
Mongolia city commercial bank through the balance sheet and income statement of
interest rate risk dispersion, transfer, avoidance ability is limited, inadequate for the
overall performance of the interest rate risk resisting ability, within the industry in the
domestic industry of the city bank of the bottom of the food chain.Finally, based on this,
puts forward the Inner Mongolia autonomous region city commercial Banks after the
marketization of interest rates close to how to raise their risk prevention and risk of
specific policies and Suggestions.
Key words: Interest Rate Marketization; A provinces City Commercial Bank; Interest
Rate Risk Management西安建筑科技大学硕士学位论文
I
目录
1 绪论 ...... 1
1.1 研究背景及研究意义......... 1
1.1.1 研究背景 .......... 1
1.1.2 研究意义 .......... 2
1.2 国内外文献综述..... 3
1.2.1 国外研究综述 .. 4
1.2.2 国内研究综述 .. 5
1.3 研究内容及创新..... 7
1.3.1 论文研究对象及内容 .. 7
1.3.2 创新之处 .......... 9
2 相关理论基础11
2.1 利率市场化........... 11
2.1.1 利率市场化的内涵及必要性11
2.2 利率风险... 12
2.2.1 利率风险的定义和类型 ........ 12
2.2.2 利率风险管理的含义及管理方法 .... 14
2.2.3 利率风险的计量方法16
3 我国利率市场化进程与某省城市商业银行 利率风险管理现状 ... 18
3.1 利率市场化与某省城市商业银行利率风险管理 ........... 19
3.1.1 利率调整对商业银行的影响19
3.1.2 利率市场化对商业银行利率风险管理的影响 ........ 20
3.1.3 利率市场化对某省城市商业银行利率风险管理的影响 ... 21
3.2 某省城市商业银行利率风险抵御能力分析 ....... 26
3.2.1 从资产负债表分析某省城市商业银行的风险抵御能力 .... 27
3.2.2 从利润表分析某省城市商业银行的风险抵御能力28
4 某省城市商业银行利率风险传导机制实证分析 .... 31
4.1 变量选择与模型构建....... 31
4.1.1 利率风险管理核心关注指标与市场利率的相关性分析 .... 32
4.1.2Granger 因果关系的理论分析 ........... 33
4.2 GRANGER 因果关系检验 .. 35西安建筑科技大学硕士学位论文
II
4.2.1Granger 因果关系的平稳性检验........
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