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| 利率衍生品对银行信贷的影响实证研究 |
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斯 文1
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上海社会科学院 世界经济研究所，上海
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| 摘要: |
| 随着我国利率衍生品市场的快速发展，其对银行信贷的影响日益凸现。对我国16家上市银行2006—2011年的数据进行分析，结果表明，利率衍生品的使用对传统信贷活动产生了显著的替代效应，银行持有利率衍生品名义本金占总资产比重提高1%会导致信贷下降0.4%，而持有利率衍生品名义本金占信贷总额的比重提高1%则使信贷下降0.26%。利率衍生品对银行传统信贷业务的替代效应有利于优化我国的金融结构，进而推进金融体系的健康发展。因此，应积极发展我国利率衍生品市场，并可以运用利率衍生品来完善货币政策。 |
| 关键词: 利率衍生品 衍生品市场 银行信贷 货币政策 信贷结构 利率风险管理 利率互换 利率期权 利率期货 国债期货 远期利率协议 |
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| Empirical Research on Interest-rate-Derivatives’ Effects on Bank Credit |
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SI Wen
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| Abstract: |
| With the rapid development of interest-rate derivatives market in China， the impact of this market on bank credit is increasingly apparent. Based on panel data of 16 listed commercial banks from 2006 to 2011，analysis results show that the using of interest-rate derivatives produces significant substitution effect on traditional credit activities，that the ratio of the nominal capital of interest-rate derivatives held by banks to total assets increases 1 %，then the credit decreases 0.4%，however，the ratio of the nominal capital of interest-rate derivatives held to total credit increases 1%，credit decreases 0.26%. The substitution effect of interest-rate derivatives on traditional credit business of banks is conducive to optimizing China’s financial structure and further pushes forward healthy development of financial system. Thus，China should actively develop interest-rate derivatives market of China and use interest-rate derivatives to perfect monetary policy. |
| Key words: interest-rate derivatives derivatives market bank credit monetary policy credit structure interest-rate risk management interest-rate exchange interest-rate option interest-rate futures bond futures long-term interest-rate terms |
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