| 摘要: |
| 本文从研究商业银行资产负债结构入手，通过面板模型和系统GMM方法检验金融市场利率对商业银行盈利能力的影响。研究发现：利率市场化以后，商业银行的生息率与代表中长期资金成本的国债收益率显著相关，商业银行的付息率与代表短期资金成本的质押回购利率显著相关，这与商业银行资产端久期长、负债端久期短的特征相吻合。建议商业银行通过提高资金利用率、完善定价模式、实现差别化定价等方式应对市场利率波动的冲击。 |
| 关键词: 金融市场；利率；商业银行；生息率；付息率 |
| DOI： |
| 分类号:F832.3 |
| 基金项目: |
|
| Interest Rate Liberalization、Interest Rate Fluctuation and Profitability of Commercial Banks |
|
HAN Jing，SHI Bo，JIN Yu-lan1,2
|
|
1.People’s Bank of China Xining Center Sub-branch;2.China Construction Bank Qinghai Branch
|
| Abstract: |
| This paper starts with the study of the structure of assets and liabilities of commercial banks，and estimates the impact of the main interest rates on the profitability of commercial banks through the panel model and sys gmm method.It is found that after the interest rate liberalization，the interest income of commercial banks is significantly related to the Treasury bond yield which represents the medium and long-term capital cost，and the interest expense of commercial banks is significantly related to the repurchase rate which represents the short-term capital cost，which is consistent with the characteristics of the duration of commercial banks.In this regard，this paper suggests that commercial banks should deal with the impact of market interest rate fluctuations by improving the capital utilization ratio，improving the pricing mode and realizing differential pricing. |
| Key words: Financial Market Interest Rate；Commercial Banks；Interest Income；Interest Expense |
