金融学院知识库

在西部地区，城商行对银行业发展是不可或缺的。大多数西部地区城商行是从城市信用合作社改制而来，其中极少数是由境内外法人控股，其余大部分都是由机关法人和国有法人控股，这就决定了城商行服务的区域性。城商行不仅支持当地经济增长，而且为融资难的中小企业提供融资支持，有助于经济可持续发展。但是，两个方面的原因使得城商行的风险问题值得关注。一方面，城商行规模小，资金实力弱，易于发生风险；另一方面，近十年来城商行快速发展，随着科技进步更易转型，业务量增大，收入增加也承担着更大的风险。2019年8月，我国进行LPR改革，这是利率市场化加快的信号。我国在过去二十几年实施了利率市场化改革，利率管制放开，利率波动更加剧烈，给城商行的利率风险带来很大影响。那么，利率市场化对西部地区城商行利率风险怎样产生影响，产生怎样的影响，这两个问题正是本文要探讨的。

为了加强利率市场化改革与西部地区城商行利率风险的协同性，达成化解城商行利率风险的目标，促进城商行稳健发展，本文重点研究了利率市场化改革对城商行承担利率风险的作用及其作用机理。首先，论述了利率市场化、利率风险的相关概念与理论依据。其次，阐述了利率市场化与城商行承担利率风险的现状，同时进行了作用机理分析，从而提出研究假设。另外，以西部地区22家城商行为研究样本，进行实证分析。在测算城商行利率风险时，本文选择净息差波动这一指标；在量化利率市场化程度时，借鉴了冯显（2019）的做法，构建相应的利率市场体系，基于此计算得到总指数；以资产规模、隐性利息支付、交易规模、信用风险、市场垄断程度、运营成本等11个变量作为控制变量，采用OLS混合回归检验了利率市场化对样本城商行利率风险的效应。

结论表明：（1）我国利率市场化指数呈现上涨趋势，以2003年和2011年为分界点，将利率市场化过程分为不同时期：起步期、稳定期和突破期。（2）本文选择净息差波动这一指标以度量利率风险，数据显示，不同城商行利率风险变化趋势存在较大差距，说明城商行利率风险存在微观差异。依据样本城商行利率风险均值，可以将利率风险划分为不同时段：2011-2014年的上升期，2015-2019年的下降期。（3）研究结果显示，利率市场化水平对城商行利率风险的作用是倒“U”型的。最后，基于研究结论，本文提出一些建议，从而可以更好地控制城商行利率风险，促进地方经济繁荣。

In the western region, City commercial banks are indispensable to the development of banks. Most of the city commercial banks in the western region are transformed from the city credit cooperatives. A small number of urban commercial banks are held by domestic and foreign legal persons, while most of them are controlled by government legal persons and state-owned legal persons, which determines the regional service of urban commercial banks.City commercial banks not only support the local economic growth, but also provide financing help for SMEs, which is conducive to sustainable economic development. However, two reasons make the risk of urban commercial banks worthy of attention.On the one hand, urban commercial banks are small in scale, weak in capital strength, and prone to the risk.On the other hand, with the rapid development of urban commercial banks in the past decade, with the progress of science and technology, urban commercial banks are more likely to transform, increase business volume, increase revenue and bear greater risks.In August 2019, China will carry out LPR reform, which is a signal of deepening interest rate liberalization.In the past two decades, market oriented reform of interest rate be implemented in China.With the Interest rate's freedom, the fluctuation of interest rate is more severe.It influences the risk of the interest rate of municipal mercantile banks.Then, how does market-oriented interest rate influence the interest rate risk of municipal mercantile banks in the western region? What impact does market-oriented interest rate have on the interest rate risk of municipal mercantile banks banks in the western region? The dissertation will study these two problems.

For the sake of reinforcing the synergy between the change of the market-oriented interest rate and the interest rate risk of municipal mercantile banks in the western region, deepening the extent of the marketization of interest rates, and achieve stable development of municipal mercantile banks,the dissertation focuses on the impact of interest rate marketization change on the interest rate risk of municipal mercantile banks and its impact path.Firstly,the dissertation describes the relevant concepts and theories of research objects.Secondly, the thesis expounds the current situation of the research contents, and analyzes the action mechanism, so as to obtain the research hypothesis.In addition, the dissertation selects 22 sample municipal mercantile banks in the western region to study.When computing the interest rate risk, we make use of the change of the net interest margin.In terms of the quantification of interest rate marketization, this paper constructs an system of the interest rate market to calculate the composite index by referring to Feng Xian (2019).Taking 11 variables as control variables, such as asset size, implicit interest payment, transaction size, credit risk, market monopoly degree and operating cost, the paper uses OLS mixed regression to test the effect of core variables on the interest rate risk of sample city commercial banks.

The results show that:(1) China's interest rate liberalization index shows an upward trend. Taking 2003 and 2011 as the dividing point, the process of interest rate liberalization can be divided into different periods: initial period, stable period and breakthrough period.(2) Choosing the fluctuation of net interest margin to measure the interest rate risk, the results show that there is a big difference in the trend of interest rate risk of 22 urban commercial banks over time, which indicates that there is a big difference in individual interest rate risk of urban commercial banks. In terms of the average value, the interest rate risk is divided into different periods: the rising period from 2011 to 2014 and the falling period from 2015 to 2019.(3)We find that the influence of interest rate marketization on interest rate risk of municipal mercantile banks is Inverted U-shape.Finally, based on the research conclusion, this paper puts forward some suggestions, with the aim of better dominate the interest rate risk and boost local economy.