中国金融学术研究网
CHINA FINANCIAL RESEARCH NETWORK

银行和金融机构--银行和金融机构
工作论文
2009-06-17 第2卷 第4期

编: 麻省理工学院斯隆管理学院金融学讲席教授,清华大学经管学院特聘教授。

执行主编: 杨之曙清华大学经济管理学院金融学副教授。


本期目录

次贷危机对商业银行利率风险管理的启示

葛翔宇 中南财经政法大学信息学院
朱霞 中南财经政法大学信息学院

银行非自愿超额准备金周期性波动与货币政策的有效性

张勇 华南师范大学经济管理学院金融系
范从来 南京大学商学院

Board Governance and Profitability of Chinese Banks

Wei Rowe University of Nebraska, OmahaDepartment of Finance, Banking & Law
Wei Shi State Administration of Foreign Exchange Bureau(SAFE)
Carol Wang Wright State UniversityDepartment of Finance and Financial Services, Raj Soin College of Business


论文摘要

次贷危机对商业银行利率风险管理的启示

葛翔宇 中南财经政法大学信息学院
朱霞中南财经政法大学信息学院

随着利率市场化的推进,我国商业银行面临的利率风险日益凸显。本文分析提出商业银行应借次贷危机之鉴加强对利率风险的识别、度量和管理。还分析得到利率风险和信用风险之间的相关关系,并指出利率风险和信用风险都影响着银行的经营,应同时纳入银行的全面风险管理之中。

银行非自愿超额准备金周期性波动与货币政策的有效性

张勇华南师范大学经济管理学院金融系
范从来 南京大学商学院

文章采用非自愿超额准备金率增长率作为流动性状态的衡量指标,通过建立超额准备金的动态模型,运用动态模拟方法和门限向量自回归模型,考察了非自愿超额准备金率增长率周期性波动情况和不同流动性状态下货币政策的传导效应。研究表明,自 1998 年以来,在外汇占款、银行业贷款以及贷款利率的综合作用下,流动性状态发生了过剩与短缺之间的周期性交替转换,并且流动性过剩状态与短缺状态相比,货币政策的传导效应会相对弱化,这也就说明,随着流动性状态的转换,我国货币政策传导效应将表现出具有区制依赖的非线性特征。

Board Governance and Profitability of Chinese Banks

Wei Rowe University of Nebraska, OmahaDepartment of Finance, Banking & Law
Wei Shi State Administration of Foreign Exchange Bureau(SAFE)
Carol Wang Wright State UniversityDepartment of Finance and Financial Services, Raj Soin College of Business

Chinese commercial banks have experienced tremendous growth over the past decade but have received limited academic attention due to data collection difficulty. We’ve successfully compiled a hand-collected panel dataset of Chinese commercial banks governance characteristics from 1998 to 2007. We empirically examine the relation between board governance and the profitability of Chinese commercial banks. We find that board governance has significant impact on Chinese banks’ performance. Specifically, higher board ownership, lower percentage of insiders on board, and lower block ownership are associated with better bank performance. In addition, to improve bank performance, Chinese bank managers should also focus on effectively control of bank’s operating cost, increasing net interest margin, and closely monitoring loan productivity. This is the first study conducted on the efficacy of Chinese banks’ governance system and its relation with banks’ profitability. Empirical evidence from this study has important policy implications in reforming China’s banking system into a more transparent and more efficient market driven system.


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