摘要
利用18家美国银行控股公司2005年第2季度～2008年第3季度的面板数据,建立固定效应和随机效应模型,考察金融衍生品交易行为对商业银行收益和风险的影响,在对银行持有衍生品头寸目的加以区分的基础上深入研究整体上、分类样本以及次贷危机前后金融衍生品交易行为对美国银行控股公司收益和风险的影响。研究结果表明,在整体上非交易衍生品面值规模越大,银行的收益越大,但增加了银行的整体风险;相对于主导型银行,参与型银行可能持有更多的衍生品投机头寸,从而增大了自身的系统风险;美国银行控股公司在次贷危机前相对于危机后持有更多的衍生品投机头寸,从而增大了自身的系统风险;商业银行使用金融衍生品行为是一柄双刃剑,如果商业银行严格利用金融衍生品对冲基础资产风险,金融衍生品的利用对银行而言也许是一种有益的管理尝试,但是如果商业银行过多地用金融衍生品进行投机以获取较高的收益,金融衍生品的利用会导致银行整体风险的上升。
We examine the impact of the derivatives activity on commercial banks based on the panel data from 18 large U. S. bank holding companies （BHC） by establishing fixed effects model and random effects model. So as to evaluate financial derivatives＇ effects on commercial banks＇ performance more comprehensively, we will distinguish the aims of banks＇ usage of financial derivatives positions in this paper. This paper finds that in general the larger the notional values of non-traded derivatives, the more derivative positions held by banks, meaning greater possible returns, yet derivatives activity increases the BHCs＇ overall risk level. In the meanwhile, we find that participative banks are possible to take more speculative positions in derivatives contracts in name of risk managing than dominant banks, increasing the system risk level. Furthermore, we find that the BHCs are possible to take more speculative positions in derivatives contracts in name of risk managing before sub-prime mortgage loan crisis than after the crisis, so they assume more risks before sub-prime mortgage loan crisis. Overall, our findings suggest that the usage of derivatives for commercial banks is a double-edged sword. Using derivatives maybe a matter of managerial taste in order to hedge underlying risks for commercial banks, however, it maybe increase the commercial banks＇ overall risks if the derivatives positions are used to speculate for profitability of BHCs.
出处
《管理科学》
CSSCI
北大核心
2009年第4期74-86,共13页
Journal of Management Science
