The Research About Interest Rate Risk’s Impact On Commercial Bank Profitability In China

This paper analyzes and measures the market risk faced by commercial banks in our country, explores the adjusting speed of the interest rate risk to the average holding period of assets and liabilities of commercial banks in our country, research the average holding period of assets and liabilities of commercial banks in our country and the adjusting speed of assets when facing the interest rate risk, and further research the different influence of the interest rate risk to the profitability of different commercial banks.This paper adopts the quantitative method in the research objects:firstly, it uses the data of shanghai interbank offered rate from October8th in2008to January23rd in2013, and then measures the interest rate risk faced by commercial banks in china; secondly, it classifies16listed commercial banks as three categories:the five big banks, small and medium-sized joint-stock commercial banks, city commercial banks, then by using the qauarterly reports of bellowing listed companies from the first quarter of2007to the fourth quarter of2012, and considering the Flannery’s partial adjusting model, finally it estimates the influence of the fluctuation of Shanghai banking interbank interest rate on profitability of commercial bank in our country through the multiple linear regression method.The empirical results show that, the short-term Shibor has a higher market efficiency and a larger range fluctuation; while the Long-term Shibor has a lower market efficiency and a smaller range fluctuation. In our country, the banks’assets and liabilities structure is "borrowing in a short term and lending in a long term, and the interest rate risk affects the profitability of Banks obviously,The sorting of the short-term impact from high to low is:small and medium-sized joint-stock commercial Banks, city commercial Banks, five big Banks.The sorting of the long-term impact from high to low is:five large Banks and small and medium-sized city commercial Banks, joint-stock commercial Banks. After the empirical study on the influence of interest rate risk of the commercial bank profitability, this paper gives some reasonable suggestions about all kinds of optimization of assets and liabilities structure to the commercial banks in China.