The Influence Of Interest Rate Marketization On The Interest Rate Risk Of Commercial Banks

The interest rate marketization is a product of the wave of financial liberalization, and it’s of great significance in financing, construction of the pricing mechanism in financial institutions, the formation of the normal financial market environment, and the formation of microscopic conduction mechanism of monetary policy. Our country’s interest rate marketization reform began in1978, which progress was very slow before1996, but since1996the reform has been advanced rapidly. Commercial banks can get many benefits from relaxing interest rate controls and the progressive realization of the pricing of interest rate controlled by the market, but there are also many risks, especially interest rate risk, which can’t be ignored. Therefore, commercial banks will face new challenges in interest rate risk management.In this paper, the premise is our country’s interest rate marketization reform, the main line is the interest rate risk in large and medium-sized banks, and the purpose is to find out the difference of interest rate risk in different scale banks under this premise. The paper’s layout structure is as follows:The first section introduces the background, purpose, method and framework of this paper, and then analyzes the innovation, shortcomings and the possible directions for further research of this paper. The second section reviews the theoretical basis and the research results of previous scholars. The third section analyzes the impact of the interest rate marketization as well as the causes and classification of the interest rate risk in this background. The fourth section describes the measures of interest rate risk and analyzes their applicability in our country. The fifth section is the main content of the paper, which gives two empirical analyses of the interest rate risk in commercial banks. The sixth section puts forward some suggestions and points out the different focus on the interest rate risk management of different scale commercial banks.As the main content of the article, the fifth section which gives two empirical analyses of the interest rate risk in commercial banks, mainly includes the following two aspects:First of all, on the basis of the GARCH-GED model and TARCH-GED model, the VAR model is used to measure the overall interest rate risk of our country’s commercial banks under the background of the interest rate marketization reform. The study concluded the following viewpoints:(1) Chibor obeys the stationary distribution and has the conditional heteroskedasticity feature, so it can establish the GARCH model and the TARCH model.(2) The regression results of GARCH-GED model shows that the external impact can influence the volatility in interest rates seriously, and the volatility has long-term memory, which is difficult to eliminate in the short term.(3) The regression results of TARCH-GED model finds that under the external impact, the volatility in interest rates has a significant leverage effect, and the negative external impact can effect more significantly.(4) The posteriori test of the VaR model shows that the VaR model which is on the basis of the GARTH-GED model and the TARTH-GED model can measure the interest rate risk of commercial banks accurately, and the TARTH-GED model’s accuracy is higher.Then, based on the research and analysis of the overall interest rate risk of commercial banks, four indicators of interest rate sensitivity gap method are used to measure the interest rate risk of the large and small&medium-sized commercial banks, the conclusions are as follows:(1)Four large commercial banks employ a defensive strategy to manage their interest rate risk. Regardless the interest rate rises or falls, both negative interest rate sensitivity gaps and negative interest rate sensitivity coefficient deviation degrees are kept to resist the interest rate risk. When the interest rate falls, this strategy can make large commercial banks get benefits, but they will face, greater interest rate risk in the interest rates rising stage. The small and medium-sized commercial banks, especially emerging joint-stock banks are more flexible in adjusting their interest rate sensitivity gap, and can response faster to changes in interest rates, so they are able to protect against interest rate risk in the interest rate adjustment process better.(2) Emerging joint-stock commercial banks have greater interest rate risk management capabilities. Although city commercial banks are sensitive to changes in interest rates, their regulation of the interest rate sensitivity gap is not reasonable, thus they may face greater interest rate risk in the interest rate marketization reform.(3)The phenomenon that medium and long-term assets and liabilities don’t match, is prevalent in our country’s commercial banks, especially large commercial banks, which may cause serious long-term interest rate risk. Therefore, these commercial banks should pay more attention to the medium-and long-term assets and liabilities matching problem, in order to prevent the interest rate risk.(4) The time lag effect of the interest rate transmission may bring serious interest rate risk to commercial banks, thus they should try to shorten the time lag effect and adjust their interest rate sensitivity gap flexibly.(5) The central bank’s uncertainty and non-uniform interest rates adjustments increase the interest rates risk of commercial banks, so the interest rate adjustments should be standardized by the central bank.This paper has the following innovation:(1) in terms of the selection of the research object, this paper uses the interest rate sensitivity gap to conduct a comparative study of the interest rate risk in different scale commercial banks under the background of the interest rate marketization reform.(2) in terms of empirical measurement, VaR model is used to measure the overall interest rate risk of our country’s commercial banks under the background of the interest rate marketization reform. Then the interest rate sensitivity gap method is used to measure the interest rate risk of different scale commercial banks.(3) in terms of suggestions, this paper proposes the interest rate risk prevention recommendations from the external environment and internal control, and points out the different focus on the interest rate risk management of different scale commercial banks.