The Impact Of China's Monetary Policy On Bank Interest Rate Risk

Nowadays,central banks of various countries often adjust benchmark interest rate to deal with financial crises.Meanwhile,China started the interest rate marketization reform from 1996 and speeded up after the 11 th Five-year plan.With the background of international financial crises and interest rate liberalization reform,the interest rate risk faced by commercial bank became complex and difficult.There are lots of influence factors for interest rate risk of commercial banks,such as monetary policy,the level of price,stock market and economic environment.In the theoretical analysis,as one of the most measure of macro-control system,monetary policy can not only make the interest rate curve translation,but also change the slope of the cure through interest rate transmission mechanism.The paper studies the influence of monetary policy to interest rate risk of commercial banks.The paper uses national debt yield curve as the substitution of interest rate curve.In the first part,the paper analyzes the change of yield curve with the implementation of monetary policy,finding that monetary policy can make the cure translation and short-term interest rate is more sensitive to the change of monetary policy.In the second part,with the help of interest-sensitive gap model and duration gad model,the paper find that the total level of interest rate has increased continually since 2006 after measuring the level of interest rate risk of commercial banks.During the decade,the interest rate risk of China Everbright Bank rallied the most and that of Industrial & Commercial Bank of China always stays the highest.Besides,the interest rate risk exposure of middle and long term is exceeded the short-term.In the last part,some suggestions for commercial banks and relevant government department are proposed.