Research On Exchange Rate Risk Exposure And Its Influence Factors Of China's Commercial Banks After The Exchange Reform

The RMB exchange rate system reform of our country officially started in July 21,2005.Since then,China has implemented a managed floating exchange rate system which based on market supply and demand with reference to a basket of currencies,and RMB exchange rate was no longer pegged the U.S.Dollar.As the development of RMB exchange rate regime reform,the marketization of exchange rate gradually strengthened,the fluctuation frequency and fluctuation scope of exchange rate gradually extended.At the same time,with the economic and financial globalization,China's commercial banks began to set up overseas branches around the world to expand their international business.Under the background of the two-way fluctuation of RMB and the active implementation of international business layout,the research on the exchange rate risk exposure and its influencing factors of China's commercial banks which is the main body of foreign exchange market is becoming more and more important.In this paper,on the basis of systematic summary of the domestic and foreign research situation,we qualitatively analyze the related theory and transmission path and measurement methods and sources of China's commercial banks exchange rate risk exposure.And then we selected 16 Chinese listed commercial banks as the research sample,divided the study interval into two sub regions by the second exchange reform which took place in June 19,2010,selected the RMB against the US dollar,yen,euro exchange rate and real effective exchange rate of RMB as the variable of exchange rate,and considering the time lag factor of exchange rate fluctuation,carried out an empirical analysis on the banks of the exchange rate risk and its influencing factors using the Capital Market Approach.Finally,the paper puts forward the corresponding policy recommendations.The results show that:China's listed commercial banks are exposed to the general exchange rate risk,and the exchange rate risk exposure is more obvious after the reform of the exchange rate system in 2010.In the specific characteristics of the exchange rate risk exposure,there are some differences in the direction,size and significance of different currencies to the bank value.In terms of influencing factors,banks with significant exposure to exchange rate risk have relatively larger scale,lower liquidity,provision coverage,core capital adequacy ratio and hedge ratio.State owned commercial banks and dual listed banks are more exposed to exchange rate risk.