The Study On Foreign Exchange Risk Exposure And Its Influencing Factors Of Listed Commercial Banks In The Context Of Gradual Exchange Reform

Under the gradual advancement of the RMB exchange rate reform,exchange rate fluctuations have become increasingly fierce with the liberalization of the volatility limit and the marketization of the quotation mechanism,and the flexibility of two-way fluctuations has increased,which will pose challenges for commercial banks to forecast exchange rate movements and avoid foreign exchange risks,making the value of commercial banks increasingly affected by exchange rate fluctuations.Therefore,on the basis of literature review and theoretical analysis,combined with the progressiveness of China's current exchange rate marketization reforms,this paper first theoretically analyzes the exchange mechanism and exchange rate fluctuations,exchange rate fluctuations on the exposure mechanism of commercial banks and foreign exchange risks.It is concluded that fluctuations in the exchange rate of the RMB will be affected by changes in the policy and further affect the value of commercial banks.In order to better observe the impact of the gradual reform on the exposure of foreign exchange risks of listed commercial banks,this article will use the April 16 th,2012 exchange to become the starting point,and September 30,2017 as the end point,based on the gradual advancement of the exchange rate to change the sample interval.It is divided into three stages(the first stage is from April 16,2012 to March 16,2014;the second stage is from March 17,2014 to August 10,2015;the third stage is 2015 From August 11 to September 30,2017),the three-factor orthogonal model of capital market law was adopted to focus on the analysis of the staged foreign exchange exposures of China's 16 listed commercial banks under the exchange rate of RMB against the US dollar.According to the analysis,under the background of progressive exchange reform,the overall exposure of commercial banks in the first phase to the second phase tends to increase,and has a significant lag effect.The increase was mainly due to the liberalization of the exchange rate volatility limit on the basis of the central parity exchange rate of the RMB and the exchange rate volatility.At the same time,the balance of supply and demand of foreign exchange purchases and sales and foreign exchange deposits and loans,foreign exchange reserves are high,foreign exchange risk exposures of commercial banks are relatively large,and foreign exchange risks increase,making the corporate value subject to the sensitivity of RMB exchange rate fluctuation against the US dollar.The overall exposure to foreign exchange risks of the second phase to the third phase of the commercial banks remained unchanged,but the spot exposure decreased.The main reason was that the RMB exchange rate formation mechanism gradually decoupled from the US dollar and the marketization became increasingly perfect.In the short term,due to depreciation expectations,the US dollar raised interest rates,Exchange rate fluctuations caused by narrowing spreads,etc.,but graduallystabilized with the continuous improvement of the exchange rate quotation mechanism,the international balance of payments significantly improved,the foreign exchange reserves decreased and stabilized,the balance of foreign exchange sales and sales,and the foreign exchange loan to deposit ratio gradually Narrowing and tending to be stable,the pressure on foreign exchange risk exposure of listed commercial banks has been eased,and the sensitivity of corporate value to fluctuations in the exchange rate of RMB against the US dollar has decreased,reflecting the effectiveness of the gradual reform of the RMB exchange rate formation mechanism.Secondly,according to the significant and non-significant setting of the foreign exchange risk exposure of listed commercial banks at each stage,the explanatory variable Y is set.Based on literature review and theoretical analysis,the proportion of selected proportions,the net exchange gains and losses on exchange,the exchange rate impact on cash,the hedging ratio,Five indicators such as the listing of the two cities were used as explanatory variables,and four indicators such as capital adequacy ratio,equity capital ratio,liquidity ratio,and weighted average net asset return rate were used as control variables,and various explanation variables were made in conjunction with the background of gradual exchange rate reform.Corresponding analysis and hypothesis,using the panel binary selection Logit model for empirical analysis toverify the hypothesis.The results show that the proportion of scale is significantly negatively correlated with the exposure of foreign exchange risk of commercial banks;the net exchange gains and losses,exchange rate impact on cash and hedging ratio are positively correlated with the exposure of commercial banks' foreign exchange risk.The assumption that the listing of the two cities is positively correlated with the exposure of the commercial bank's foreign exchange risk has been empirically verified by comparing the short-term and phased averages of the indicators of significant and inconspicuous foreign exchange exposure.