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The Effect of Exchange Rate Changes on the Performance of Banks

Author: YangYang
Tutor: ChenXiaoLi
School: Shandong University
Course: Finance
Keywords: Currency mismatch Changes in foreign exchange rates Commercial bank Operating performance
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 68
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Abstract


With the occurrence of the currency crisis, the world economic ties closely the development of world trade, and the far-reaching implications for countries around the world, especially in developing countries, more and more attention to currency mismatch risk of currency mismatch study more and more in-depth, wide-ranging. Currency mismatch is actually an exchange rate risk is not hedge the exchange rate risk exposure status of the the economic main assets, liabilities and income and expenditures denominated in the currency, due to the net balance of income and expenditure. Along with China's economic development, the growing progress of the reform and opening up as well as a long time to implement the \. With state businesses and individuals an exchange relaxation, is expanding the scope of this risk to businesses and individuals. Currency mismatch risk has caused widespread concern of the countries, banks, businesses and even individuals, more and more scholars direction. In view of the domestic scholars mostly calculated China's overall currency mismatch situation, the main micro currency mismatch situation less empirical research, this article is focused on the commercial banks, micro-main empirical test study currency mismatch risks to China Business the impact of the banking sector, which is the innovation of this paper. Balance sheet effects of currency mismatch expresses the change in the exchange rate affect corporate performance as well as the impact of the economic mechanism, to by foreign balance sheet effects of currency mismatch inspired the status quo, as well as increasing domestic RMB appreciation pressure, Firstly, data information, intuitively judge the balance sheet effects of currency mismatch, and this effect is the development trend of China's commercial banks, exchange rate changes resulting currency mismatch in banks' balance sheets generated by the project What is the impact, the extent of impact. Drawing on previous theoretical model based on the data of China's commercial banks, the use of dynamic panel GMM Estimation Method empirical test whether the changes in exchange rates had a significant impact on commercial banks performance. And replaced by multiple different exchange rate-related indicators as a stability test to verify the impact of currency stability, and corresponding policy recommendations. This paper is divided into five chapters. The first chapter introduces the topic of the background and significance, papers, ideas and content, the paper's innovation and insufficient. The second chapter review the definition of currency mismatch and theory related to allocation and balance sheet effects of currency mismatch. Chapter by theory, explained through a variety of channels to exchange rate changes affect output and performance, through what channels by simple theoretical model discusses changes in exchange rates affect the banks' net assets and the exchange rate movements on the bank this The economic performance of the main effects of direct and indirect currency mismatch effect. First through data analysis of the mismatch status quo of China's commercial bank's monetary and exchange rate movements, currency mismatch on banks on the impact of Chapter. Then build an empirical model to verify whether this effect exists. The fifth chapter of conclusions and recommendations. Summarizes the considerations, especially the exchange rate related factors impact on bank performance, the first on the basis of the text data and empirical validation concluded: the existence of the risk of currency mismatch really had an impact on the bank's operating performance variable, and this effect is lag, in particular, China is now the foreign currency assets than liabilities in foreign currencies, the RMB facing appreciation pressure, the foreign currency assets increased risk of devaluation, the conclusions of this study will not only help the commercial banks to recognize the existence of the risk, but also for prevent risks to provide the basis and direction. Conclusions based on relevant policy recommendations, especially the microscopic aspects of bank derivative products use.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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