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Performance impact study of the changes in interest rates of the commercial banks in China

Author: WangJianQin
Tutor: LiShuFeng；Wang
School: Central University for Nationalities
Course: Business management
Keywords: Commercial bank Performance Asset and Liability Management Interest rate
CLC: F832.2
Type: Master's thesis
Year: 2009
Downloads: 278
Quote: 2
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Abstract


This article aims to explore the impact of changes in interest rates cycle performance of listed commercial banks in China. I proceed from the evolution of the interest rate market, introduced and comparative analysis of several of our current market interest rates and select the available interest rate (inter-bank bond repurchase rate) as empirical research stage. China's A-share market, 14 listed commercial banks as main sample, during the study period from the first quarter of 2002 to the first quarter of 2009, the data is mainly related to the balance sheet and income statement, the quarterly financial report data. Day of trading interest rate of the 90 days of the inter-bank bond repurchase market interest rate data based author their own calculation of the mean and its variance of each quarter the interest rate as the interest rate variables in the model. This selection of Flannery partial adjustment model, operating income of 90% of China's commercial banks from the deposit and lending interest income, coupled with the purpose of the article is to explore the impact of changes in interest rates on the performance, so the interest income and interest expense instead of operating income and operating expenses. OLS (Ordinary Least Square OLS) and Zellnet of Seemingly Unrelated Regression (Seemingly Unrelated Regression, SUR) with a comparative analysis of the empirical analysis, regression estimation method, respectively, the bank's interest income, interest expense and net interest income and changes in interest rates between the three regression equations estimated in order to investigate the changes in interest rates on bank interest income, interest expense and net interest income. Through the study, I draw the following conclusions: 1, most of the asset and liability structure of China's A-share market, 14 listed commercial banks by long loan short, only Minsheng Bank, Bank of China and Bank of Beijing three assets liability structure performance \This balance structure is more favorable in a period of rising interest rates, while a decline in interest rates during less favorable. This may be a close relationship with China's macroeconomic movements in interest rates, the bank's asset and liability structure has been adjusted to adapt to the rate hike cycle \2, changes in interest rates, interest income, interest expense and net interest income showed a positive relationship. Changes in interest rates on interest income and net interest income, the most significant is the Bank of Communications. 3, when the new bank assets increased, some samples of the new assets and net interest income of the bank was a positive correlation between part of the sample bank of new assets and net interest income was negatively correlated. The author in the article last made some suggestions from the bank's asset and liability management, the new expansion of asset size.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Banking system and business
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