Market Interest Rate Volatility,Interest Rate Derivatives and Maturity Transformation Function of Commercial Banks
It is very important to give full play to the maturity transformation Function of commercial banks to enhance the ability of financial services to the real economy.Based on the semi annual unbalanced panel data of 37 listed banks in A-share stock markets from 2006 to 2020,this paper empirically tests the impact of the use of off balance sheet interest rate derivatives on the Maturity Transformation Function of banks in the case of interest rate fluctuations.The empirical results are listed below.(1)The use of interest rate derivatives helps to weaken the negative impact of interest rate fluctuations on the Maturity Transformation Function of banks.(2)The analysis of the mechanism of action shows that the use of interest rate derivatives increases the freedom of bank financing methods and reduces the degree of financial friction in the financing market,thereby supporting the effective play of bank financial intermediaries.(3)The analysis of the impact path shows that the use of interest rate derivatives improves the stability of the asset side term structure and liability side term structure of banks,thereby supporting the effective role of bank financial intermediaries.(4)Further analysis shows that the use of interest rate derivatives significantly reduces the volatility of bank earnings.This study makes it clear that the use of interest rate derivatives has a positive impact on the commercial banks,which provides evidence for the further development of interest rate derivatives market in China.
万方数据
维普
