The Research On Foreign Exchange Risk Exposure And Influencing Factors Of Our Country’s Commercial Bank

On August 11,2015, the central bank announced that, it will further improve the RMB exchange rate quotes from market makers in the foreign exchange market immediately, with reference to the closing exchange rate against the foreign exchange market, considering the demand and supply of foreign exchange as well as major international currency exchange rates provided by the China Foreign exchange trading Center.This indicates that China’s RMB exchange rate reform to a market exchange rate has taken an important step, at the same time, the "predictability" of the RMB exchange rate will be broken,and it’s going to be difficult to predict and judge the RMB exchange rate,the companies will face more exchange rate risk.For our entire banking system, the foreign exchange risk of long-term exposure is likely to evolve into systemic risk at any time, it will also affect the process of internationalization of China’s commercial banks, if we continue to take disregard of exchange rate risk management, it is bound to brewing great risk.Faced with a major reform of exchange rate regime again, and the resulting complex of more volatile exchange rate fluctuations, how China’s banking industry to deal with the new challenges brought about by the reform has become an important topic of risk management. Therefore, under the new RMB exchange rate regime, to explore the foreign exchange risk profile of commercial banks, and further examine the micro factorst of foreign exchange risk of commercial banks, and puts forward risk prevention policy has important theoretical and practical significance.In view of this, we select China’s commercial banks’data exchange rate reform in late 2005 to study China’s commercial banks foreign exchange risk exposure as well as factors discussed in theoretical analysis and empirical analysis method. Firstly This article summarizes literature review, and analysis the foreign exchange risk exposure connotation, measurement methods and influencing factors.Secondly, this paper reveals the foreign exchange risk exposure of commercial banks in China, and the mechanism of the exchange rate risk which affects the commercial banks were analyzed.Finally,in the empirical part, RMB against the dollar and the real effective exchange rate are used to test the foreign exchange risk exposure of China’s commercial banks in empirical results obtained, while further calculation factors which affect Commercial Bank foreign exchange risk exposure are tested.Our empirical results show foreign exchange exposure problems faced by the prevalence of commercial banks,and,the current RMB exchange rate against the US dollar commercial banks will have a significant impact on the value of the commercial banks,and when the RMB is in appreciation, it will have a positive impact on the value of the commercial banks;in addition, In addition,the change of the lagged real effective exchange rate of RMB exchange rate will have a significant impact on the commercial banks,when it is in appreciation, it will have a positive impact on the value of the commercial banks too.It is maybe that the effectiveness and the linkage of the stock exchange market are strengthened in the late of exchange rate reform in 2005,the emotional reaction of currency markets can quickly transmitted to the stock market.The study also found that the larger scale of the commercial banks face the smaller foreign exchange risk exposure;the commercial banks with the stronger of the overall profitability of commercial banks trend to face the greater exposure to foreign exchange risk;the commercial banks with bigger liquidity ratio trend to face the greater exposure to foreign exchange risk; in addition,the capital adequacy ratio and equity capital ratio of commercial banks which affect foreign exchange risk exposure of commercial banks are not significant.