Study On The Interest Rate Risk Of Commercial Bank Under The Background Of Interest Rates Liberalization

Interest rate, as the most significant reference of the macro-control and indication of the price of funds to the central bank of our country, plays an important and irreplaceable role in Financial market. However, as the core content and precondition of a country’s financial deepening, Interest rate liberalization, who will improve the whole process, is also one of the most substantial mark to the country’s reformation. However, with the development of the International market, Interest bank liberalization, to some extent, causes some risks to the countries’ banking. Meanwhile, a balanced interest rate, caused by the counter of market forces, contains grievous uncertainty and fluctuation, which leads to more threaten to the merchant banks. Thus it’s been a very important topic of deeply searching about the risk management of commercial bank interest rate under the background of interest rate liberalization.Based on the conclusions of the papers home and international, we focus on the interpretation to the theoretical foundation and the interest rate risk that our commercial bank faces causes by the interest rate liberalization. In the part of empirical research, we use Va R model to compare and analyze. By dividing our merchant banks into four groups: state-owned, incorporated, urban and foreign, we did the normality test, stationary test, autocorrelation test and heteroscedasticity test to our samples. We establish the GARCH(1, 1) model and obtain the Va R result on top of the inspection result of the data, trying to make sure of the impacts of interest rate liberalization to merchant banks’ rate risk management. In addition, we classify the sample database into two time frames: the first one is from January of 2009 to December of 2013, and the second one is from January of 2014 to March of 2015. Then according to the comparative study result, we discuss the higher speed process of interest rate liberalization’s impact on the interest rate of our commercial banks.After empirical analysis, we find out that in the progress of interest rate liberalization, foreign banks is the least one affected and deeper one in its marketization degree compared with the state-owned ones who are higher effected and less in its marketization degree. The difference in the level of risk management is not so obvious except for foreign banks, which means that it’s not so perfect of risk management in our country, and it’s also a consequence of interest rate control in our country. On the basis of the results, we apply some policy suggestions.