| The risk tolerance of commercial banks will affect the stability of commercial banks, thus affecting the stability of the entire financial system. At present, domestic and foreign researchers from the aspects of monetary policy,capital supervision and executive remuneration to study the commercial bank risk. This paper researched the impact of interest rate changes on the capacity of commercial banks to take the risk,from both the theoretical and practical aspects are of great significance.This paper discusses the choice of interest rate standard and the definition of the risk ability of commercial banks, and analyzes the impact mechanism of interest rate change on the risk ability of commercial banks, namely, asset and liability impact mechanism, deposit and loan spread mechanism and long, and short impact mechanism.And further studies the asymmetric characteristics of interest rate changes on commercial banks’ risk-taking capacity based on game perspective.Based on the above theoretical analysis, descriptive statistics on interest rate changes and risk-taking capacity are described. Based on the event analysis of 16 commercial banks on October 8,2014 and December 31,2015,2006-2015 Quarterly Data.The VAR model was used to study the impact of changes in market interest rate and the Event-study Analysis was used to study the impact of central bank interest rate changes on commercial banks’ risk-taking capacity. The results show that the change of central bank interest rate will affect the risk ability of commercial banks in the short term, and the effect will be diluted in the long run. The influence of market interest rate fluctuation on commercial banks’ risk - taking capacity is asymmetric.Finally,we summarizes the research results of this paper and puts forward the relevant policy suggestions such as the marketization of interest rate, the proportion of intermediary business and the diversification of business structure. |
PDF Full Text Request