Research On The Impact Of Currency Mismatch On The Vulnerability Of Chinese Listed Banks

For a long time.China has implemented an export-oriented trade strategy and a compulsory bank knot,so it has stocked up on a huge amount of foreign exchange assets,and all levels of the public sector and the banking and financial system have produced a crisis of debt-type currency mismatch.August 11.2015 The state took the macro-control of intermediate price quotation of RMB to US Dollar Exchange Rate,the United States economy gradually tends to improve,the Federal Reserve began to raise interest rates,while the RMB appears to depreciate,resulting in the exchange rate from the appreciation of the unilateral fluctuations gradually toward the two-way fluctuation changes,the resulting uncertainty will undoubtedly have a huge impact on China's commercial banks,where the phenomenon of currency mismatch is significant.In the face of the negative impact of exchange rate fluctuations,currency mismatch in the balance sheet will lead to more serious financial vulnerability of commercial banks,expand the impact of exchange rate changes,so that the currency mismatch crisis not only affects a single economic subject,but also affects the government level,and then affect the overall economic stability.Under this background,the research on currency mismatch of commercial banks plays an important role in preventing financial risks and maintaining financial stability.The view of the domestic scholars'research on the micro level is based on the background of the one-way appreciation of RMB.this paper mainly analyzes the influence of currency mismatch on the vulnerability of Chinese listed banks before and after the"811"exchange reform.Firstly,this paper summarizes the relevant theories of currency mismatch affecting the vulnerability of commercial banks,including moral hazard theory,bank run theory and balance sheet theory,as the theoretical basis of the research,and secondly,discusses the transmission path of direct currency mismatch and indirect currency mismatch to the vulnerability of commercial banks by constructing the balance sheet two phase model.Finally,on the basis of theoretical analysis,this paper analyzes the exposure of currency mismatch risk faced by listed banks in China through the data of financial statements,as well as the influence on commercial banks.By using the factor analysis method,this paper selects the indexes related to exchange rate risk,profitability and capital adequacy to measure the vulnerability of 9 listed banks,and uses the panel data from 2005 to 2017 to select the foreign exchange exposure position as the index of currency mismatch degree,Using Stata software for regression analysis,the influence of currency mismatch on the vulnerability of Chinese listed banks under exchange rate fluctuation is tested,and whether there will be different effects before and after the change of "811".In addition,whether there is a difference between large state-owned commercial banks and joint-stock commercial banks through heterogeneity testing the impact of currency mismatch on the vulnerability of listed banks.The results show that,under the impact of exchange rate fluctuation,currency mismatch will have a significant adverse effect on the vulnerability of listed banks in China,and the impact on large state-owned commercial banks is more significant,and the implementation of"811" exchange reform weakens the negative impact of currency mismatch on the vulnerability of commercial banks.Therefore,it is suggested that we should continue to steadily promote the reform of RMB exchange rate marketization and the internationalization of RMB,control foreign exchange exposure,optimize the allocation of foreign currency assets and liabilities of commercial banks,encourage innovation of foreign exchange financial derivatives,and strengthen the prudential supervision of currency mismatch at all levels.