其他综合收益波动和银行风险

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money Pub Date : 2025-01-30 DOI:10.1016/j.intfin.2025.102115

Yang Su , Junrui Zhang , Hong Zhao , Mingming Zhou

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引用次数: 0

摘要

在本研究中，我们探讨了银行如何管理风险以应对其他综合收益（OCI）波动。我们发现，高OCI波动率的银行降低了感知风险，同时增加了对系统风险的贡献。作为应对OCI波动的策略，银行减少可售资产（AFS）持有量和贷款，扩大表外（OBS）委托贷款和理财产品。在从紧的货币政策下，对系统风险和OBS活动的影响更为明显，而在宏观审慎监管下则不那么明显。这些结果表明，OCI在风险管理中引起了银行的注意，但银行对OCI波动的反应加剧了系统脆弱性。在强制执行本处信息披露的同时，应辅以有效的宏观审慎监管，以确保金融稳定。

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Other comprehensive income volatility and bank risk

In this study, we explore how banks manage risk in response to Other Comprehensive Income (OCI) volatility. We find that banks with high OCI volatility decrease perceived risk while increasing their contribution to systemic risk. As strategies in response to OCI volatility, banks reduce available-for-sale (AFS) holdings and loans, and expand the off-balance-sheet (OBS) entrusted loans and wealth management products. The effects on systemic risk and OBS activities are more pronounced under tight monetary policy but less so under macroprudential supervision. These results indicate that OCI captures the attention of banks in their risk management, yet their response to OCI volatility intensifies systemic fragility. The enforcement of OCI disclosure should be complemented by effective macroprudential supervision to ensure financial stability.

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来源期刊

Journal of International Financial Markets Institutions & Money Multiple-

CiteScore

6.60

自引率

10.00%

发文量

142

期刊介绍： International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.