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随着目前的强制结售汇制度逐步过度到意愿结售汇制度,以及远期市场的发展,汇率将主要根据市场供求来形成,原来中央银行所承担的汇率风险将大部分转移到市场上,银行、企业和个人等微观主体将成为承担风险的主体。资产负债货币错配将使各微观经济主体面临汇率波动的风险。本文从资产负债货币错配的概念入手,通过将企业资产分为固定汇率资产和浮动汇率资产,负债分为固定汇率负债与浮动汇率负债后,引入汇率缺口模型与持续期缺口模型来对资产负债货币错配理论进行论证。然后通过一系列假设条件得出浮动汇率资产、浮动汇率负债只受汇率变动的影响,固定汇率资产和固定汇率负债仅受利率变动的影响。在关于浮动汇率资产、浮动汇率负债受汇率变动的影响时引入汇率缺口模型来对其进行论证,在关于固定汇率资产和固定汇率负债受利率变动的影响时引入持续期缺口模型对其进行数理论证。
With the current system of forced foreign exchange sales and purchases exceeding the system of willingness to sell foreign exchange and the development of long-term markets, the exchange rate will mainly be formed according to market supply and demand. As a result, most of the exchange rate risk borne by the Central Bank will be transferred to the market, Micro-entities such as banks, enterprises and individuals will become the main risk-taking entities. Assets and liabilities of currency mismatch will make the micro-economic subjects face the risk of exchange rate fluctuations. This article begins with the concept of asset mismatch in currency. By dividing enterprise assets into fixed exchange rate assets and floating exchange rate assets, the liabilities are divided into fixed exchange rate liabilities and floating exchange rate liabilities. The paper introduces exchange rate gap model and duration gap model to balance assets and liabilities Currency mismatch theory to demonstrate. Then, floating exchange rate assets are obtained through a series of assumptions. Floating exchange rate liabilities are only affected by changes in exchange rates. Fixed exchange rate assets and fixed exchange rate liabilities are only affected by changes in interest rates. Introducing the exchange rate gap model to demonstrate its impact on floating exchange rate assets and floating exchange rate liabilities under the impact of exchange rate changes, introducing maturity model to prove the impact of fixed exchange rate assets and fixed exchange rate liabilities on interest rate changes .