The Impact of Negative Interest Rate Policy on Bank's Hedging Behavior: International Evidence

負利率政策對銀行避險行為的影響：全球證據

Sheng-Hung Chen(陳昇鴻) ； Kieu-Thi Phan(潘欣喬)

《財務金融學刊》 32卷3期 (2024/09) Pp. 39-113

https://doi.org/10.6545/JFS.202409_32(3).0002

摘要

This study empirically investigates how the negative interest rate policy affects the banks' hedging derivatives and net worth. We employ the global panel data from 2,396 banks in 46 countries between 2001 and 2021. Our finding shows that banks with a higher net worth hedge more. Banks hedge less during periods of negative interest rates. The potential benefits of a negative interest rate policy are reducing the cost of hedging and increasing credit demand due to lowering interest rates. Our analysis reveals a strong cause-and-effect relationship between hedging derivatives and net worth in both pre- and post-implemented negative interest rates.

關鍵字

Negative Interest Rate Policy (NIRP) ； hedging ； derivatives ； risk management ； net worth

並列摘要

本文研究2001-2021年46國2,396家銀行的全球資料，並實證各國實施負利率政策如何影響銀行使用衍生性商品進行避險及對淨值的影響。實證結果指出銀行在負利率期間會減少避險，負利率政策的潛在好處是降低銀行的避險成本，並因利率降低而增加放貸需求。最後，在實施負利率前後對銀行使用衍生性商品避險與淨值之間存在高度因果關係。

並列關鍵字

負利率政策（NIRP） ； 避險 ； 衍生性金融品 ； 風險管理 ； 淨值

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