Abstract
The paper uses econometric analysis to estimate the average asset and liability maturities for Chinese commercial banks. Regression models are then tested to determine if interest rate fluctuations have a significant impact on banks’ net interest income. The researchers conclude that Chinese commercial banks are currently exposed to considerable interest rate risk, the exposure of medium-sized commercial banks being much larger than the exposure of larger banks, and that interest rate risk mitigation will become a strategic focus of private commercial banks in China’s financial markets in coming years.
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