Abstract
AbstractThis study investigates the impact of asymmetry foreign exchange risk on listed commercial banks and makes a comparative analysis on differences of foreign exchange rate exposure between introducing asymmetry and not introducing. Firstly, foreign exchange rate exposure of single bank is studied by GARCH model. Moreover, using unbalanced panel model to study the entire banking which includes both the exchange rate variable and the market variable. Empirical results indicate that listed commercial banks and the whole banking industry show different exchange rate exposure, while facing different exchange rate changes. For both single banks and the whole banking, the exchange rate exposure becomes more significant after asymmetry is considered. Exchange rate exposure can be described more accurately after considering asymmetry.KeywordsExchange rate exposureAsymmetryGARCH modelPanel data
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