亞洲金融風暴期間，國內市場利率變動較以往劇烈。因此，本文主要 針對亞洲金融風暴對於本國金融機構利率風險管理影響之議題，進行實證研究。 而實證議題則包含二個部份：(1)運用Flannery模型，以探討國內金融機構資產 與負債組合之平均期間及兩者期限配合如何。(2)結合虛擬變數的方法與Flannery 模型，以檢視亞洲金融風暴期間，國內金融機構利率風險管理是否有顯著改變。 針對此兩項實證議題，本文將以似乎無相關迴歸（SUR）方法以估計模型的迴歸 係數。 本文計選取國內19家上市銀行為樣本，並將樣本銀行區分為舊商銀、專業銀行 與新銀行等三類進行實證分析，實證結果如下：(1)三種類型金融機構之資產與 負債組合平均期間配合良好，但仍傾向「借長貸短」。(2)亞洲金融風暴期間，三 種類型金融機構均有縮短其資產與負債組合平均期間的情形（即增加資產與負債 的調整速度）。整體而言，金融機構的利率風險管理決策已發生改變。

　　　　　In the period of Asian financial crisis, market interest rates have become more volatile than ever. This empirical study is composed of two parts. First, this paper applies the Flannery model to estimate average asset and liability maturities for domestic financial institutions. Next, this paper applies the Flannery model with dummy variables to investigate whether the interest rate risk management of domestic financial institutions significantly changes in the period of Asian financial crisis.　　 The 19 listed banks are classified into three categories: old commercial banks, specialized banks, and new commercial banks. The empirical results can be summarized as below: (1) Financial institutions of all categories assemble asset and liability portfolios with similar maturities, but they slightly tend to borrow long and lend short. (2) In the period of Asian financial crisis, financial institutions of all categories have improved asset and liability adjustment speeds.