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文章基于信用衍生产品对冲的实质构建理论模型并得到理论结论与推论，利用GMM方法对理论结果进行实证检验。实证研究结果表明，在回购利率互换对冲时，中国银行贷款总额随对冲程度的提升先减后增，与货币市场波动负相关；在存款利率互换对冲时，贷款总额随对冲程度的提升而增大，与货币市场波动正相关；在隔夜利率互换对冲时，贷款总额随对冲程度的提升先增后减，与货币市场波动正相关。实证结果验证了理论模型的正确性，同时也在一定程度上说明2008年美国次贷危机的诱因同样存在于中国商业银行中。","The paper establishes a theoretical model depicting all conditions of the impacts of hedging and monetary fluctuation on loan behaviors of banks in China based on the property of hedging. Then the empirical research based on GMM methods is taken. The empirical results suggest that the loan size will be in increasing-decreasing condition corresponding to ascending hedging degrees with compensation swaps, in linearly increasing condition with deposit swaps and in decreasing-increasing condition with oveight lending swaps. Meanwhile, monetary fluctuation is negatively correlated to the loan size with the hedging of compensation swaps and positively correlated with the hedging of deposit swaps and oveight lending swaps. The empirical results approve the theoretical propositions, and show that the cause of the US subprime crisis in 2008 also exists in banking behaviors in China.