摘要
以2008～2009年中美两国利率互换市场的日交易数据为样本,分析比较了影响两国利率互换利差的主要因素,进而实证研究了危机期间中美两国利率互换市场的动态互动效应。结果表明:两国利率的水平和利率期限结构斜率是影响互换利差的主要因素,另外,中国的流动性溢价和美国的违约溢价对互换利差的影响也较为显著;研究发现:中美两国互换利差均受对方市场因素的影响,特别地,在金融危机期间,中美两国利率互换市场间存在着明显的互动效应,一方面,美国利率互换市场信息能够对中国利率互换市场产生较强的冲击,虽然冲击的程度受制于美国的经济状况;另一方面,中国市场对美国市场也形成了一定的反向冲击,且程度受制于中国的货币政策。
Based on daily data of China and the U.S.interest rate swaps from 2008 to 2009,we analyze and compare the major factors that impact on interest rate swap spreads of the two markets.Furthermore,the interaction analysis of China and the U.S.interest rate swap market are empirically studied.The results show that the level of risk-free and slope of risk-free term structure are the main factors which affect the swap spread,and the effect of liquidity premium of China or default premium of U.S.for swap spread is also significant.The research also finds that： China and the U.S.swap spreads are influenced each other.Especially,during the financial crisis,there is a clear interaction effect between China and the U.S.interest rate swap market.On one hand,the information of U.S.interest rate swap market on China ＇s market can be a strong shock,and the shock is subject to U.S.economic conditions.On the other hand,China ＇s market on the U.S.market also creates a certain reverse shock,and the shock is subject to China ＇s monetary policy.
出处
《运筹与管理》
CSSCI
CSCD
北大核心
2012年第1期155-166,共12页
Operations Research and Management Science
基金
国家自然科学基金资助项目(71171032)
教育部博士点基金(20090041110009)
教育部人文社会科学研究项目(10YJC630334)
中央高校基本科研业务费专项资金(DUT11RW202
DUT10ZD107
DUT10RW107)
山东省自然科学基金资助项目(2009ZRB
019AV)
关键词
管理科学:金融市场
互动性分析
利率互换
management science
financial market
interaction analysis
interest rate swaps
