人民币利率互换利差特征及其的影响因素的研究.pdfVIP

Abstract Driven by negative interest rate swap (IRS) spreads in U.S. market, the paper tries to dig into the interest rate swap spread. From the rich foreign researches, we can conclude the general determinants of IRS spread and attempt to find out the possible explanation for U.S. anomaly. After that, more attention is paid to Chinese swap market, looking into two main kinds of RMB IRS (based on FR007 and Shibor_3M) to see what their characteristics are in Chinese market and whether there shows anomaly also. Then empirical study is done to check our guess. Here vector auto regression model is adopted and then impulse response and variance decomposition help to examine the RMB IRS spread determinants and their contribution. Results show that for both Shibor_3M and FR007 based swap spreads, except for spread itself, the most influential factors are liquidity risk and interest rate term structure slope. Besides, different factors matter for different maturities and referring rates. Key words: interest rate swap, swap spread, determinant i 万方数据 摘 要 美国市场上出现的负互换利差现象，引发了对利率互换产品的进一步研究。首 先，可以从丰富的国外研究中总结出利率互换利差的主要影响因素，并且探讨 美国市场负利差的可能原因。然后，中国市场将是本文的研究重点。我将主要 研究两种交易最活跃的人民币利率互换产品及其特征：以3个月上海银行同业拆 借利率和7天回购定盘利率为参考的人民币利率互换。最后，将运用向量自回归 模型和基于该模型的脉冲响应和方差分解来进行实证研究。结果显示：除了互 换利差自身外，对两种利差影响最大的是流动性风险和利率期限结构的斜率。 此外，对不同期限和不同参考利率的互换利差来说，各因素影响不一。 关键词：人民币利率互换，互换利差，决定因素 ii 万方数据