货币政策对人民币利率互换利差的影响

发布时间：2018-04-20 11:04

本文选题：互换利差 + 影响因素　；参考：《复旦大学》2014年硕士论文

【摘要】：随着我国利率市场化的脚步进一步加快,金融机构和其他经济主体将面临越来越大的利率风险,利率互换作为有效对冲利率风险的金融衍生品之一,受到越来越多学者的关注,对其进行研究是十分有必要的。互换利差作为衡量互换利率的重要因素,本文将对利率互换的利差进行研究。首先,选取了2010年1月4日至2013年12月31日的日数据,将样本划分为两个区间,并用邹至庄检验对样本划分的合理性进行了检验。然后研究了在不同货币政策环境下流动性溢价、违约风险溢价、利率波动和利率期限结构斜率对互换利差的影响。最后运用向量自回归模型和脉冲响应函数分析了存款准备金政策和公开市场操作对互换利差的影响。通过实证分析得到以下结论：1)在不同货币政策环境下,违约风险溢价、流动性溢价、利率波动和利率期限结构斜率对互换利差的影响程度不同。2)存款准备金政策和公开市场操会作对互换利差形成正向冲击,但是它们对互换利差的影响程度和持续时间不相同。
[Abstract]:With the further acceleration of interest rate liberalization in China, financial institutions and other economic entities will face more and more interest rate risk. As one of the effective financial derivatives to hedge interest rate risk, interest rate swap has attracted more and more scholars' attention. It is necessary to study it. As an important factor to measure swap interest rate, this paper will study the interest rate difference of interest rate swap. Firstly, the daily data from January 4, 2010 to December 31, 2013 are selected, the samples are divided into two intervals, and the rationality of the sample partition is tested by Zou Zhizhuang test. Then we study the effects of liquidity premium default risk premium interest rate fluctuation and interest rate term structure slope on swap spreads in different monetary policy environments. Finally, the effects of deposit reserve policy and open market operation on swap spreads are analyzed by using vector autoregressive model and impulse response function. Through empirical analysis, we can draw the following conclusions: (1) under different monetary policy environment, default risk premium, liquidity premium, Interest rate fluctuation and slope of interest rate term structure have different influence on swap interest margin. 2) Deposit reserve policy and open market operation will form a positive impact on swap spread, but their influence degree and duration on swap interest margin are different.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F822.0

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