金融危机下中美两国利率互换市场的特征及互动性分析

发布时间：2018-06-03 22:10

本文选题：管理科学 + 金融市场　；参考：《运筹与管理》2012年01期

【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。
[Abstract]:Based on the daily transaction data of interest rate swap market between China and the United States from 2008 to 2009, this paper analyzes and compares the main factors affecting the interest rate swap spread between the two countries, and then empirically studies the dynamic interaction effect of interest rate swap market between China and the United States during the crisis. The results show that the level of interest rate and the slope of interest rate term structure are the main factors that affect the swap spread. In addition, the liquidity premium of China and the default premium of the United States have a significant effect on the swap spread. It is found that the swap spreads between China and the United States are influenced by the other side's market factors. In particular, during the financial crisis, there are obvious interactive effects between the interest rate swap markets of China and the United States. On the one hand, The information on the US interest rate swap market can have a relatively strong impact on the Chinese interest rate swap market, although the extent of the impact is limited by the economic situation of the United States. On the other hand, the Chinese market has also formed a certain reverse impact on the US market. And to a degree limited by China's monetary policy.
【作者单位】：大连银行风险管理部;大连理工大学管理学院;鲁东大学数学与信息学院;
【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)
【分类号】：F224;F822.0;F827.12

【共引文献】