中美两国公司债信用利差动态过程比较研究

选取中美两国2011年1月至2017年4月的公司债和国债月度交易数据,基于SV模型得到两国公司债的信用利差序列,进而对中美两国公司债的信用利差进行时间序列比较分析.实证发现,中国公司债信用利差序列表现出自回归和移动平均特征,而美国公司债信用利差序列则仅呈现自回归特征;在方差结构方面,中国公司债信用利差序列的残差不具有ARCH效应,而美国公司债信用利差序列的残差具有明显的ARCH效应.同时,对中美两国公司债信用利差建立VAR模型并进行脉冲响应分析,发现中美两国信用利差序列的相关性不强,对彼此的冲击的反应均较弱,为债券市场投资者构建跨国市场债券组合来分散信用风险提供决策支持.     

人民币利率互换中风险的市场价格

为研究人民币利率互换市场中流动性风险和违约风险的市场价格,运用三因子广义高斯仿射模型,同时对人民币国债市场利率、银行间质押式回购市场利率和利率互换市场利率进行模拟,并采用极大似然估计方法估计众多参数。结果发现,在目前的人民币利率互换定价过程中,流动性要素相对违约要素更加重要,市场给予流动性风险以显著的风险溢价。如采用互换利差定价法为人民币利率互换定价的话,可以以回购利率作为基准,在此基础上考虑信用风险来进行。     

多个期限长度下金融市场对汇率波动的影响分析

自汇率改革后,人民币对美元的汇率不再恒定不变,为汇率的波动性分析提供了研究的可能,利用2005年7月到2008年5月的数据,以我国与美国的货币市场、资本市场的市场利率为基础,先后在不同的期限长度下探讨了其对人民币汇率波动影响.继承国外较为认可的时变风险溢价是非抛补利率平价不成立的主要因素这一结论,拓宽了考虑范围,在现有数据的基础上利用向量自回归对时变风险溢价进行了定量研究.认为汇率波动在短期内主要受资本市场影响,中期主要受控于利率波动即货币政策的变更以及长期下只受宏观经济状况影响的结论,与国外的研究成果较为一致.     

基于VAR模型的QE政策下人民币汇率传导机制研究

针对美国实施的量化宽松货币政策,基于Frankel理论,通过建立VAR模型实证分析货币政策的汇率传导机制.研究发现:在美国四轮(2008-2014)QE国际环境下,从长期看,相对货币供给、利差、通货膨胀差、相对真实收入和人民币汇率具有一定长期均衡关系,但单个变量对汇率的影响并不显著,货币政策并不具有汇率有效传导机制;从短期看,上述长期均衡关系是汇率变化的重要因素,汇率的短期波动在很大程度上来自于系统对偏离这种长期均衡的修复,汇率的即期波动也受其自身、货币供给及真实收入的影响,且短期传导机制具有一定滞后性,其中货币供给效应滞后2个月;从中短期看,汇率变化除受到很强的自身相关性影响外,也受相对真实收入、相对利率冲击的影响,且影响滞后持久、深远(至少10个月),具有显著的汇率理论传导效应.据此提出了相关建议.     

基于STR模型的人民币汇率利率协调机制研究

本文应用非线性平滑转换回归模型研究了2002年1月份到2011年12月份我国与美国、欧元区、日本、韩国等有效汇率指数、综合利差之间的关系。实证分析表明,汇率对利率的影响具有明显的非对称性,具有较强的非线性转移动态特征。分国别看,四个国家或地区之间的上期利差均是影响本期利差的重要因素;在短期内汇率对利率影响较大。因此,短期内人民币汇率弹性的扩大应该主动、逐步、稳定进行,防止人民币汇率弹性的急剧扩大导致利率的过度波动。其次,逐步有序加快利率市场化进程并加强与汇率市场化的配合,构建高效的汇率-利率联动机制。     

贸易战前后中美股市联动性研究

选取标普500指数和上证综指为研究变量,运用ECM模型研究贸易战前后中美两国股市的联动性.将标普500指数和上证综指的历史交易数据分为2个时间段,2018年3月23日(该日特朗普签署总统备忘录,标志中美贸易战正式打响)为分界点.时段1为2017年1月3日-2018年3月22日,该时间段内,中美还没有开始打贸易战;时段2为2018年3月23日-2019年6月7日,为中美贸易战开打后的时间段.分段研究中美贸易战开打之前和开打之后中美两国股市的联动性,研究发现:1)无论贸易战打响之前还是打响之后,我国股票市场都受到美国股票市场的影响,而反过来,中国股票市场的走向几乎不会对美国股市造成影响;2)中美贸易战开打之前,中美股市联动性较强,中国股市走向很大程度上依赖于美国股市行情;而贸易战开打之后,中美两国股市联动性降低,我国股市对美国股市的依赖性减弱.     

美国四轮量化宽松货币政策对我国跨境资本流动的影响分析

本文以2008年1月至2013年3月为样本区间,通过构造VAR模型进行脉冲响应和方差分解分析,研究美国QE1-QE4的实施对于我国跨境资本流动的影响.选取美元增发作为美国QE政策的直接操作变量,人民币汇率、中美利差和大宗商品价格作为美国QE政策的间接影响变量,发现以上变量均对我国跨境资本流动有显著影响,且发挥作用的持续时间均在半年左右,但影响强弱略有不同.其中,价格渠道影响最大,利率次之,汇率较小,美元增发影响最小.因此,我国需要完善价格决定机制,发挥市场作用,引导资本合理流动与配置.     

中国股票市场交易量与价格波动关系实证研究

利用个股数据资料和非对称成分GARCH-M模型对中国股票市场的量价关系进行了实证研究.结论显示:股价的短期波动主要由非预期交易量解释,即非预期交易量所揭示的新信息是产生价格波动的根源;中国股票市场部分个股存在明显的杠杆效应,利空消息对市场波动的冲击大于同等程度的利好消息对市场波动的冲击;非预期交易行为对市场波动的冲击存在显著的非对称特征,正的交易量冲击(交易量放量冲击)比同等程度的负交易量冲击(交易量缩量冲击)对市场波动的影响更大.     

基于贝叶斯平滑转移模型的汇率非线性协整关系研究

针对平滑转移模型参数估计不确定性导致的协整检验方法相对复杂问题,提出基于平滑转移模型的贝叶斯非线性协整分析。通过模型的统计结构分析,选择参数先验分布,结合参数的后验条件分布特征设计Metropolis-Hasting-Gibbs混合抽样方案,据此估计平滑转移模型的参数,并对回归残差进行贝叶斯单位根检验,解决参数估计过程中遇到的参数估计不确定性及协整检验复杂的问题;利用人民币对美元汇率与中美两国的利率数据进行实证分析。研究结果表明:MH-Gibbs抽样方案能够有效估计平滑转移模型的参数,中美汇率波动和利差之间存在平滑转移协整关系。     

过度自信与风险溢价研究

非理性投资者的心理会影响风险溢价。本文基于投资者的过度自信心理偏差构建了证券投资的理性风险溢价度量模型、非理性风险溢价度量模型,并利用理性投资者和非理性投资者的相互作用,构建了证券投资的市场风险溢价度量模型,研究了非理性风险溢价对理性风险溢价和市场风险溢价的偏离问题。研究结论表明:非理性风险溢价偏离市场风险溢价的程度依赖于非理性投资者的市场价值权重。     

A multiple-curve HJM model of interbank risk

In the aftermath of the 2007?C2009 financial crisis, a variety of spreads have developed between quantities that had been essentially the same until then, notably LIBOR?COIS spreads, LIBOR?COIS swap spreads, and basis swap spreads. By the end of 2011, with the sovereign credit crisis, these spreads were again significant. In this paper we study the valuation of LIBOR interest rate derivatives in a multiple-curve setup, which accounts for the spreads between a risk-free discount curve and LIBOR curves. Towards this end we resort to a defaultable HJM methodology, in which these spreads are explained by an implied default intensity of the LIBOR contributing banks, possibly in conjunction with an additional liquidity factor. Markovian short rate specifications are given in the form of an extended CIR and a Lévy Hull?CWhite model for a risk-free short rate and a LIBOR short spread. The use of Lévy drivers leads to the more parsimonious specification. Numerical values of the FRA spreads and the basis swap spreads computed with the latter largely cover the ranges of values observed even at the peak of the 2007?C2009 crisis.     

Pricing Defaultable Bonds in a Markov Modulated Market

We address the problem of pricing defaultable bonds in a Markov modulated market. Using Merton's structural approach we show that various types of defaultable bonds are combination of European type contingent claims. Thus pricing a defaultable bond is tantamount to pricing a contingent claim in a Markov modulated market. Since the market is incomplete, we use the method of quadratic hedging and minimal martingale measure to derive locally risk minimizing derivative prices, hedging strategies and the corresponding residual risks. The price of defaultable bonds are obtained as solutions to a system of PDEs with weak coupling subject to appropriate terminal and boundary conditions. We solve the system of PDEs numerically and carry out a numerical investigation for the defaultable bond prices. We compare their credit spreads with some of the existing models. We observe higher spreads in the Markov modulated market. We show how business cycles can be easily incorporated in the proposed framework. We demonstrate the impact on spreads of the inclusion of rare states that attempt to capture a tight liquidity situation. These states are characterized by low risk-free interest rate, high payout rate and high volatility.     

Restructuring risk in credit default swaps: An empirical analysis

This paper estimates the price for restructuring risk in the US corporate bond market during 1999–2005. Comparing quotes from default swap (CDS) contracts with a restructuring event and without, we find that the average premium for restructuring risk represents 6%–8% of the swap rate without restructuring. We show that the restructuring premium depends on firm-specific balance-sheet and macroeconomic variables. And, when default swap rates without a restructuring event increase, the increase in restructuring premia is higher for low-credit-quality firms than for high-credit-quality firms. We propose a reduced-form arbitrage-free model for pricing default swaps that explicitly incorporates the distinction between restructuring and default events. A case study illustrating the model’s implementation is provided.     

Interest rate swap pricing with default risk under variance gamma process

Under the assumption that the dynamic assets price follows the variance gamma process, we establish a new bilateral pricing model of interest rate swap by integrating the reduced form model for swap pricing and the structural model for default risk measurement. Our pricing model preserves the simplicity of the reduced form model and also considers the dynamic evolution of the counterparty assets price by incorporating with the structural model for default risk measurement. We divide the swap pricing framework into two parts, simplifying the pricing model relatively. Simulation results show that, for a one year interest rate swap, a bond spread of one hundred basis points implies a swap credit spread about 0.1054 basis point.     

Estimation and evaluation of the term structure of credit default swaps: An empirical study

Chen, Cheng, Fabozzi and Liu [Chen, Ren-Raw, Cheng, Xiaolin, Fabozzi, Frank, Liu, Bo, 2008. An explicit, multi- factor credit default swap pricing model with correlated factors. J. Financial Quantitative Anal. 43 (1), 123-160] provide an explicit solution to the value of the credit default swap when the interest rate and the hazard rate are correlated. They also provide empirical evidence to support the model with transaction prices. In this paper, we extend their empirical work to study the term structure of CDS spreads by using a matrix CDS dataset from J. P. Morgan Chase. Matrix data contain interpolated prices based on traders’ expectations, which are often criticized as being “unreal”. However, the benefit of this matrix dataset is that it contains the entire credit spread curves, which allows us to understand the cross-sectional variation of the credit risk. The empirical results show that the parameters of the model are highly significant and it captures most of the cross-sectional as well as time series variation.     

基于双因子CIR强度式定价的信用债券投资组合优化

信用风险和利率风险是相互关联影响的。资产组合优化不能将这两种风险单独考虑或简单的相加,应该进行整体的风险控制,不然会造成投资风险的低估。本文的主要工作:一是在强度式定价模型的框架下,分别利用CIR随机利率模型刻画利率风险因素“无风险利率”和信用风险因素“违约强度”的随机动态变化,衡量在两类风险共同影响下信用债券的市场价值,从而构建CRRA型投资效用函数。以CRRA型投资效用函数最大化作为目标函数,同时控制利率和信用两类风险。弥补了现有研究中仅单独考虑信用风险或利率风险、无法对两种风险进行整体控制的弊端。二是将无风险利率作为影响违约强度的一个因子,利用“无风险利率因子”和“纯信用因子”的双因子CIR模型拟合违约强度,考虑了市场利率变化对于债券违约强度的影响,反映两种风险的相关性。使得投资组合模型中既同时考虑了信用风险和利率风险、又考虑了两种风险的交互影响。避免在优化资产组合时忽略两种风险间相关性、可能造成风险低估的问题。     

中国利率风险溢酬:时变特征与影响因素

利率风险溢酬是长期利率的组成部分,解读它所包含的信息、寻找它的来源有着重要的经济意义。本文先使用利率仿射模型,计算出先验的中国国债利率期限溢酬,然后构建VECM模型,运用脉冲响应、方差分析等技术,分析国债利率的风险溢酬和主要宏观经济变量的动态关系,发现宏观变量对溢酬的影响在当期和滞后几期有明显差异,CPI和GDP是影响最大的两个因素,但信贷供应量和M1的作用也较大。我们同时也发现银行间市场投资者比交易所市场投资者更易受到宏观经济的影响。     

Term structure of interest rates and the expectation hypothesis: The euro area

This paper investigates the informational content of the yield curve in the European market using data on the Italian term structures. According to the expectation hypothesis theory (EHT) the current forward rate equals the future short rate plus a constant risk premium that is time invariant but maturity dependent. This theory has been widely tested in the empirical literature providing various findings according to the country where it has been applied and to the segment of the yield curve examined or the period under study. The standard approach to test the EHT uses the regression techniques assuming data on spot rates and their first differences to be stationary. Recently an increasing number of studies evidenced the non stationarity of interest rates time series and some tests of the EHT are formulated using term spread and forward-spot spread which are stationary. A new strand of literature suggests to investigate the EHT using a restricted VAR framework. In this paper, following [Jondeau, E., Ricart, R., 1999. The expectations hypothesis of the term structure: tests on us, german, french and uk euro-rates. Journal of International Money and Finance 18, 725–750, Ghazali, N.A. Low, S.W., 2002. The expectations hypothesis in emerging financial markets: the case of malaysia. Applied Economics 34, 1147–1156 and Seo, B., 2003. Non linear mean reversion in the term structure of interest rates. Journal of Economic Dynamics and Control 27, 2243–2265], we test if the expectation hypothesis holds using cointegration and error correction analysis. For the period under study results suggest that the long and short term interest rates are cointegrated and therefore subject to a long equilibrium path, providing evidence that the EHT holds for the Italian and the European market.     

An analytical study of a swapping operation in the money market

Investors in money markets have found a class of transaction in which return from investment can be increased without increasing the risk taken. We formally analyse one of these operations (usually referred to as a ‘swap’) and obtain the condition under which it is possible to obtain a swap profit.From this condition, an indicator is obtained to aid the decision of when to engage a swap. The indicator evidences the role played by the spread between yield rates, time to maturity and timing, in a swap.Finally the indicator is used to derive some mathematical properties of the swapping operation. We show that a trend toward widening spreads is neither a necessary nor a sufficient condition for a swap-profit to be obtained. We give examples using hard data to support our theoretical results.