首页 | 本学科首页   官方微博 | 高级检索  
     检索      

金融危机下中美两国利率互换市场的特征及互动性分析
引用本文:陈正声,秦学志,杨瑞成.金融危机下中美两国利率互换市场的特征及互动性分析[J].运筹与管理,2012(1):155-166.
作者姓名:陈正声  秦学志  杨瑞成
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
基金项目: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)
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。

关 键 词:管理科学:金融市场  互动性分析  利率互换

The Characteristics and Interaction Analysis of China and the U.S. Interest Rate Swap Market Under the Financial Crisis
CHEN Zheng-sheng,QIN Xue-zhi,YANG Rui-cheng.The Characteristics and Interaction Analysis of China and the U.S. Interest Rate Swap Market Under the Financial Crisis[J].Operations Research and Management Science,2012(1):155-166.
Authors:CHEN Zheng-sheng  QIN Xue-zhi  YANG Rui-cheng
Institution:1.Department of Risk Management,Bank of Dalian,Dalian 116001,China;2.School of Management,Dalian Univ.of Technol,Dalian 116023,China;3.Mathematics and Information Department,Lu Dong Univ.YanTai 264025,China)
Abstract: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.
Keywords:management science  financial market  interaction analysis  interest rate swaps
本文献已被 CNKI 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号