CAJ | 학술논문

作为全世界交易量最大、应用最广泛的利率衍生产品,利率互换受到了投资者和研究者的广泛专注,对于互换利差影响因素的研究也一直是热点问题。中国的利率互换市场还处于起步阶段,本文对于中国市场互换利差的影响因素进行了深入的研究,发现与国外成熟市场的研究一致的是我国银行间市场互换利差也受到信用风险溢价、流动性溢价、利率期限结构斜率以及利率波动性的影响,除此之外本文的结果还表明我国市场的互换利差还显著受到宏观经济景气程度和银行资金面状况的影响。多元GARCH模型的结果则表明各期限互换利差间的动态相关性也是互换利差各自动态过程的一个重要影响因素。
작위전세계교역량최대、응용최엄범적리솔연생산품,리솔호환수도료투자자화연구자적엄범전주,대우호환리차영향인소적연구야일직시열점문제。중국적리솔호환시장환처우기보계단,본문대우중국시장호환리차적영향인소진행료심입적연구,발현여국외성숙시장적연구일치적시아국은행간시장호환리차야수도신용풍험일개、류동성일개、리솔기한결구사솔이급리솔파동성적영향,제차지외본문적결과환표명아국시장적호환리차환현저수도굉관경제경기정도화은행자금면상황적영향。다원GARCH모형적결과칙표명각기한호환리차간적동태상관성야시호환리차각자동태과정적일개중요영향인소。
As the world＇s most widely traded interest rate derivatives, interest rate swaps have attracted both investors＇ and researchers＇ attention, and the determinants of swap spreads has been a hot issue ever since. In this paper, we conduct an empirical study on factors that affect the price of swap spreads in Chinese market. Our results suggest that the credit risk premium, the liquidity risk premium, the slope of interest rate term structure and the volatility of interest rate have signifi cant impact on the swap spread in China＇s inter-bank market, which is consistent with the results in foreign mature markets. Meanwhile, we fi nd that swap spreads are also signifi cantly infl uenced by the degree of macro-economic climate and the repo rate. The result of multivariate GARCH model indicates that the dynamic correlation between swap spreads is also an important factor.