基于SHIBOR的利率互换定价研究

The study of IRS pricing based on SHIBOR

本文采用中国非金融上市公司截面数据,在控制相关变量下,应用OLS实证检验制度因素对资本结构选择的影响。研究表明制度因素在资本结构选择中扮演着重要角色。具体而言:(1)市场化总体进程和公司债务水平负相关;(2)政府干预程度指数得分高的地区的上市公司具有显著低的债务水平;(3)法律环境得分高的地区的上市公司具有显著低的债务水平;(4)金融市场发育程度高的地区的上市公司具有显著高的债务水平;(5)产品市场发育程度对资本结构选择的影响不显著。

This paper first gives a theory framework of swap pricing based on SHIBOR, then provides the empirical study based on inter-bank＇ s market data. Comparing the theory price with the market price, we find that the level of swap spread is close to that of historic average of US market at most maturity term. This means the commercial banks care more on the basic effect of SHIBOR, and which will help to promote SHIBOR as China＇ s actual benchmark interest rate of money market.