利率互换利差影响因素分析

The Empirical Analysis of Factors Affecting Interest Rate Swap Spreads

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。

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.