宏观经济因素对利率互换期限结构的影响研究

A Study on the Impact of Macroeconomic Factors on Term Structure of Interest Rate Swaps

利率互换(IRS)是海外投资机构最为熟悉和常用的固定收益避险工具,且宏观经济因素是固定收益类产品的主要影响因素,因此研究宏观经济因素对利率互换的影响是海外投资者进入境内利率避险市场的首要课题。本文首先采用主成分法分析了IRS的期限结构,选取PMI、CPI、PPI以及R007作为宏观经济在经济增长、通货膨胀以及货币政策三个方面的代理变量,采用误差修正模型解释了宏观经济变量对IRS期限结构的影响。研究结果表明:通货膨胀,经济增长以及货币政策都对利率互换曲线有着显著的影响,利率互换能够地对宏观经济的变化做出响应。因此对由于宏观经济因素导致的利率风险,海外投资者可以考虑采用利率互换作为此类风险的对冲工具。

Interest rate swap(IRS) is the most familiar and commonly used interest rate hedging tool for overseas investment institutions, and macroeconomic factors are the main factors affecting fixed income products. Therefore,the study of the impact of macroeconomic factors on interest rate swap is the primary topic for overseas investors to enter the domestic interest rate hedging market. In this paper, the principal component method is used to analyze the term structure of IRS. PMI, CPI, PPI and R007 are selected as the proxy variables of macroeconomic growth, inflation and monetary policy. The error correction model is used to explain the impact of macroeconomic variables on the term structure of IRS. The results show that inflation, economic growth and monetary policy have significant effects on the interest rate swap curve, and the interest rate swap can respond to macroeconomic changes. Therefore, because of the interest rate risk caused by macroeconomic factors, overseas investors can consider using interest rate swap as a hedging tool for such risk.