中国市场利率互换利差的影响因素分析

发布时间：2018-04-13 22:14

本文选题：利率互换 + 互换利差　；参考：《复旦大学》2014年硕士论文

【摘要】：本文选取中国市场以FR007为浮动端参考利率的1年期、3年期和5年期利率互换月度交易数据与对应期限的国债利率月平均数据之差,即互换利差,作为研究对象,通过对过去研究成果的总结并结合中国市场情况,采用逐步回归法,选取出4个互换利差的重要影响因素：通货膨胀率,7天国债回购利率,利率期限结构斜率,以及短期利率波动。4个因素代理变量分别为：CPl月度同比增长率,R007月平均值,1年期国债利率,以及10年期国债利率与1年期国债利率之差。在进行多元线性回归之后,选用VAR模型研究各因素对互换利差的滞后影响,并进行相应的脉冲响应函数计算和方差分解。研究结果显示,除互换利差本身外,利率期限结构斜率对互换利差的影响最大。当斜率变陡峭,互换利差显著增大,但斜率的方差贡献率会随着期限的增加而变小；作为利率互换浮动端参考利率的计算基础,7天国债回购利率也对互换利差有很明显的正向影响；当通货膨胀率增大,互换利差缩小,这可能由于国债利率对通货膨胀率更加敏感所致；最后,短期利率波动增大也会对互换利差形成负向影响。
[Abstract]:In this paper, we select the difference between the monthly transaction data of FR007 and the monthly average data of Treasury bond interest rate of corresponding maturity, that is, the swap interest rate difference, which is one year, three and five years interest rate swap data, which is the floating end reference rate of Chinese market, as the research object.By summing up the past research results and combining with the market situation in China, this paper selects four important factors that affect the swap spreads: inflation rate, 7 days Treasury bond repo rate, interest rate term structure slope, and the stepwise regression method.The four agent variables are the average monthly growth rate of R007, the interest rate of 1-year bond, and the difference between the interest rate of 10-year bond and the interest rate of 1-year bond.After multivariate linear regression, VAR model is used to study the lag effect of various factors on the swap interest difference, and the corresponding impulse response function and variance decomposition are carried out.The results show that the slope of the term structure of interest rate has the greatest influence on the swap spread except the swap spread itself.When the slope becomes steep, the swap spread increases significantly, but the variance contribution rate of the slope decreases with the increase of the term.As the basis for calculating the reference interest rate at the floating end of interest rate swaps, the seven-day government bond repo rate also has a significant positive impact on the swap spread; when inflation increases, the swap spread shrinks.This may be due to the fact that Treasury interest rates are more sensitive to inflation; finally, higher volatility in short-term interest rates can also have a negative impact on swap spreads.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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