运筹与管理2012，Vol.21Issue(1)：155-166,12.
金融危机下中美两国利率互换市场的特征及互动性分析
The Characteristics and Interaction Analysis of China and the U.S.Interest Rate Swap Market Under the Financial Crisis
摘要
Abstract
Based on daily data of China and the U. S. Interest rate swaps from 2008 to 2009, we analyze and compare the major factors that impact on interest rate swap spreads of the two markets. Furthermore, the interaction analysis of China and the U. S. Interest rate swap market are empirically studied. The results show that the level of risk-free and slope of risk-free term structure are the main factors which affect the swap spread, and the effect of liquidity premium of China or default premium of U. S. For swap spread is also significant. The research also finds that; China and the U. S. Swap spreads are influenced each other. Especially, during the financial crisis, there is a clear interaction effect between China and the U. S. Interest rate swap market. On one hand, the information of U. S. Interest rate swap market on China' s market can be a strong shock, and the shock is subject to U. S. Economic conditions. On the other hand, China' s market on the U. S. Market also creates a certain reverse shock, and the shock is subject to China's monetary policy.关键词
管理科学/金融市场/互动性分析/利率互换Key words
management science/ financial market/ interaction analysis/ interest rate swaps分类
管理科学引用本文复制引用
陈正声,秦学志,杨瑞成..金融危机下中美两国利率互换市场的特征及互动性分析[J].运筹与管理,2012,21(1):155-166,12.基金项目
国家自然科学基金资助项目(71171032) （71171032）
教育部博士点基金(20090041110009) （20090041110009）
中央高校基本科研业务费专项资金(DUT11RW202,DUT10ZD107,DUT10RW107) （DUT11RW202,DUT10ZD107,DUT10RW107）
教育部人文社会科学研究项目(10YJC630334) （10YJC630334）
山东省自然科学基金资助项目(2009ZRB,019AV) （2009ZRB,019AV）
