An Empirical Research Of Factors Of RMB Interest Rate Swap Spreads And Investment Strategies

RMB interest rate swap market was established in February2006, with a nominal amount and the State Development Bank, China Everbright Bank to5billion yuan interest rate swap transaction, marking the official start of the RMB interest rate swap business. At first RMB interest rate swap market is relatively small, less liquid, more single transaction subject participation. After eight years of rapid development of the monthly average market reached100billion yuan, more diversified trade body. In these eight years of development history, the purpose of the interest rate swap market participants vary, there is hedging, speculative, there is arbitrage. When they make these deals are more concerned about the trend of interest rate swap spread, then what is the interest rate swap spread its influence factors? The so-called interest rate swap spread is the difference between swap rates and bond yields of the same maturity.To solve these problems, this paper analyzes both quantitative and qualitative standpoint, the RMB interest rate swap spreads factors for a more comprehensive analysis. From the research results, the RMB interest rate swap spread mainly by credit risk, volatility of the slope of the term structure of interest rates, the curvature of the term structure of interest rates and the stock market impact. According to these findings markets investors can refer to these factors, and tracking, these factors determine the trend in the future, and thus be on the interest rate swap spread of investment, speculation, etc. trading activities. However, analysis of the interest rate swap spreads tracking changes is not easy, especially in different economic cycles, different economies, these factors will change dynamically.Firstly, using simple linear regression model to analyze the potential impact of factors observed a significant degree of swap spread and correlation of various factors and various factors that impact on the swap spread. From the analysis of the results we can see that the swap spread a positive correlation with the credit risk, and a significant impact on the credit risk of interest rate swap spread movements. We all know the interest rate swap is an agreement signed by the parties swap carried out, not because of the credit swap body is the most advanced, it may default exists. So, to say the credit risk of having a significant impact on the level of interest rate swaps.Dynamic changes RMB interest rate swap spreads for influencing factors, we use a VAR model, impulse response functions and variance decomposition of the dynamic changes in various factors were studied. As can be seen from the results, after the initial moment of a unit of disturbance on the one-year interest rate swap spread impact, changes in spreads more from their influence, the second is from the impact of credit risk. And with each lag period after impact, the impact of various factors on the swap spread gradually stabilized, then the investment should be maintained in practice emphasis on the impact of various factors. We also find the liquidity risk of the RMB interest rate swap spread is currently difficult to measure certain indicators directly out of this I believe that the development of the RMB interest rate swap market, the United States and other developed countries have not so perfect for this, the author suggestions for future scholars can try to use the sale of the interest rate swap offer to represent this indicator.An Empirical Study of the article relative to the only multiple linear regression models, more precisely the impact of various factors on the RMB interest rate swap spread, the biggest innovation is made in practice some of their own on investment among recommendations. In particular, certain factors in the short term on the swap spread has a positive correlation role, but in which it has a negative long-term effects. Of course, in the writing of this article or some limitations exist. Variable selection, even after repeated scrutiny, but inevitably there are wrong with it. In addition, also failed to introduce more subdivision factor. So in the future to improve the RMB interest rate swap market, the development of the next, in which the restructuring and development of the economic cycle and the economy, scholars can coneinue to conduct in-depth research in this context.