Research On The Influencing Factors Of RMB Interest Rate Swap Spreads

In the 1970s,in response to the exchange rate fluctuations and the "stagflation"economic situation after the collapse of the Bretton Woody Institutions,advanced economies frequently adjusted their interest rate-related policies so that investors'demand for interest rate hedging instruments was increasingly strong.Interest rate swaps In this context,it emerges and becomes the most important interest rate derivative in the current international market.In recent years,with the market-oriented reforms of interest rates in our country proceeding constantly,investors like domestic financial institutions and real enterprises urgently need interest rate risk management tools,and the demand for interest rate swaps is increasingly exuberant.However,since China's interest rate swap market was formally established in 2006,it has only gone through 10 years of development.It has been unable to meet more and more investments in terms of trading volume,participants' institutions,trading varieties and trading terms.In order to promote the steady development of the financial market,meet the trading needs of investors and enhance the investors' familiarity and cognitive ability with the interest rate risk management tools,domestic scholars are paying more attention to the pricing mechanism of interest rate swap market.Exploring the influencing factors of interest rate swaps spreads and their influencing mechanisms in depth are the further complement of the pricing mechanism,which has very important theoretical and practical significance.First of all,in the part of literature review,this paper combs the existing theory of the mechanism of the price of financial assets and provides the research ideas and theoretical enlightenments for the study of the influencing factors of interest rate swaps spreads.Then,combining the characteristics of the RMB interest rate swap market and the bond market,we use the liquidity preference theory and the comparative advantage theory to analyze the direct influence factors of RMB interest rate swaps,and from the perspective of information asymmetry,we further analyze the main factors that affect the rate fluctuation of RMB interest rate spreads.Based on theoretical derivation,this article sums up six factors that have a major impact on the interest rate swap spreads:term structure of interest rates,financing cost differences,bond yield general interest rate levels,credit risk,interest rate volatility,and open market operations,and From the risk aversion of the bond market,the pursuit of risk-free arbitrage in the investment portfolio,and the existence of game speculation in the interest rate swap market,the specific mechanism of the six factors was analyzed.Finally,we use the daily active species data from March 18,2010 to December 22,2017 as the sample interval,a total of 1943 sample data to establish the vector autoregression model of short-term,medium-term and long-term interest rate swap spreads and carry out the auxiliary Granger causality test.Based on this model,the implication path and influence degree of each specific influencing factor are empirically analyzed with the generalized impulse response function,and the theoretical assumptions are verified.According to the theoretical and empirical analysis,it is found that the efficiency of the RMB interest rate swap market is not perfect,interest rate swap spreads have a more obvious path dependence and can be predicted through historical data.The term structure of government bond yields,differences in financing costs of market participants,levels of government bond yields,credit risk,interest rate volatility and OMO all use investors' trading practices to influence Interest rate spreads of different maturities,of which credit risk,the term structure of interest rates and the general level of bond yields can largely explain the level of spreads for all maturities,enabling a more accurate prediction of the spread;RMB interest rate swap spreads can not well reflect the cost of capital in the money market,did not give full play to the indicator function of the "barometer" of the capital price.Finally,this paper puts forward the specific policy recommendations on the above conclusions.First,the market for interest rate swaps will be opened up to non-financial enterprises,which will enrich the types of institutions and trading needs and increase the efficiency of interest rate swap markets.Secondly,by increasing the correlation between reference interest rate and corporate assets and liabilities,the overall liquidity of all varieties of interest rate swaps will be raised in an all-round way.Thirdly,it is necessary to actively develop market participants with higher capital sensitivity,enhance the diversification of trading strategies and play the role as the "barometer" of fund prices.Fourth,increase the transparency of interest-rate related information and reduce market failures.