The Study On Sovereign Credit Risk Of Currency Swap In China

Since the economic crisis 2008,China has actively promoted currency swaps to promote bilateral trade and investment growth,and to expand the use of the RMB.The number of countries and regions that have signed currency swaps with china have reached 38,totaling 366.87 billion yuan.a huge currency swap network have formed,which is still expanding.However,the currency swap countries are diversified,the geographical area is wide,the level of economic development is very different,and the risk of currency swaps is gradually accumulating,attention should be paid.There have been a lot of study on the effects and motivations of currency swaps,but the potential risks of currency swaps are rarely seen,and there is no strict quantitative study.This paper aims to conduct an empirical study on the sovereign credit risk of the existing currency swap countries.First,summarizes the currency swap and its risks,sovereign credit risk.Then analyzes the sovereign credit risk of the currency swap countries from both fiscal risk and political risk.Then integrate the fiscal risk and political risk,form the sovereign credit risk score of the currency swap.On this basis,evaluates the sovereign credit risk of currency swap countries and puts forward suggestions for the three situations of high,medium and low sovereign credit risk.Fiscal risk is measured by the GAP model of currency swap,which combines the trend of fiscal gap and the gap value.The sample countries are divided into three categories and the sources of risk are compared horizontally.It is considered that the fiscal surplus rate is the most important macroeconomic indicator affecting the fiscal risk of each country.In the aspect of political risk,the authoritative political index system is synthesized,and the relevant political risk indicators of currency swap are selected.Finally,the political risk scores of sample countries are obtained and divided into three types of horizontal comparative risk sources.The quality of government is the main source of political risk.Finally,integrates financial and political risks,compares with the risk ratings of major rating agencies,evaluates the sovereign credit risk of the current currency swap countries,and proposes to increase the scale of currency swap to promote bilateral trade and investment with the will of both sides for low-risk countries.For high-risk countries,it is suggested that close attention should be paid to each other’s financial and political situation,and appropriate risk early warning and default handling mechanisms should be established.