人民币隔夜利率互换境内外市场联动效应研究  

Linkage effects of onshore and offshore RMB overnight interest rate swap market

作　　者：于孝建[1,2] 菅映茜[2] 

机构地区：[1]华南理工大学金融工程研究中心,510006 [2]华南理工大学经济与贸易学院,510006

出　　处：《上海经济研究》2011年第10期67-76,共10页Shanghai Journal of Economics

基　　金：广东省哲学社会科学规划项目(编号:GD10XYJ11);广东省普通高校人文社科重点研究基地项目(编号:x2jmN910019a)

摘　　要：本文研究了2008年-2010年期间3个月、6个月、9个月和1年期的以隔夜SHIBOR为标的的境外无本金交割人民币隔夜利率互换市场和境内人民币隔夜利率互换市场的联动效应,通过采用Granger因果检验和二元BEKK-GARCH(1,1)模型进行检验分析。研究发现:境内外市场之间无明显的报酬溢出效应;仅3个月期境内外市场存在显著双向波动溢出,其他期限均表现为境内对境外的单向波动溢出;动态相关性分析表明各期限境内外利率互换报价基本保持同向变化,但关系不稳定;央行基准利率的调整事件对相关系数的变化方向有显著影响。This paper investigates the linkage effects between the market of RMB Non-Deliverable Interest Rate Swap（NDIRS） and the market of onshore RMB interest rate swap（IRS） in 2008-2010 period.The interest rate swap with 3 month,6 month,9 month,and 1 year have been studied,which all based on overnight SHIBOR（Shanghai Interbank Offered Rate）.The results of Granger causality test indicate that there are no significant return spillovers between NDIRS and IRS with term less than 1year.Using the bivariate BEKK-GARCH（1,1） model,this paper finds there are only one-way strong statistical evidence of volatility spillover from the IRS into NDIRS,except 3 month which has two-way volatility spillovers.The dynamic correlations of IRS and NDIRS are unstable,but suggest that each term of offshore and onshore interest rate swap changes in the same direction.Interestingly,the benchmark rate adjustments of the People＇s Bank of China have significant influence on the change direction of the dynamic correlations.

关 键 词：利率互换 联动效应 BEKK-GARCH模型 波动溢出 

分 类 号：F830.9[经济管理—金融学]