中美货币市场预期具有协动性吗?——基于利率互换合约价格的检验  

Do China and US Money Market Expectations Co-Move?An Empirical Study of Price Volatility of the Interest Rate Swap Contracts

作　　者：方先明[1] 裴平[1] 蒋彧[1] 

机构地区：[1]南京大学商学院,江苏南京210093

出　　处：《金融研究》2014年第7期32-48,共17页Journal of Financial Research

基　　金：国家社会科学基金重点项目(项目号:08AJY029);国家社会科学基金项目(项目号:14BGL031);国家自然科学基金青年项目(项目号:71301072);江苏省哲学社会科学基金重点项目(13EYA001)的资助

摘　　要：开放经济条件下,国际间货币市场预期协动性对一国金融资产定价和货币政策效果具有至关重要的影响。本文构建时变相关系数计量模型以及周期转换回归模型,选取2007年7月至2012年5月中美利率互换合约价格的样本数据,研究中美货币市场预期的协动性。其主要结论是:中美货币市场短期预期的时变相关性较高,且美国货币市场居于主导地位,这说明美国货币政策取向对中国货币政策具有溢出效应;中美货币市场中长期预期的时变相关性较低,表明转型过程中的中国经济发展具有独特性;从周期转换特征看,中美货币市场预期周期转换不具有协动性。这样的结论能够为中国进一步深化金融改革开放,提高货币政策有效性提供经验证据。The co- movement of international money market expectations has important impacts on pricing of financial asset and the effectiveness of monetary policy for a country with open economy.This paper constructs the time- varying correlation model and the periodic auto regression model to study the co- movement of China and US money market expectations based on the prices of interest rate swap contracts between July 2007 and May 2012.An empirical study shows that (1) the short term expectation of China and US money markets have relatively high correlations and US money market is in the dominant position;(2) the correlation of long term expectations is low,which indicates the uniqueness of China' s economic development during the process of economic transition;(3) the periodic characteristic of China and US money market expectations does not have co- movement.These conclusions provide empirical evidence for the promotion of opening- up of financial markets and the improvement of effectiveness of monetary policy in China.

关 键 词：货币市场预期 利率互换合约 时变相关性 周期转换 

分 类 号：F822[经济管理—财政学] F827.12