利率互换套利交易模式及其影响因素研究——基于我国银行间同业拆放利率  

The Research of Interest Rate Swap Arbitrage Trading Patterns and its Influencing Factors———Based on China's Inter-bank Loan Interest Rates

作　　者：张戡[1] 李小兰[1] 

机构地区：[1]中南财经政法大学,武汉430073

出　　处：《金融理论探索》2016年第1期5-11,共7页Exploration of Financial Theory

基　　金：中央高校基本科研业务费项目(31540910508);湖北省金融研究中心研究项目(2011005);中南财经政法大学引进人才启动金项目(90407001105)

摘　　要：以利率互换利差分析为基础,探讨了银行间市场回购养券和利率互换组合的套利模式,从理论上测算了套利空间,并通过动态面板模型实证研究了套利利差的影响因素。基于Shibor(上海银行间同业拆放利率)的实证结果表明,利率水平、利率期限结构的斜率因素对套利利差产生反向显著影响;利率波动率、新股发行对套利利差产生正向显著影响,流动性差异因素的影响不显著;新股发行以及货币政策转向时,存在较好的利率互换套利交易时机。Based on the analysis of interest rate swap spread, this paper discuss the arbitrage model of the inter bank market repo rate and the interest rate swap portfolio,the arbitrage space is calculated theoretically,and the influencing factors of the arbitrage spreads are studied by the dynamic panel model. Empirical results based on Shibor show that Interest rate and the slope of the term structure of interest rates have a negative impact on the spread of arbitrage,however,interest rate volatility,the issue of new shares have a positive impact on the spread of arbitrage. In addition the effect of liquidity difference is not significant. The empirical results also show that when issue new shares as well as the monetary policy, there is a good interest rate swap arbitrage opportunity.

关 键 词：利率互换 回购 套利 

分 类 号：F832.5[经济管理—金融学]