场外衍生品市场清算机制转变研究——基于利率互换合约的检验  

Research on the Change of Clearing mechanism on the OTC derivatives market- Based on the Test of Interest Rate Swap Contracts

作　　者：马克 MA Ke(Institute of World Economy,Shanghai Academy of Social Sciences,Shanghai 200050,China;Shanghai WTO Affairs Consulting Center,Shanghai 200050,China)

机构地区：[1]上海社会科学院世界经济研究所,上海200050 [2]上海WTO事务咨询中心,上海200050 [3]中国人民银行上海总部,上海200120

出　　处：《经济研究导刊》2021年第14期86-88,140,共4页Economic Research Guide

摘　　要：在2008年国际金融危机中,场外衍生品成为金融风险传递、放大的重要渠道。后危机时代,金融界普遍认为引入中央对手清算是控制场外衍生品市场风险、提升市场效率的有效手段。基于此,采用双重差分法检验了中央对手清算机制对场外衍生品市场效率的影响,并提出应从扩大中央对手清算覆盖范围、加快落地参与者经济激励措施以及促进跨境监管协调三个方面优化我国银行间市场清算机制,以促进市场效率提升。In the 2008 international financial crisis,over-the-counter derivatives have become an important channel for the transmission and amplification of financial risks.In the post-crisis era,it is generally believed that the introduction of the central counterparty clearing mechanism is an effective means to reduce the risk of the OTC derivatives market.This paper uses the transaction data of some OTC derivatives from 2013 to 2019 and uses the Difference in Differences(DID)method to explore the impact of the central counterparty clearing mechanism on the efficiency of the OTC derivatives market.The research conclusion shows that,compared with currency swaps that do not use mandatory centralized clearing,the transaction price and spread of interest rate swap contracts that use mandatory centralized clearing are significantly reduced.This shows that the central counterparty clearing mechanism has improved the efficiency of the interest rate swap market.Therefore,in order to optimize China's inter-bank market clearing mechanism and promote the improvement of market efficiency,this paper puts forward policy recommendations from three aspects:expanding the coverage of central counterparty clearing,accelerating economic incentives for participants,and promoting cross-border regulatory coordination.

关 键 词：场外衍生品 市场清算机制 利率互换 

分 类 号：F830[经济管理—金融学]