人民币利率互换收益率（英）

WorkingPaperNo.1014 ChineseYuanInterestRateSwapYields by TanweerAkram SeniorVicePresident/SeniorEconomistatCitibank KhawajaMamun AssociateProfessoratSacredHeartUniversity February2023 *Theauthorsthankparticipantsatvariousworkshopsfortheirvaluablecomments. Importantdisclaimer:Theauthors’institutionalaffiliationsareprovidedonlyforidentificationpurposes.Viewsexpressedaresolelythoseoftheauthors.Thestandarddisclaimerholds. Thedatasetisavailableforreplication:Thedatasetusedintheempiricalpartofthispaperisavailableuponrequesttobonafideresearchersforthereplicationandverificationoftheresults. TheLevyEconomicsInstituteWorkingPaperCollectionpresentsresearchinprogressbyLevyInstitutescholarsandconferenceparticipants.Thepurposeoftheseriesistodisseminateideastoandelicitcommentsfromacademicsandprofessionals. LevyEconomicsInstituteofBardCollege,foundedin1986,isanonprofit,nonpartisan,independentlyfundedresearchorganizationdevotedtopublicservice.Throughscholarshipandeconomicresearchitgeneratesviable,effectivepublicpolicyresponsestoimportanteconomicproblemsthatprofoundlyaffectthequalityoflifeintheUnitedStatesandabroad. LevyEconomicsInstitute P.O.Box5000 Annandale-on-Hudson,NY12504-5000http://www.levyinstitute.org Copyright©LevyEconomicsInstitute2023Allrightsreserved ISSN1547-366X ABSTRACT ThispapermodelsthedynamicsofChineseyuan(CNY)–denominatedlong-terminterestrateswapyields.ThefinancialsectorplaysavitalroleintheChineseeconomy,whichhasgrownrapidlyinthepastseveraldecades.Goingforward,interestrateswapsarelikelytohaveanimportantroleintheChinesefinancialsystem.Thispapershowsthattheshort-terminterestrateexertsadecisiveinfluenceonthelong-termswapyieldaftercontrollingforvariousmacro-financialvariables,suchasinflationorcoreinflation,thegrowthofindustrialproduction,percentchangeintheequitypriceindex,andthepercentagechangeintheCNYexchangerate.Theautoregressivedistributedlag(ARDL)approachisappliedtomodelthedynamicsofthelong-termswapyield.TheempiricalfindingsshowthatthePeople’sBankofChina’sinfluenceextendseventotheover-the-counterderivativeproducts,suchasCNYinterestrateswapyields,throughtheshort-terminterestrate.ThefindingsreinforceandextendJohnMaynardKeynes’snotionthatthecentralbank’sactionshaveadecisiveroleinsettingthelong-terminterestrateinemergingmarketeconomies,suchasChina. KEYWORDS:ChineseYuan(CNY)Swaps;InterestRateSwaps;Short-TermInterestRate;MonetaryPolicy;ThePeople’sBankofChina(PBOC) JELCLASSIFICATIONS:E43;E50;E60;G10;G12 SECTIONI:INTRODUCTION ThispapereconometricallymodelsthedynamicsofChineseyuan(CNY)–denominatedlong-terminterestrateswapsusingmonthlymacroeconomicandfinancialdata.ThefinancialsectorplaysavitalroleintheChineseeconomy,whichhasgrownrapidlyinthepastseveraldecades.Therehasbeenarapidgrowthofoutstandingdebtandfixed-incomeinstruments,withnotabledevelopmentsininterestrateliberalization.Alongsidethesedevelopments,therehasbeenaspectacularriseinthecountry’sbondmarketandtotalsocialfinancingsincetheglobalfinancialcrisis. InterestrateswapsarelikelytoplayanimportantroleintheChinesefinancialsystem,whichhasbeenchangingfromabank-dominatedsystemtoonewithmorediversefinancialinstitutionsandincreasedmarketdominance,oftencharacterizedbyliquidityshocksandspikesininterestratesintheinterbankmarket.AlthoughthereisagrowingliteraturestudyingtheChinesefinancialsystem(Armstrong-Taylor2016;WalterandHowie2012),CNY-denominatedinterestrateswapyieldshavenotbeeneconometricallymodeled.TheanalysisofCNY-denominatedswapswarrantscarefulstudybecauseoftheincreasedfinancializationoftheChineseeconomyandtheriseofthenation’sshadowbankingsysteminwhichover-the-counter(OTC)derivatives,suchasswaps,arelikelytohaveaninstrumentalrole. Thispapershowsthattheshort-terminterestrateexertsadecisiveinfluenceonthelong-termswapyieldaftercontrollingforvariousmacroeconomicandfinancialvariables,suchasinflationorcoreinflation,thegrowthofindustrialproduction,thepercentagechangeintheequitypriceindex,andtheCNYexchangerate.ThisfindingisinconcordancewithJohnMaynardKeynes’s(1930,[1936]2007)astuteinsightabouttherelationshipbetweenthelong-terminterestrateandthecurrentshort-terminterestrate.Theautoregressivedistributedlag(ARDL)approachisappliedtomodelthedynamicsofthelong-termswapyieldusingmonthlydata. Thepaperproceedsasfollows.SectionIIprovidesashortprimeroninterestrateswapsandbrieflyreviewstherelevantliteratureonswapsandtheirapplications.SectionIIIoutlinesthemacroeconomicenvironmentinwhichtheinterestrateswapyieldsinChinaareevolving. SectionIVpresentsthedataandsourcesusedintheeconometricmodelingofswapyields,displaysthesummarystatistics,andundertakesunitrootandstationarytests.SectionVlaysouttheframeworkforeconometricmodels,reportsandinterpretsthefindingsfromtheestimatedmodels,anddiscussestheimplicationsoftheresults.SectionVIconcludes. SECTIONII:INTERESTRATESWAPSANDABRIEFREVIEWOFTHELITERATURE Interestrateswapsarecontractsthatenabletwopartiestoexchangetwointerestratecashflowswithdifferentfeatures.Swapsarederivativecontractsthattradeoverthecounter.Theprincipalamount,whichisknownasthenotionalpri