中国利率互换套期保值有效性实证研究

为了研究我国利率互换的套期保值功能,该文利用协整检验分析利率互换和国债的长期均衡关系,并通过确定套期保值比率的OLS模型和套期保值绩效的衡量指标,对利率互换的套期保值比率和绩效进行了实证研究。结果显示,我国当前利率互换和国债收益率并不存在长期均衡关系;利率互换市场尚未发挥套期保值功能,其运行效率有待进一步提高。

Effectiveness of hedging via interest-rate swaps in China: An empirical study

To assess the effectiveness of hedging via interest-rate swaps in China, this paper uses a co-integration method to test the long-term equilibrium relation between interest-rate swaps and Treasury bonds. With the OLS model for hedging ratio and indexes for hedging performance, the author makes an empirical analysis of the ratio and performance of hedging via interest-rate swaps. The findings are: There is no long-term equilibrium relation between interest-rate swaps and T-bond yields in China; the interest-...