| 关于国际市场重要利差指标的研究 |
| |
| 引用本文： | 杨凝,董琦. 关于国际市场重要利差指标的研究[J]. 中国货币市场, 2012, 0(6): 39-45 |
| |
| 作者姓名： | 杨凝 董琦 |
| |
| 作者单位： | 中国外汇交易中心市场二部 |
| |
| 摘 要： | 文章对国际市场最具代表性的两大利差指标——货币市场与债券市场利差指标TED利差，和货币市场与利率衍生品市场利差指标Libor—OiS利差进行了研究，TED利差是反映整体经济信用风险状况的指标，Libor-OiS利差则可衡量银行体系流动性风险和信用风险，文章考察了两个指标的市场含义、历史走势和理论研究，并对其在金融危机期间的表现进行分析和解释。
|
| 关 键 词： | TED利差Llbo r-Ols利差 信用风险 |
A study on international leading spread indicators |
| |
| Yang Ning,RMB Market Department,China Foreign Exchange Trade System Dong Qi. A study on international leading spread indicators[J]. China Money, 2012, 0(6): 39-45 |
| |
| Authors: | Yang Ning RMB Market Department China Foreign Exchange Trade System Dong Qi |
| |
| Affiliation: | , RMB Market Department, China Foreign Exchange Trade System |
| |
| Abstract: | This article studies the two leading spread indicators in the international market, the TED, an indicator of the difference between the money market and the bond market, and Libor-OIS, an indicator of the difference between the money market and interest rate derivatives market. TED spread indicates the overall economic credit risks, and Libor-OIS spread measures the liquidity risk and credit risk in the banking system. The article examines the implications, historical trends and theoretical studies of the two indicators, and analyzes their performance during the financial crisis. |
| |
| Keywords: | TED spread Libor-OIS spread credit risk |
| 本文献已被 维普 等数据库收录！ |
|
