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Chinese yuan interest rate swap yields
Tanweer Akram1, Khawaja Mamun2
1Citibank, Irving, Texas, United States of America.
Plos One
|August 4, 2023
Summary
The Chinese central bank
Area of Science:
- Economics
- Financial Markets
Background:
- Understanding long-term interest rate determinants is crucial for financial stability.
- Chinese yuan-denominated interest rate swaps are key financial instruments.
Purpose of the Study:
- To model the dynamics of Chinese yuan-denominated long-term interest rate swap yields.
- To identify the key drivers influencing these yields.
Main Methods:
- Autoregressive Distributed Lag (ARDL) approach.
- Analysis of short-term interest rates, core inflation, industrial production growth, equity price index changes, and exchange rate fluctuations.
Main Results:
- Short-term interest rates significantly influence long-term swap yields.
- Macrofinancial variables like inflation and industrial production also play a role.
Conclusions:
- Central bank actions decisively impact long-term interest rates in China.
- Findings support Keynesian theories in emerging markets.
