中国人民币的利率交换收益率
Tanweer Akram1, Khawaja Mamun2
1Citibank, Irving, Texas, United States of America.
PloS one
|August 4, 2023
概括
中国央行是中国的中央银行.
科学领域:
- 经济学 经济学 经济学
- 金融市场 金融市场
背景情况:
- 了解长期利率决定因素对于金融稳定至关重要.
- 以中国人民币计价的利率互换是关键的金融工具.
研究的目的:
- 为了模拟以中国人民币计价的长期利率交换收益率的动态.
- 确定影响这些产量的关键驱动因素.
主要方法:
- 自行回归分布式滞后 (ARDL) 方法.
- 分析短期利率,核心通胀,工业生产增长,股票价格指数变化和汇率波动.
主要成果:
- 短期利率显著影响长期交换收益率.
- 诸如通货膨胀和工业生产之类的宏观金融变量也发挥着作用.
结论:
- 中央银行的行动决定性地影响了中国的长期利率.
- 这些发现支持新兴市场的凯恩斯理论.
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