Determinants of New Taiwan Dollar Interest Rate Swap Spreads

新台幣利率交換之決定因素

盧陽正(Yang-Chen Lu) ； 王佑鈞(Yu-Chun Wang) ； 李修全(Hsiu-Chuan Lee)

《財務金融學刊》 21卷2期 (2013/06) Pp. 91-120

https://doi.org/10.6545/JFS.2013.21(2).4

摘要

本研究欲探討臺灣利率交換市場中影響交換價差的因素。實證結果指出，就全樣本期間而言，利率期限結構、流動性風險的變化與違約風險的變化均為交換價差的重要決定因素，而違約風險則為決定交換價差最重要的因素。此外，在空頭時期違約風險為決定交換價差最重要的因素，在多頭時期則依契約到期日而不同。

關鍵字

利率交換價差 ； 利率期限結構 ； 流動性風險 ； 違約風險 ； 市場狀態

並列摘要

This study examines the determinants of New Taiwan Dollar interest rate swap spreads. Prior literature provides evidence that the term structure of interest rates, liquidity, and credit risk comprise the swap spreads. The empirical results for the full sample period show that these factors are all important in affecting the swap spreads and that default risk is the most important factor among the five components. Furthermore, default risk plays a more important role than other factors in a bear market, but the key factor varies with the maturities of swap contracts in a bull market.

並列關鍵字

Swap spreads ； term structure of interest rates ； liquidity risk ； credit risk ； market conditions

參考文獻

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