تاثیر گسترش وام و اعتبار، سیاست های پولی و تجارت همگرایی در گسترش مبادله

We investigate the determinants of US swap spreads based on the development of the swap market and the major events that happened between 1991 and 2006. We find that changes in swap spreads are jointly determined by the liquidity premium, interest rate level, default risk premium and the business cycle. The changes in swap spreads are positively related to liquidity premium, interest rate level and the slope of risk-free term structure. Amongst the various credit spreads, Finance AA spreads and agency spreads have the most influence on swap spreads. We also find that swap spreads changed from pro-cyclical to counter-cyclical after 1999. When the market features heavy speculative trading, such as the convergence trading activities of swap spreads, the magnitude of swap spreads is affected and their behaviour becomes uncertain.

The interest rate swap market is the largest over-the-counter (OTC) interest rate derivatives market with an average daily turnover of US $1.2 trillion and outstanding amount of $332 trillion. An interest rate swap (IRS) is a contractual agreement between two parties to make periodic payments to one another based on two specific interest rates: the fixed rate and the floating rate. The fixed rate is known as the “swap rate” and the floating rate is usually an interbank deposit rate, such as the London Interbank Offered Rate (LIBOR). Swap spread is the difference between the swap rate and the yield on the most recently issued Treasury security with the same maturity. Swap spread represents the difference between the financing costs of top-quality financial institutions and the government. Given the wide application of interest rate swap, swap spreads are closely monitored by market participants, central banks and regulators. The objective of this paper is to examine how the development of the swap market and major events from 1991 to 2006 affected the determination of swap spreads. This study contributes to the literature in three distinct ways. First, we divide the sample period into three sub-periods to highlight the effects of major development in the swap markets. Second, we apply various credit spreads to proxy for the default risk premium to test which credit spread has the most influence on swap spreads. Third, instead of using the Treasury bill or bond yields as proxies for the interest rate level, we use changes in Eurodollar deposit rates to represent the change in interest rate level. This enables us to eliminate the disturbance of the liquidity premium possessed by the Treasury securities and to examine the effect of monetary policy on swap spread, as the Eurodollar deposit rates are very responsive to changes in the Fed Fund target rate. The remainder of the paper is organised as follows. Section 2 provides a brief overview of the relevant literature. Section 3 outlines the hypothesis development. Section 4 provides the data definitions and descriptive statistics. Section 5 presents the empirical model and findings, and conclusions are given in Section 6.

The objective of this paper is to examine the major events and developments in the swap market to reveal the determinants of the swap spread. Recent studies suggest that the liquidity premium and the default risk premium are the major determinants of swap spread. In this study, we examine whether other factors, such as interest rate level and convergence trading activities, contribute to changes in swap spreads. We test the sensitivities of swap spreads to changes in the 6-month Eurodollar deposit rate, which we use as the proxy for monetary policy. We also test which credit spread has the biggest impact on swap spreads. We find that the liquidity premium remains an important determinant of swap spread, although its influence has weakened in recent years compared with the 1990s. One possible explanation is that other determinants of swap spread, such as agency spreads and the interest rate level, have become more influential in the twenty first century. Using the 6-month Eurodollar deposit rate as the proxy for monetary policy, we find that an increase in the interest rate level leads to an increase in the swap spreads which is quite different from other studies. The impact of monetary policy on swap spreads has been strongest in the past few years. We also find that the slope of the risk-free term structure is more like the implied forward rate than an indicator of the business cycle in the determination of swap spread, as evidenced by the positive relation between the two. In recent years, agency spreads have had the greatest impact on swap spreads. Under most circumstances, Finance AA spreads are at least as good as the Industrial AA spreads, even though the Industrial AA rates are closer to the swap rates than the Finance AA rates. In fact, the influence of credit spreads has increased dramatically over time. This can be attributed to three developments in the bond market. First, asset swap and liability swap activities provide a strong link between the bond market and the swap market. Second, because swaps are indexed on the LIBOR, and the LIBOR panel banks have an average credit rating of AA, the Finance AA spread should be a better proxy for the default risk premium than the Industrial AA spread. Third, agency debt securities are of increasing importance as a tool for hedging swap exposure. Lastly, we find that swap spreads changed from pro-cyclical in the early 1990s to counter-cyclical in the late 1990s, which shows that the relationship between swap spreads and other credit spreads increased over time.