Citibank, Irving, Texas, United States of America.
Sacred Heart University, Jack Welch College of Business & Technology, Fairfield, Connecticut, United States of America.
PLoS One. 2023 Aug 4;18(8):e0289687. doi: 10.1371/journal.pone.0289687. eCollection 2023.
This paper models the dynamics of Chinese yuan-denominated long-term interest rate swap yields. It shows that the short-term interest rate exerts a decisive influence on the long-term swap yield after controlling for various macrofinancial variables, such as core inflation, the growth of industrial production, the percent change in the equity price index, and the percentage change in the Chinese yuan exchange rate. The autoregressive distributed lag approach is applied to model the dynamics of the long-term swap yield. The findings reinforce and extend John Maynard Keynes's conjecture that in advanced countries, as well as emerging market economies such as China, the central bank's actions have a decisive role in setting the long-term interest rate on government bonds and over-the-counter financial instruments, such as swaps.
本文构建了人民币计价的长期利率互换收益率动态模型。研究结果表明，在控制核心通胀率、工业生产增长率、股票价格指数变动百分比和人民币汇率变动百分比等宏观金融变量后，短期利率对长期互换收益率具有决定性影响。本文采用自回归分布滞后模型来模拟长期互换收益率的动态变化。研究结果进一步证实并拓展了约翰·梅纳德·凯恩斯的观点，即在发达国家以及中国等新兴市场经济体，央行的行动在确定政府债券和场外金融工具（如互换）的长期利率方面具有决定性作用。
