Determinants of New Taiwan Dollar Interest Rate Swap Spreads

Abstract

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。

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.