Analysing Cross-Currency Basis Spreads
Analysing Cross-Currency Basis Spreads
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分析跨货币基差
DOI：
10.2139/ssrn.3004731
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发表时间：
2017
期刊：
影响因子：
--
通讯作者：
J. Witzany
中科院分区：
文献类型：
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作者：
Jaroslav Baran;J. Witzany
本文调查了交叉货币基差的驱动因素，这种利差在历史上接近于零，但自金融危机开始以来显著扩大。信贷和流动性风险以及供求经常被认为是推动交叉货币基差的一般因素，然而，这些利差可能会扩大到超出此类变量通常所能解释的范围。我们建议使用欧元/美元基差互换利差驱动因素的市场替代指标，并构建多元回归和协整模型，以解释它们在三个不同的基差扩大历史时期的意义。跨货币基差最重要的驱动因素似乎是欧盟短期和中期金融部门信用风险指标，程度稍小的是美国短期和中期金融部门信用风险指标。另一个重要的驱动因素是短端基差的市场波动，中期基差的欧元/美元汇率，以及较小程度的美联储/欧洲央行资产负债表比率。
This paper investigates the drivers of cross-currency basis spreads, which were historically close to zero but have widened significantly since the start of the financial crisis. Credit and liquidity risk, as well as supply and demand have often been cited as general factors driving cross-currency basis spreads, however, these spreads may widen beyond what is normally explained by such variables. We suggest market proxies for EUR/USD basis swap spread drivers and build a multiple regression and cointegration model to explain their significance during three different historical periods of basis widening. The most important drivers of the cross-currency basis spreads appear to be short- and medium-term EU financial sector credit risk indicators, and to a slightly lesser extent, short- and medium-term US financial sector credit risk indicators. Another important driver is market volatility for the short-end basis spread, and the EUR/USD exchange rate for the medium term basis spread, and to a lesser extent, the Fed/ECB balance sheet ratio.