Funding Liquidity Risk and Deviations from Interest-Rate Parity During the Financial Crisis of 2007-2009
Funding Liquidity Risk and Deviations from Interest-Rate Parity During the Financial Crisis of 2007-2009
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2007-2009年金融危机期间融资流动性风险和利率平价偏差
DOI：
10.1002/ijfe.427
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发表时间：
2011
影响因子：
1.2
通讯作者：
T. Chung
中科院分区：
文献类型：
--
作者：
C. Hui;H. Genberg;T. Chung
在2007-2009年的金融危机期间，人们观察到了与利差平价的显著偏离。本文发现，在雷曼兄弟破产之前，市场范围内的资金流动性风险是导致美元对欧元、英镑、港元、日元、新加坡元和瑞士法郎的掉期隐含利率溢价出现这些偏差的主要决定因素。这一证据表明，这些偏差可以用流动性约束的存在和性质来解释。雷曼违约后，欧洲经济体的交易对手风险和资金流动性风险是正向偏离的重要决定因素，而美元流动性状况收紧是香港、日本和新加坡市场负向偏离的主要驱动因素。美联储与其他央行的互换额度缓解了流动性压力，减少了欧洲经济体的积极偏差。
Significant deviations from covered interest parity were observed during the financial crisis of 2007-2009. This paper finds that before the failure of Lehman Brothers the market-wide funding liquidity risk was the main determinant of these deviations in terms of the premiums on swap-implied US dollar interest rates for the euro, British pound, Hong Kong dollar, Japanese yen, Singapore dollar and Swiss Franc. This evidence suggests that the deviations can be explained by the existence and nature of liquidity constraints. After the Lehman default, both counterparty risk and funding liquidity risk in the European economies were the significant determinants of the positive deviations, while the tightened liquidity condition in the US dollar was the main driving factor of the negative deviations in the Hong Kong, Japan and Singapore markets. Federal Reserve Swap lines with other central banks that eased the liquidity pressure reduced the positive deviations in the European economies.