Post-Crisis Interest Rate Markets: Analysing, Modelling and Stress Testing of Multiple Yield Curves

危机后利率市场：多重收益率曲线的分析、建模和压力测试

• 批准号: 416416014
• 负责人: Professorin Dr. Eva-Maria Lütkebohmert-Holtz
• 金额: --
• 依托单位: Abteilung für Quantitative Finanzmarktforschung
• 依托单位国家: 德国
• 项目类别: Research Grants
• 财政年份: 2019
• 资助国家: 德国
• 起止时间: 2018-12-31 至 2020-12-31
• 项目状态: 已结题
• 来源: https://gepris.dfg.de/gepris/projekt/416416014?language=en
• 关键词: Post; Crisis; Interest; Rate; Markets

The financial crisis of 2007/2008 has led a new era of interest rate markets characterized by multiple (tenor-dependent) yield curves. The term structure of interest rates (or yield curve) describes the interest rate as a function of maturity and is an important tool for pricing, risk management and monetary policy. It is constructed by bootstrapping from interest rate products of different maturities that are linked to the same reference rate as e.g. the 6-month EURIBOR (i.e. for a tenor of 6 months) or the Overnight Indexed Swap (OIS) rate (for the risk-free discount curve). While spreads between interest rates that have the same maturity but are based on different tenors were negligible before the crisis of 2007/2008, they increased to levels above 250 bps at the peak of the crisis. Most notably these spreads remained at significant levels also after the crisis. As a consequence of this structural change, a completely new treatment of post-crisis interest rate markets is required.In the proposed project we face this challenge and we plan to achieve the following four major contributions:• First, we will identify economic factors that determine the dynamics of the whole term-structure of interest rates and of the corresponding spreads. Our approach will take into account interdependencies between yield curves of different tenors and allows to study how dependence patterns vary over time. This will be particularly interesting for portfolio allocation and policy decisions.• Second, we will develop a new class of macro-finance models for multiple yield curves that allows to study interactions between the macroeconomy, the discount curve and the term structure of tenor basis spreads. Moreover, we will analyse how risk premia depend on economic factors and whether the decomposition of risk premia is varying with time. Our results will have important implications for understanding the impact of various monetary policy rules on yield spreads and the whole interbank market. • Third, we will apply new techniques from machine learning to predict future term structures of interest rates. Through detecting certain patterns in yield curve parameters and in combining these methods with the inclusion of macroeconomic variables, we expect a significant improvement of the forecasting precision. In this way, the project will provide a major contribution to the forecasting of yield curves. • Fourth, in building on the previous contributions, we will construct new stress testing frameworks suitable for post-crisis interest rate markets, which allow to study how shifts in tenor-dependent yield curves as well as cross-tenor dependencies affect market portfolios and banks’ share price. This will have important implications for banks’ internal risk management as well as for regulators. With this rich agenda the proposal provides important contributions to both the empirical and theoretical analysis of post-crisis interest rate markets.

2007/2008年的金融危机引领了一个以多重（期限依赖）收益率曲线为特征的利率市场新时代。利率期限结构（或收益率曲线）描述了利率作为到期日的函数，是定价，风险管理和货币政策的重要工具。它是从不同期限的利率产品开始构建的，这些利率产品与相同的参考利率挂钩，例如6个月欧洲银行同业拆息（即6个月期限）或隔夜指数掉期（OIS）利率（无风险贴现曲线）。虽然在2007/2008年危机之前，期限相同但基于不同期限的利率之间的利差可以忽略不计，但在危机高峰期，它们增加到250个基点以上的水平。最值得注意的是，这些利差在危机后仍保持在相当高的水平。由于这一结构性变化，需要对危机后的利率市场进行全新的处理。在拟议的项目中，我们面临这一挑战，我们计划实现以下四个主要贡献：· 首先，我们将确定决定整个利率期限结构和相应利差动态的经济因素。我们的方法将考虑到不同期限的收益率曲线之间的相互依赖性，并允许研究依赖模式如何随时间变化。这对于投资组合分配和政策决策来说特别有趣。· 其次，我们将开发一种新的宏观金融模型，用于多个收益率曲线，可以研究宏观经济，贴现曲线和期限基础利差的期限结构之间的相互作用。此外，我们将分析风险溢价如何取决于经济因素，以及风险溢价的分解是否随时间而变化。我们的研究结果将对理解各种货币政策规则对收益率利差和整个银行间市场的影响具有重要意义。· 第三，我们将应用机器学习的新技术来预测未来的利率期限结构。通过检测收益率曲线参数中的某些模式，并将这些方法与宏观经济变量相结合，我们预计预测精度将显着提高。这样，该项目将对收益率曲线的预测作出重大贡献。· 第四，在以往研究的基础上，我们将构建适合于危机后利率市场的新的压力测试框架，研究期限相关收益率曲线的变化以及跨期限相关性如何影响市场投资组合和银行股价。这将对银行的内部风险管理以及监管机构产生重要影响。通过这一丰富的议程，该提案为后危机利率市场的实证和理论分析做出了重要贡献。