Chinese Yuan Interest Rate Swap Yields

Authors

Tanweer Akram, Citibank
Khawaja Mamun, Sacred Heart UniversityFollow

Document Type

Peer-Reviewed Article

Publication Date

2023

Abstract

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.

Comments

Data Set available here as an additional file.

This is an open access article distributed under the terms of the Creative Commons Attribution 4.0 License.

Prepublished working paper https://digitalcommons.sacredheart.edu/wcob_wp/28/

DOI

10.1371/journal.pone.0289687 A

Recommended Citation

Akram, T., & Mamun, K. (2023). Chinese yuan interest rate swap yields. PLoS ONE 18(8): e0289687. Doi.org/10.1371/journal. pone.0289687

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.