An Empirical Examination Of U S Dollar Swap Spreads

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An Empirical Examination Of U S Dollar Swap Spreads

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Author : Bernadette A. Minton
language : en
Publisher:
Release Date : 1999

An Empirical Examination Of U S Dollar Swap Spreads written by Bernadette A. Minton and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.

The structure of a plain vanilla interest rate swap is such that its cash flows can be replicated by a portfolio of two bonds or by a portfolio of short-term interest rate futures contracts. Swap pricing, therefore, should be closely related to the pricing of these underlying instruments. This paper estimates the determinants of U.S. dollar swap spreads to test whether the pricing relationships between swaps, bonds and futures hold. Swap spreads are positively related to interest rate volatility and the corporate quality spread, and negatively related to the term spread and level of the interest rate. Short-term over-the-counter swap rates are highly correlated with swap rates calculated using Eurodollar futures prices. While exchange-traded implied swap spreads are statistically related to yield curve factors, they are not related to corporate quality spreads. Overall, the results in this paper suggest that swaps are not equivalent to portfolios of bonds or futures contracts due in part to the differences in the credit risk in each instrument.

What Determines U S Swap Spreads

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Author : Ádám Kóbor
language : en
Publisher: World Bank Publications
Release Date : 2005

What Determines U S Swap Spreads written by Ádám Kóbor and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Business & Economics categories.

References p. 45-47.

Evolution Of Bilateral Swap Lines

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Author : Michael Perks
language : en
Publisher: International Monetary Fund
Release Date : 2021-08-06

Evolution Of Bilateral Swap Lines written by Michael Perks and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-08-06 with Business & Economics categories.

This paper makes contributions to the study of bilateral swap lines (BSLs). First, this paper fills a BSL information gap by constructing a comprehensive database of BSLs based on publicly available information, including after the onset of the COVID-19 pandemic. Second, the paper provides the results of regression analysis exploring several empirical questions that were not covered in previous studies. The paper documents the evolution of BSLs into an important part of the Global Financial Safety Net (GFSN), with some helping to stabilize financial market during both the Global Financial Crisis (GFC) and the COVID-19 pandemic. Analysis suggests that countries on the recipient side of BSLs are more likely to sign and renew BSLs designed to alleviate balance of payments needs as their external position weakens. U.S. Federal Reserve BSLs appear to have been effective at stabilizing financial market conditions during the COVID-19 pandemic.

Journal Of Banking Finance

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Author :
language : en
Publisher:
Release Date : 2001

Journal Of Banking Finance written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Banks and banking categories.

The Empirical Analysis Of Liquidity

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Author : Craig Holden
language : en
Publisher: Now Publishers
Release Date : 2014-11-28

The Empirical Analysis Of Liquidity written by Craig Holden and has been published by Now Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-28 with Business & Economics categories.

We provide a synthesis of the empirical evidence on market liquidity. The liquidity measurement literature has established standard measures of liquidity that apply to broad categories of market microstructure data. Specialized measures of liquidity have been developed to deal with data limitations in specific markets, to provide proxies from daily data, and to assess institutional trading programs. The general liquidity literature has established local cross-sectional patterns, global cross-sectional patterns, and time-series patterns.

Covered Interest Parity Deviations Macrofinancial Determinants

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Author : Mr.Eugenio M Cerutti
language : en
Publisher: International Monetary Fund
Release Date : 2019-01-16

Covered Interest Parity Deviations Macrofinancial Determinants written by Mr.Eugenio M Cerutti and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-01-16 with Business & Economics categories.

For about three decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely—even as a broad macroeconomic relationship applying to daily or weekly data. Not only have CIP deviations significantly increased since the GFC, but potential macrofinancial drivers of the variation in CIP deviations have also become significant. The variation in CIP deviations seems to be associated with multiple factors, not only regulatory changes. Most of these do not display a uniform importance across currency pairs and time, and some are associated with possible temporary considerations (such as asynchronous monetary policy cycles).

What Determines U S Swap Spreads

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Author : 3/4dm̀ Kb̤or
language : en
Publisher: World Bank Publications
Release Date :

What Determines U S Swap Spreads written by 3/4dm̀ Kb̤or and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.

Managing Elevated Risk

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Author : Iwan J. Azis
language : en
Publisher: Springer
Release Date : 2014-12-11

Managing Elevated Risk written by Iwan J. Azis and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-12-11 with Business & Economics categories.

This book discusses the risks and opportunities that arise in Emerging Asia given the context of a new environment in global liquidity and capital flows. It elaborates on the need to ensure financial and overall economic stability in the region through improved financial regulation and other policy measures to minimize the emergent risks. "Managing Elevated Risk: Global Liquidity, Capital Flows, and Macroprudential Policy—An Asian Perspective" also explores the range of policy options that may be deployed to address the impact of global liquidity on domestic financial and socio-economic conditions including income inequality. The book is primarily aimed at policy makers, financial market regulators and supervisory agencies to help them improve national regulatory systems and to promote harmonization of national regulations and practices in line with global standards. Scholars and researchers will also gain important information and knowledge about the overall impacts of changing global liquidity from the book.

The Non U S Bank Demand For U S Dollar Assets

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Author : Mr.Tobias Adrian
language : en
Publisher: International Monetary Fund
Release Date : 2020-06-19

The Non U S Bank Demand For U S Dollar Assets written by Mr.Tobias Adrian and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-06-19 with Business & Economics categories.

The USD asset share of non-U.S. banks captures the demand for dollars by these investors. An instrumental variable strategy identifies a causal link from the USD asset share to the USD exchange rate. Cross-sectional asset pricing tests show that the USD asset share is a highly significant pricing factor for carry trade strategies. The USD asset share forecasts the dollar with economically large magnitude, high statistical significance, and large explanatory power, both in sample and out of sample, pointing towards time varying risk premia. It takes 2-5 years for exchange rate risk premia to normalize in response to demand shocks.

Credit Default Swap Markets In The Global Economy

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Author : Go Tamakoshi
language : en
Publisher: Routledge Studies in the Modern World Economy
Release Date : 2020-04

Credit Default Swap Markets In The Global Economy written by Go Tamakoshi and has been published by Routledge Studies in the Modern World Economy this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-04 with Credit derivatives categories.

This book provides a comprehensive overview for various segments of the global credit default swap (CDS) markets, touching upon how they were affected by the recent financial turmoil. The book uses empirical analysis on credit default swap markets, applying advanced econometric methodologies to the time series data. It covers not only well-studied sovereign credit default swap markets but also sector credit default swap indices (i.e., CDS index for the banking sector) and corporate credit default swap indices (i.e., Markit iTraxx Japan CDS index), which have not been fully examined by the previous literature. The book also investigates causality and co-movement among several credit default swap markets, or between CDS and other financial markets.