What Determines U S Swap Spreads

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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.

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.

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.

The Valuation Of Us Dollar Interest Rate Swaps

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Author : Julian Alworth
language : en
Publisher:
Release Date : 1993

The Valuation Of Us Dollar Interest Rate Swaps written by Julian Alworth and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Dollar, American categories.

The Effect Of Fed Monetary Policy Regimes On The Us Interest Rate Swap Spreads

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Author : Ying Sophie Huang
language : en
Publisher:
Release Date : 2008

The Effect Of Fed Monetary Policy Regimes On The Us Interest Rate Swap Spreads written by Ying Sophie Huang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.

This paper analyzes the asymmetric impacts of various economic shocks on swap spreads under distinct Fed monetary policy regimes. The results indicate that (a) during periods of aggressive interest rate reductions, slope of the Treasury term structure accounts for a sizeable share of the swap spread variance although default shock is also a major player. (b) On the other hand, liquidity premium is the only contributor to the 2-year swap spread variance in monetary tightening cycles. (c) The impact of default risk varies across both monetary cycles and swap maturities. (d) The effect of interest rate volatility is generally more evident in loosening monetary regimes.

What Drives Hong Kong Dollar Swap Spreads

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Author : Cho-Hoi Hui
language : en
Publisher:
Release Date : 2008

What Drives Hong Kong Dollar Swap Spreads written by Cho-Hoi Hui and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.

This paper investigates the determinants of variations in the yield spreads (swap spreads) between Hong Kong dollar interest rate swaps and Exchange Fund paper for a period from July 2002 to April 2008. A vector error-correction model is used to analyze the impact of various shocks on swap spreads. The issue is whether "liquidity" or "credit" (or both) is the main determinant of swap spread dynamics. The results show that the dynamics are influenced significantly by "credit" between July 2002 and September 2007. However, "liquidity" between the Exchange Fund long-term notes and short-term bills is the major determinant of swap spreads between September 2007 and April 2008. The substantial demand of the Exchange Fund short-term bills, that reflected the strong preference of market participants for holding short-term instruments for liquidity purposes probably due to the sub-prime crisis in the US, is the driving force of the rise in swap spreads in the last quarter of 2007.

Interest Rate Swaps

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Author : Carl R. Beidleman
language : en
Publisher: Irwin Professional Publishing
Release Date : 1991

Interest Rate Swaps written by Carl R. Beidleman and has been published by Irwin Professional Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Business & Economics categories.

This broad overview of swaps brings you the experience of prominent international authorities who explain how to effectively manage interest rate risk.

The Transmission Of Swap Spreads And Volatilities In The International Swap Markets

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Author : Young Ho Eom
language : en
Publisher:
Release Date : 2002

The Transmission Of Swap Spreads And Volatilities In The International Swap Markets written by Young Ho Eom and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.

We investigate the Japanese yen and U.S. dollar interest rate swap markets during the period 1990-2000, by examining the spreads of the swap rates over comparable treasury yields (on Japanese Government Bonds (JGBs) and U.S. Treasury bonds, respectively) for different maturities. We then analyze the transmission of shocks in the swap spreads and their volatilities from one market to the other. Our main findings are: (1) the correlations between the yen and dollar interest swap spreads are low, indicating that the credit risk factor is country-specific, rather than global in nature, (2) the changes in the dollar interest rate swap spreads quot;Granger-causequot; the changes in the spreads of yen interest rate swaps for the long (10-year) maturities, but the causality does not run the other way, (3) yen swap spreads are highly correlated with the interest rate differentials between the two markets, and the interest rate differentials have a significant impact on subsequent movements in the yen swap spreads, (4) the transmission of the volatility of swap spreads is strong from the dollar to the yen markets and relatively weak in the other direction, and (5) shocks to the dollar swap spread have an asymmetric impact on the volatilities of the spreads in both the yen and dollar swap markets, i.e., an increase in the dollar swap spread leads to higher future volatility of the spreads in both swap markets, but a decrease does not. These empirical results suggest that specific institutional aspects, such as illiquidity and market frictions, may have affected the yen interest swap market more than its dollar counterpart.

A Note On A Cointegrating Vector For Us Interest Rate Swaps

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Author : Ying Sophie Huang
language : en
Publisher:
Release Date : 2007

A Note On A Cointegrating Vector For Us Interest Rate Swaps written by Ying Sophie Huang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.

This note explores the temporal relationship among US interest rate swap spreads, US corporate credit spreads, LIBOR and the shape of the Treasury yield curve by performing cointegration test and estimating an error correction model. One cointegrating relationship is found, implying that a single common factor underlies these time series and a stable long-run linear relationship exists among them. In addition, the obtained cointegrating vector provides evidence for the existence of complex dynamics between the swap and the equity markets in the US.

Credit Default Swap Spreads And U S Financial Market

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Author : Hayette Gatfaoui
language : en
Publisher:
Release Date : 2017

Credit Default Swap Spreads And U S Financial Market written by Hayette Gatfaoui and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.

Under Basel II framework, credit risk assessment is of high significance in the light of correlation risk. Correlation risk is often envisioned along with business conditions and financial market's impact. We employ copula methodology to identify the dependence structures that may exist between market risk fundamentals and credit risk fundamentals. Considering credit derivative spreads as credit risk fundamentals and market data as market risk determinants, we describe and quantify the asymmetric link prevailing between credit risk and market risk. Credit risk is negatively linked with market price risk whereas it becomes positively linked with market volatility risk. Such patterns give rise to interesting asymmetric dependence structures between both risk sources. We are then able to balance reliably market price risk with market volatility feedback, the market trend supporting a common correlation between securities. In the light of the previous trade-off, we propose also a simple credit Risk management rule.