The analysis of interest rate swap spreads in Japan

The purpose of this article is to investigate the determinants of interest rate swap spreads in Japan. Four determinants of swap spreads  --  TED spread, corporate bond spread, interest rate and the slope of yield curve  --  are chosen. The swap spreads of 2 years through 4 years are mostly influenced by TED spread, interest rate and slope. The swap spread of 5 years is mostly decided by corporate bond spread and slope. The swap spreads of 7 years and 10 years are mostly affected by corporate bond spread.