Akram, Tanweer; al Mamun, Khawaja Abdullah - 2023
This paper models the dynamics of Chinese yuan (CNY)-denominated long-term interest rate swap yields. The financial … percentage change in the CNY exchange rate. The autoregressive distributed lag (ARDL) approach is applied to model the dynamics … over-the-counter derivative products, such as CNY interest rate swap yields, through the short-term interest rate. The …