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Determinants of Japanese Yen interest rate swap spreads: Evidence from a smooth transition vector autoregressive model

Huang, Ying; Chen, Carl R.; Camacho, Maximo - In: Journal of Futures Markets 28 (2008) 1, pp. 82-107

This study investigates the determinants of variations in the yield spreads between Japanese yen interest rate swaps and Japan government bonds for a period from 1997 to 2005. A smooth transition vector autoregressive (STVAR) model and generalized impulse response functions are used to analyze...

Persistent link: https://www.econbiz.de/10011197197

Determinants of Japanese yen interest rate swap spreads : evidence from a smooth transition vector autoregressive model

Huang, Ying; Chen, Carl R.; Camacho, Maximo - In: The journal of futures markets 28 (2008) 1, pp. 82-107

Persistent link: https://www.econbiz.de/10003746341

Determinants of Japanese Yen interest rate swap spreads: Evidence from a smooth transition vector autoregressive model

Huang, Ying; Chen, Carl R.; Camacho, Maximo - In: The journal of futures markets 28 (2008) 1, pp. 82

Persistent link: https://www.econbiz.de/10007895954

Determinants of Japanese Yen Interest Rate Swap Spreads : Evidence from a Smooth Transition Vector Autoregressive Model

Huang, Ying Sophie - 2008

This paper investigates the determinants of variations in the yield spreads between Japanese yen interest rate swaps and Japan government bonds for a period from 1997 to 2005. A smooth transition vector autoregressive (STVAR) model and generalized impulse response functions are used to analyze...

Persistent link: https://www.econbiz.de/10012773613