that the swap dealer behaves as if he tries to align the risks of the transactions in pricing CCBSs, which causes CIP to …

, Federal Reserve swap facilities have generally formed a part of a wider network of central bank swap lines. Third, we take …

In this paper we investigate the price, volatility and micro-level effects of central bank swap lines during the 2020 … settlement of swap line auctions. We then combine dealer-level dollar repo auctions by the Bank of England with a trade … repository that includes the universe of FX forward and swap contracts traded in the UK. We find evidence of a substitution …

Swap lines between advanced-economy central banks are a new important part of the global financial architecture. This … shows that the swap line mimics discount-window credit from the source central bank to the recipient-country banks using the … shows that the swap-line rate puts a ceiling on deviations from covered interest parity, and finds evidence for it in the …

Swap lines between advanced-economy central banks are a new important part of the global financial architecture. This … shows that the swap line mimics discount-window credit from the source central bank to the recipient-country banks using the … shows that the swap-line rate puts a ceiling on deviations from covered interest parity, and finds evidence for it in the …

This paper econometrically models the dynamics of the Chilean interbank swap yields based on macroeconomic factors. It … examines whether the month-over-month change in the short-term interest rate has a decisive influence on the long-term swap … autoregressive conditional heteroskedasticity (GARCH) approach to model the dynamics of the long-term swap yield. The change in the …

This paper econometrically models the dynamics of Indian rupee (INR) swap yields based on key macroeconomic factors … influence on long-term INR swap yields after controlling for other factors, such as core inflation, the growth of industrial … the short-term interest rate has an important influence on swap yields. This implies that the Reserve Bank of India (RBI …

US longterm swap yields by econometrically modeling its dynamics using an autoregressive distributed lag (ARDL) approach … bill rate on the monthly changes in swap yields of different maturity tenors after controlling for a host of macroeconomic …

This paper econometrically models the dynamics of Indian rupee (INR) swap yields based on key macroeconomic factors … influence on long-term INR swap yields after controlling for other factors, such as core inflation, the growth of industrial … the short-term interest rate has an important influence on the swap yields. This implies that the Reserve Bank of India …