This paper investigates the impact of international swap lines on stock returns using data from banks in emerging … markets. The analysis shows that swap lines by the Swiss National Bank (SNB) had a positive impact on bank stocks in Central … and Eastern Europe. It then highlights the importance of individual bank characteristics in identifying the impact of swap …

organized. It is largest when payments are settled individually on gross basis and smallest with settlement in one big netting …

from payment systems. Failure to settle by a participant in a netting system can potentially jeopardize the settlement of … interbank netting system. In accordance with similar empirical studies conducted in other European countries, the risk is found …

This paper analyzes the empirical relationship between credit default swap, bond and stock markets during the period …

In this paper, we perform a robust analysis of the determinants of US swap spreads using a wide range of theoretically … the swap spread differ between different horizons. The sensitivity of the parameters to all possible model specifications … the Mortgage Backed Security holders have strong impacts on the US swap spread. …

swap premiums. We find that the model workswell for investment grade credit default swaps, but only if we use swap or repo …

March 2006. We use (i) the swap yield curves augmented by OIS interest rates (OIS/Swap), and (ii) the JGB yield curve … for each factor between OIS/Swap and FBTB/JGB, and find that the former has a more dominant role of price discovery for …

$240 billion, effective since May 2012, the swap amount has frequently been criticized as insufficient. Another fundamental …