Using ‘low-frequency' volatility extracted from aggregate volatility shocks in interest rate swap (hereafter, IRS … across the different swap maturities but is robust to alternative volatility specifications. This linkage between swap market … and macroeconomy has practical implications since market makers and hedgers use the swap rate as benchmark for pricing …

This paper analyses deviations in yen-dollar cross-currency swap markets between 2007 and 2017. Using weekly …

This paper econometrically models Japanese yen (JPY)-denominated interest rate swap yields. It examines whether the … short-term interest rate exerts an influence on the long-term JPY swap yield after controlling for several key macroeconomic … percentage change in the exchange rate. It also tests whether there are structural breaks in the dynamics of Japanese swap yields …