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The dynamics of monthly changes in US swap yields : a Keynesian perspective
Akram, Tanweer; Mamun, Khawaja Abdullah al - 2022
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 …
Persistent link: https://www.econbiz.de/10013383200
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The US Dollar-Euro Exchange Rate and US-EMU Bond Yield Differentials : A Causality Analysis
Sosvilla-Rivero, Simon - 2011
This paper test for causality between the US Dollar-Euro exchange rate and US-EMU bond yield differentials. To that end, we apply Hsiao (1981)'s sequential procedure to daily data covering the 1999-2011 period. Our results suggest the existence of statistically significant Granger causality...
Persistent link: https://www.econbiz.de/10013126999
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U.S. Dollar Currency Premium in Corporate Bonds
Caramichael, John; Gopinath, Gita; Liao, Gordon - 2022
We isolate a U.S. dollar currency premium by comparing corporate bonds issued in the dollar and the euro by firms o utside t he U .S. a nd e uro a rea. We make s everal empirical observations that dissect the perceived advantage of borrowing in the dollar. First, while the dollar dominates...
Persistent link: https://www.econbiz.de/10013306776
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Modelling the US swap spread
Chung, Hon-lun; Chan, Wai-Sum; Batten, Jonathan A. - In: Research in finance 26 (2010), pp. 155-181
Persistent link: https://www.econbiz.de/10009241013
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What determines U.S. swap spreads?
Kóbor, Ádám - 2005
Persistent link: https://www.econbiz.de/10010522778
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Volatility transmission of swap spreads among the US, Japan and the UK : a cross-correlation function approach
Toyoshima, Yuki; Hamori, Shigeyuki - In: Applied financial economics 22 (2012) 10/12, pp. 849-862
Persistent link: https://www.econbiz.de/10009625006
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Forward rate volatilities, swap rate volatilities, and implementation of the LIBOR market model
Hull, John; White, Alan - In: The journal of fixed income 10 (2000) 2, pp. 46-62
Persistent link: https://www.econbiz.de/10001530342
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What Determines U.S. Swap Spreads?
Kobor, Adam; Shi, Lishan; Zelenko, Ivan - 2012
This paper examines the evolution of the U.S. interest swap market. The authors review the theory and past empirical … studies on U.S. swap spreads, and estimate an error-correction model for maturities of 2, 5, and 10 years from 1994 to 2004 … counterparty default risk by mark-to-market and collateralization. Swap spreads reflect the LIBOR credit quality (credit component …
Persistent link: https://www.econbiz.de/10012563358
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US Dollar swaps after LIBOR
Heidorn, Thomas; Meier, Rebecca - 2024
The main focus of this paper is a comprehensive overview of the US$ reference rate reform, with a particular focus on its implications for USD interest rate swaps (IRS). This paper aims to shed light on the current situation and future developments in a changing financial landscape. This paper...
Persistent link: https://www.econbiz.de/10014468854
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U.S. dollar swap yields : an analysis of the dynamics of monthly changes
Akram, Tanweer; Mamun, Khawaja Abdullah al - In: Journal of economic issues 57 (2023) 2, pp. 522-531
Persistent link: https://www.econbiz.de/10014445024