- violations of no arbitrage bounds in the forward and currency swap markets. We also use volatility smile data to capture FX …

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 …

We examine the long-run relationships and short-run dynamic linkages among 9 major cross-currency swap spreads, with … generally increased after the crisis; the swiss cross-currency swap became several times more influential on all European cross …