In this paper we aim to link the volatility of interest rate swap (hereafter, IRS) markets to the macroeconomic risk … of macroeconomic fundamentals and the fluctuation in swap market volatility. The association between the two is robust …

differs considerably from the EURO world. …

The cost of borrowing U.S. dollars through foreign exchange (FX) swap markets increased significantly in the beginning … deviations narrowed again when the Federal Reserve expanded its swap lines to support U.S. dollar liquidity globally—by enhancing … and extending its swap facility with foreign central banks and introducing the new temporary Foreign and International …

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 …