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Low-Frequency Volatility of Yen Interest Rate Swap Market in Relation to Macroeconomic Risk

Azad, A. S. M. Sohel - 2013

) market, this paper investigates whether Japanese yen IRS volatility can be explained by macroeconomic risks. The analysis … suggests that this low-frequency yen IRS volatility has strong and positive association with most of the macroeconomic risk …Using ‘low-frequency' volatility extracted from aggregate volatility shocks in interest rate swap (hereafter, IRS …

Persistent link: https://www.econbiz.de/10013091475

Low-frequency volatility of yen interest rate swap market in relation to macroeconomic risk

Azad, A. S. M. Sohel; Fang, Victor; Wickramanayake, … - In: International review of finance 11 (2011) 3, pp. 353-390

Persistent link: https://www.econbiz.de/10009350006

An intermediation-based model of exchange rates

Malamud, Semyon; Schrimpf, Andreas - 2018 - This version: June 5, 2018

We develop a general equilibrium model with intermediaries at the heart of international financial markets. Global intermediaries bargain with households and extract rents for providing access to foreign claims. The behavior of intermediaries, by tilting state prices, breaks monetary neutrality...

Persistent link: https://www.econbiz.de/10011877302