An empirical analysis of interest rate swap spreads

the results of previous empirical studies on credit spreads.15. The change in the level of interest rates is estimated by Principal Component Analysis. studies that the US dollar and its interest rates play an important role in determining the CIP deviations. Keywords: covered interest rate parity, swap spreads, 

1 Jan 1994 our empirical hypotheses. A. Bounds for Swap Spreads. In the following we will describe a plain vanilla fiXed/floating interest rate swap. 10 Oct 2013 On the other hand, the impacts of slope, TED spread, and volatility are similar to Ito (2010). Steeper yield curve causes narrower swap spreads in  This paper studies the market price of credit risk incorporated into one of the most important credit spreads in the financial markets: interest-rate swap sprea. This paper examines the relationship between the Australian dollar interest rate swap spread and the term structure of the interest rates, and also the  This article contains both a theoretical and an empirical analysis of the components of interest rate swap spreads defined as the difference between the fixed  We then analyze the relationship between the swap spreads in the two markets. Our main empirical results are that:(1) the correlations between yen and dollar 

Swap spreads are the difference between the swap rate (a fixed interest rate) and a corresponding government bond yield with the same maturity (Treasury securities in the case of the United States). For example, if the current market rate for a 5-year swap is 1.35 percent and the current yield on the 5-year Treasury note is 1.33

Abstract. At the time of initiation, interest rate swaps are of zero market value to the Selender (1995), and Minton (1997) for the empirical determinants and behavior of swap spreads. others, analyze the effect of credit risk on swap pricing. Currency and interest rate swaps are subject to a complex, two-sided default risk. A. Chen, A. SelenderDetermination of Swap Spreads: An Empirical Analysis. This paper studies firms' usage of interest rate swaps to manage risk in a Several empirical and theoretical studies have examined why firms use swaps, and This is because the default spreads on the swap and on the one-period debt. This paper examines the evolution of the U.S. interest swap market. past empirical studies on U.S. swap spreads, and estimate an error-correction model determinants: the AA spread, the repo rate, the difference between on-the-run and  Spreads of rates on interest rate swaps over comparable U.S. Treasury yields Nonetheless, Minton (1997) interpreted results of her empirical analysis of swap  

An Empirical Analysis of Interest Rate Swap Spreads Keith C. Brown , W.V. Harlow , Donald J. Smith The Journal of Fixed Income Mar 1994, 3 (4) 61-78; DOI: 10.3905/jfi.1994.408095

This exchange eliminates the exchange rate risk in the contract. The cross-currency swap curve of the local (EM) currency consists of two parts the local interest rate curve and the basis spread curve. This basis spread curve represents ‘compensation’ for differences between local interest rate spreads and FX forward-implied carry.

interest rate swap.1 The bondholder effectively transforms the pay-off, where she pays related studies use stock market returns and various volatility indexes to Empirical evidence for the association of swap spreads and credit spreads is 

An Empirical Analysis of Interest Rate Swap Spreads Article (PDF Available) in The Journal of Fixed Income 3(4):61-78 · March 1994 with 414 Reads How we measure 'reads' This paper analyzes US interest rate swap spreads in relation to the sovereign crisis of the Euro zone. The results reveal that swap spreads of 5- and 10-years incorporate default risk positiv ely in accordance with the theory. An Empirical Analysis of Interest Rate Swap Spreads Keith C. Brown , W.V. Harlow , Donald J. Smith The Journal of Fixed Income Mar 1994, 3 (4) 61-78; DOI: 10.3905/jfi.1994.408095 An Empirical Analysis for Determinants of Interest Rate Swap Spread Page 8 of 43 2.2 Mechanics of interest rate swap Basically, the mechanics of an interest rate swap is very straightforward. In the case of the Plain Vanilla swap the counterparties agree to exchange interest payments at the end of each of the T periods.

An Empirical Analysis of Interest Rate Swap Spreads Article (PDF Available) in The Journal of Fixed Income 3(4):61-78 · March 1994 with 414 Reads How we measure 'reads'

Swap spreads are the difference between the swap rate (a fixed interest rate) and a CFA Institute. ^ "an empirical analysis of interest rate swap spreads" (PDF). Abstract. At the time of initiation, interest rate swaps are of zero market value to the Selender (1995), and Minton (1997) for the empirical determinants and behavior of swap spreads. others, analyze the effect of credit risk on swap pricing. Currency and interest rate swaps are subject to a complex, two-sided default risk. A. Chen, A. SelenderDetermination of Swap Spreads: An Empirical Analysis.

of Recovery Rates and Default Probabilities Implied by Credit Default Swap Spreads “An Empirical Analysis of the Dynamic Relation Between Investment Grade “An Econometric Model of the Term Structure of Interest-Rate Swap Yields. Treasury yields and corporate bond yield spreads: An empirical analysis corporate bonds and interest rate swaps, allowing for dependence between the  The empirical analysis uses a weekly panel dataset of swaps denominated in seven curren- cies between 1992 and 2000 representing approximately 80 percent  An Empirical Analysis of Interest Rate Swap Spreads Article (PDF Available) in The Journal of Fixed Income 3(4):61-78 · March 1994 with 414 Reads How we measure 'reads'