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Swap curve dynamics across markets: Case of US dollar versus HK dollar

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  • Huang, Ying
  • Neftci, Salih N.
  • Guo, Feng

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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

Volume (Year): 18 (2008)
Issue (Month): 1 (February)
Pages: 79-93

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Handle: RePEc:eee:intfin:v:18:y:2008:i:1:p:79-93

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Web page: http://www.elsevier.com/locate/intfin

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References

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  1. Campbell, J.Y. & Perron, P., 1991. "Pitfalls and Opportunities: What Macroeconomics should know about unit roots," Papers 360, Princeton, Department of Economics - Econometric Research Program.
  2. Lang, Larry H. P. & Litzenberger, Robert H. & Luchuan Liu, Andy, 1998. "Determinants of interest rate swap spreads," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1507-1532, December.
  3. Pierre Collin-Dufresne, 2001. "On the Term Structure of Default Premia in the Swap and LIBOR Markets," Journal of Finance, American Finance Association, vol. 56(3), pages 1095-1115, 06.
  4. Mark Grinblatt, 2002. "An Analytic Solution for Interest Rate Swap Spreads," Yale School of Management Working Papers ysm39, Yale School of Management.
  5. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
  6. Gerlach, Stefan, 2005. "Monetary operations by Hong Kong's Currency Board," Journal of Asian Economics, Elsevier, vol. 15(6), pages 1119-1135, January.
  7. Liu, Jun & Longstaff, Francis A. & Mandell, Ravit E., 2004. "The Market Price Of Risk In Interest Rate Swaps: The Roles Of Default And Liquidity Risks," University of California at Los Angeles, Anderson Graduate School of Management qt5z42g22g, Anderson Graduate School of Management, UCLA.
  8. Sun, Tong-sheng & Sundaresan, Suresh & Wang, Ching, 1993. "Interest rate swaps: An empirical investigation," Journal of Financial Economics, Elsevier, vol. 34(1), pages 77-99, August.
  9. Duffie, Darrell & Singleton, Kenneth J, 1997. " An Econometric Model of the Term Structure of Interest-Rate Swap Yields," Journal of Finance, American Finance Association, vol. 52(4), pages 1287-1321, September.
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Cited by:
  1. Mitra, Sovan & Date, Paresh & Mamon, Rogemar & Wang, I-Chieh, 2013. "Pricing and risk management of interest rate swaps," European Journal of Operational Research, Elsevier, vol. 228(1), pages 102-111.
  2. Cho-Hoi Hui & Lillie Lam, 2008. "What Drives Hong Kong Dollar Swap Spreads: Credit or Liquidity?," Working Papers 0810, Hong Kong Monetary Authority.
  3. Hyeongwoo, Kim, 2009. "Generalized Impulse Response Analysis: General or Extreme?," MPRA Paper 17014, University Library of Munich, Germany.

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