Advanced Search
MyIDEAS: Login to save this article or follow this journal

Panel cointegration analysis of co-movement between interest rate swap and treasury markets

Contents:

Author Info

  • Yuki Toyoshima
  • Shigeyuki Hamori

Abstract

Extending Ito's (2009) analysis, this article investigates the co-movement between interest rate swaps and treasury markets by using the panel cointegration tests developed by Maddala and Wu (1999). Empirical results show that there exists a single cointegration relationship between the swap rates and treasury rates for all maturities. The cointegration vector for the 2-, 3- and 4-year maturities is 1, showing that a 1% increase in the treasury rates will lead to a 1% increase in the swap rates. On the other hand, in the 5-, 7- and 10-year maturities, the cointegration vector is found to be more than 1, implying that a 1% increase in the treasury rates will lead to a more than 1% increase in the swap rates. Thus, a rise (decline) in the treasury rates is associated with a rise (decline) in the swap spread.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://hdl.handle.net/10.1080/13504851.2011.636015
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 19 (2012)
Issue (Month): 15 (October)
Pages: 1483-1486

as in new window
Handle: RePEc:taf:apeclt:v:19:y:2012:i:15:p:1483-1486

Contact details of provider:
Web page: http://www.tandfonline.com/RAEL20

Order Information:
Web: http://www.tandfonline.com/pricing/journal/RAEL20

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:19:y:2012:i:15:p:1483-1486. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.