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The analysis of interest rate swap spreads in Japan

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Author Info
Takayasu Ito
Abstract

The purpose of this article is to investigate the determinants of interest rate swap spreads in Japan. Four determinants of swap spreads  --  TED spread, corporate bond spread, interest rate and the slope of yield curve  --  are chosen. The swap spreads of 2 years through 4 years are mostly influenced by TED spread, interest rate and slope. The swap spread of 5 years is mostly decided by corporate bond spread and slope. The swap spreads of 7 years and 10 years are mostly affected by corporate bond spread.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.

Volume (Year): 3 (2007)
Issue (Month): 1 (January)
Pages: 1-4
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Handle: RePEc:taf:apfelt:v:3:y:2007:i:1:p:1-4

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  1. Carolina Castagnetti, 2004. "Estimating the risk premium of swap spreads. Two econometric GARCH-based techniques," Applied Financial Economics, Taylor and Francis Journals, vol. 14(2), pages 93-104, January. [Downloadable!] (restricted)
  2. Hugues Pirotte & Didier Cossin, 1997. "Swap Credit Risk: An Empirical Investigation on Transaction Data," Working Papers CEB 97-001.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
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This page was last updated on 2009-12-15.

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