The analysis of interest rate swap spreads in Japan
AbstractThe 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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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.
Volume (Year): 3 (2007)
Issue (Month): 1 (January)
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- Carolina Castagnetti, 2004. "Estimating the risk premium of swap spreads. Two econometric GARCH-based techniques," Applied Financial Economics, Taylor & Francis Journals, vol. 14(2), pages 93-104.
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Working Papers CEB
97-001, ULB -- Universite Libre de Bruxelles.
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- Seppo Pynnonen & Warren Hogan & Jonathan Batten, 2006. "Modelling credit spreads on yen Eurobonds within an equilibrium correction framework," Applied Financial Economics, Taylor & Francis Journals, vol. 16(8), pages 583-606.
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