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Actual factors to determine cross-currency basis swaps: An empirical study on US dollar/Japanese yen basis swap rates from the late 1990s

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  • Shinada, Naoki

Abstract

Cross-currency basis swap rates that exchange US-dollar (USD) and Japanese-yen (JPY) LIBORs have fluctuated since the late 1990s. It is increasingly important for market participants to figure out such swap rates, but there have not been many empirical studies about actual markets. This study addresses factors of USD/JPY swap rates from the late 1990s to the present, and demonstrates that differences in credit risk premiums, forward exchange rates and assets swaps of foreign investors from JPY to other currencies have significant effects on those rates.

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File URL: http://mpra.ub.uni-muenchen.de/16425/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 16425.

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Date of creation: 08 May 2005
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Handle: RePEc:pra:mprapa:16425

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Keywords: Currency swap; international finance; empirical finance;

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