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The euro interest rate swap market

Author

Listed:
  • Eli M Remolona
  • Philip D Wooldridge

Abstract

The euro interest rate swap market is one of the largest and most liquid financial markets in the world. Indeed, the swap curve is emerging as the preeminent benchmark yield curve in euro financial markets, against which even some government bonds are now often referenced. However, owing to the current structure of the swap market, liquidity is not as robust to market stress as in the larger government securities and futures markets.

Suggested Citation

  • Eli M Remolona & Philip D Wooldridge, 2003. "The euro interest rate swap market," BIS Quarterly Review, Bank for International Settlements, March.
    • Handle: RePEc:bis:bisqtr:0303f
    as

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    References listed on IDEAS

    as
    1. Claudio Borio, 2000. "Market liquidity and stress: selected issues and policy implications," BIS Quarterly Review, Bank for International Settlements, November.
    2. Robert N McCauley, 2001. "Benchmark tipping in the money and bond markets," BIS Quarterly Review, Bank for International Settlements, March.
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