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Czech Swap Market in the Crisis Period

  • Martin Pohl
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    The swap market is key segment of the fixed income market due to its liquidity and tight links to other market segments. In our paper we estimate basic parameters of the swap curve and we test the stability of these parameters during the crises period. Our estimate confirms that the Czech swap curve may be represented by three components that track its level, slope and curvature. These parameters were stable during the crises period that culminated in the autumn 2008. On contrary, the basic swap curve characteristics are showing most abnormal behaviour during periods of relative calm development. The traditional determinants of the Czech swap curve remain monetary policy, euro swap rates and risk premiums. Although risk premiums are low in the swap market, the large increase in risk premium in the Czech money market rates had significant impact on the swap curve slope during the crises period.

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    Article provided by University of Economics, Prague in its journal Prague Economic Papers.

    Volume (Year): 2012 (2012)
    Issue (Month): 1 ()
    Pages: 101-122

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    Handle: RePEc:prg:jnlpep:v:2012:y:2012:i:1:id:413:p:101-122
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    1. Richard Clarida, 2001. "The Empirics of Monetary Policy Rules in Open Economies," NBER Working Papers 8603, National Bureau of Economic Research, Inc.
    2. John B. Taylor & John C. Williams, 2009. "A black swan in the money market," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
    3. Jiří Witzany, 2009. "Valuation of Convexity Related Interest Rate Derivatives," Prague Economic Papers, University of Economics, Prague, vol. 2009(4), pages 309-326.
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