The forint interest rate swap market and the main drivers of swap spreads
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References listed on IDEAS
- Afonso, Antonio & Strauch, Rolf, 2007.
"Fiscal policy events and interest rate swap spreads: Evidence from the EU,"
Journal of International Financial Markets, Institutions and Money,
Elsevier, vol. 17(3), pages 261-276, July.
- Strauch, Rolf & Afonso, António, 2004. "Fiscal policy events and interest rate swap spreads: evidence from the EU," Working Paper Series 303, European Central Bank.
- Heppke-Falk, Kirsten H. & Hüfner, Felix P., 2004. "Expected budget deficits and interest rate swap spreads - Evidence for France, Germany and Italy," Discussion Paper Series 1: Economic Studies 2004,40, Deutsche Bundesbank.
- John Kambhu, 2004. "Trading risk and volatility in interest rate swap spreads," Staff Reports 178, Federal Reserve Bank of New York.
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- Zsófia Árvai & Geoffrey M Heenan, 2008. "A Framework for Developing Secondary Markets for Government Securities," IMF Working Papers 08/174, International Monetary Fund.
- Áron Gereben & István Mák, 2010. "Potentials and limitations of non-governmental forintdenominated bond issues by non-residents," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), vol. 5(3), pages 29-39, October.
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Keywordsforint interest rate swap market; government securities market; interest rate swap spread; swap spread model.;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-06-21 (All new papers)
- NEP-FMK-2008-06-21 (Financial Markets)
- NEP-MON-2008-06-21 (Monetary Economics)
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