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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

Author

Listed:
  • 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.

Suggested Citation

  • Shinada, Naoki, 2005. "Actual factors to determine cross-currency basis swaps: An empirical study on US dollar/Japanese yen basis swap rates from the late 1990s," MPRA Paper 16425, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:16425
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    File URL: https://mpra.ub.uni-muenchen.de/16425/1/MPRA_paper_16425.pdf
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    More about this item

    Keywords

    Currency swap; international finance; empirical finance;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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