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Interest rate swaps: An empirical investigation

Citations

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Cited by:

  1. Hubner, Georges, 2001. "The analytic pricing of asymmetric defaultable swaps," Journal of Banking & Finance, Elsevier, vol. 25(2), pages 295-316, February.
  2. Gupta, Anurag & Subrahmanyam, Marti G., 2000. "An empirical examination of the convexity bias in the pricing of interest rate swaps," Journal of Financial Economics, Elsevier, vol. 55(2), pages 239-279, February.
  3. Marra, Miriam, 2015. "The impact of liquidity on senior credit index spreads during the subprime crisis," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 148-167.
  4. Harper, Joel T. & Wingender, John R., 2000. "An empirical test of agency cost reduction using interest rate swaps," Journal of Banking & Finance, Elsevier, vol. 24(9), pages 1419-1431, September.
  5. Chung, Hon-Lun & Chan, Wai-Sum, 2010. "Impact of credit spreads, monetary policy and convergence trading on swap spreads," International Review of Financial Analysis, Elsevier, vol. 19(2), pages 118-126, March.
  6. Cossin, Didier & Pirotte, Hugues, 1997. "Swap credit risk: An empirical investigation on transaction data," Journal of Banking & Finance, Elsevier, vol. 21(10), pages 1351-1373, October.
  7. Liu, Jun & Longstaff, Francis A. & Mandell, Ravit E., 2000. "The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads," University of California at Los Angeles, Anderson Graduate School of Management qt0zw4f9w6, Anderson Graduate School of Management, UCLA.
  8. Goswami, Gautam & Shrikhande, Milind M., 1998. "Interest rate swaps and economic exposure," Global Finance Journal, Elsevier, vol. 9(1), pages 51-70.
  9. Kanak Patel & Ricardo Pereira, 2008. "Pricing Property Index Linked Swaps with Counterparty Default Risk," The Journal of Real Estate Finance and Economics, Springer, vol. 36(1), pages 5-21, January.
  10. Francis In & Sangbae Kim, 2012. "An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8431, October.
  11. Ilias Lekkos & Costas Milas & Theodore Panagiotidis, 2005. "On the predictability of common risk factors in the US and UK interest rate swap markets: Evidence from non-linear and linear models," Discussion Paper Series 2005_9, Department of Economics, Loughborough University, revised Sep 2005.
  12. Augustin, Patrick & Chernov, Mikhail & Schmid, Lukas & Song, Dongo, 2019. "Benchmark interest rates when the government is risky," CEPR Discussion Papers 14105, C.E.P.R. Discussion Papers.
  13. Joseph Byrne & Alexandros Kontonikas & Alberto Montagnoli, 2007. "Unit Roots in Inflation and Aggregation Bias," Working Papers 2007_07, Business School - Economics, University of Glasgow.
  14. Baum, Christopher F. & Caglayan, Mustafa & Stephan, Andreas & Talavera, Oleksandr, 2008. "Uncertainty determinants of corporate liquidity," Economic Modelling, Elsevier, vol. 25(5), pages 833-849, September.
  15. Schröder, Thomas & Dunbar, Kwamie, 2010. "Effectively Hedging the Interest Rate Risk of Wide Floating Rate Coupon Spreads," Working Papers 2010001, Sacred Heart University, John F. Welch College of Business.
  16. Feldhütter, Peter & Lando, David, 2008. "Decomposing swap spreads," Journal of Financial Economics, Elsevier, vol. 88(2), pages 375-405, May.
  17. Lang, Larry H. P. & Litzenberger, Robert H. & Luchuan Liu, Andy, 1998. "Determinants of interest rate swap spreads," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1507-1532, December.
  18. Hugues Pirotte, 1999. "Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates," Working Papers CEB 99-001.RS, ULB -- Universite Libre de Bruxelles.
  19. Malhotra, D. K., 1998. "The impact of interest rate reset period on the bid-offer rates in an interest rate swap contract -- an empirical investigation," Journal of Multinational Financial Management, Elsevier, vol. 8(1), pages 79-88, January.
  20. Ilias Lekkos & Costas Milas & Theodore Panagiotidis, 2007. "Forecasting interest rate swap spreads using domestic and international risk factors: evidence from linear and non-linear models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(8), pages 601-619.
  21. Mark Grinblatt, 2001. "An Analytic Solution for Interest Rate Swap Spreads," International Review of Finance, International Review of Finance Ltd., vol. 2(3), pages 113-149, September.
  22. Somnath Chatterjee, 2005. "An Investigation Into The Linkages Between Euro And Sterling Swap Spreads," Working Papers 2005_1, Business School - Economics, University of Glasgow.
  23. Anatoli Kuprianov, 1994. "The role of interest rate swaps in corporate finance," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 49-68.
  24. Jun Liu & Francis A. Longstaff & Ravit E. Mandell, 2006. "The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2337-2360, September.
  25. Antulio N. Bomfim, 2003. "Counterparty credit risk in interest rate swaps during times of market stress," Finance and Economics Discussion Series 2003-09, Board of Governors of the Federal Reserve System (U.S.), revised 2003.
  26. Jyh-Horng Lin & Min-Li Yi, 2005. "Loan Portfolio Swaps and Optimal Lending," Review of Quantitative Finance and Accounting, Springer, vol. 24(2), pages 177-198, January.
  27. Minton, Bernadette A., 1997. "An empirical examination of basic valuation models for plain vanilla U.S. interest rate swaps," Journal of Financial Economics, Elsevier, vol. 44(2), pages 251-277, May.
  28. Li, Gang & Zhang, Chu, 2019. "Counterparty credit risk and derivatives pricing," Journal of Financial Economics, Elsevier, vol. 134(3), pages 647-668.
  29. Longstaff, Francis A & Santa-Clara, Pedro & Schwartz, Eduardo S, 2000. "The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence," University of California at Los Angeles, Anderson Graduate School of Management qt65f1914p, Anderson Graduate School of Management, UCLA.
  30. Huang, Ying & Neftci, Salih N. & Guo, Feng, 2008. "Swap curve dynamics across markets: Case of US dollar versus HK dollar," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(1), pages 79-93, February.
  31. Longstaff, Francis A. & Santa-Clara, Pedro & Schwartz, Eduardo S., 2001. "Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market," Journal of Financial Economics, Elsevier, vol. 62(1), pages 39-66, October.
  32. repec:wyi:journl:002109 is not listed on IDEAS
  33. Andrew Clare & Ilias Lekkos, 2000. "An analysis of the relationship between international bond markets," Bank of England working papers 123, Bank of England.
  34. Lotz, Christopher & Schlogl, Lutz, 2000. "Default risk in a market model," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 301-327, January.
  35. Marti G. Subrahmanyam & Young Ho Eom & Jun Uno, 2000. "Credit Risk and the Pricing of Japanese Yen Interest Rate Swaps," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-069, New York University, Leonard N. Stern School of Business-.
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