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Decomposing swap spreads

Citations

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Cited by:

  1. Hans Dewachter & Leonardo Iania & Marco Lyrio, 2014. "Information In The Yield Curve: A Macro‐Finance Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(1), pages 42-64, January.
  2. Alain Monfort & Jean-Paul Renne, 2013. "Default, Liquidity, and Crises: an Econometric Framework," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 11(2), pages 221-262, March.
  3. Xiao, Tim, 2012. "An Economic Examination of Collateralization in Different Financial Markets," MPRA Paper 47371, University Library of Munich, Germany.
  4. Feldhütter, Peter & Hotchkiss, Edith & Karakaş, Oğuzhan, 2016. "The value of creditor control in corporate bonds," Journal of Financial Economics, Elsevier, vol. 121(1), pages 1-27.
  5. repec:kap:revdev:v:22:y:2019:i:2:d:10.1007_s11147-018-9148-8 is not listed on IDEAS
  6. Zinna, Gabriele, 2013. "Sovereign default risk premia: Evidence from the default swap market," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 15-35.
  7. Masaaki Fujii & Akihiko Takahashi, 2011. "Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA," CARF F-Series CARF-F-265, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  8. 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.
  9. Krishnamurthy, Arvind & Nagel, Stefan & Vissing-Jorgensen, Annette, 2017. "ECB Policies Involving Government Bond Purchases: Impact and Channels," Research Papers repec:ecl:stabus:3578, Stanford University, Graduate School of Business.
  10. Masaaki Fujii & Akihiko Takahashi, 2010. "Asymmetric and Imperfect Collateralization, Derivative Pricing, and CVA," CIRJE F-Series CIRJE-F-781, CIRJE, Faculty of Economics, University of Tokyo.
  11. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2010. "Properties of Foreign Exchange Risk Premia," MPRA Paper 21302, University Library of Munich, Germany.
  12. Marcello Pericoli & Marco Taboga, 2015. "Decomposing euro area sovereign spreads: credit, liquidity and convenience," Temi di discussione (Economic working papers) 1021, Bank of Italy, Economic Research and International Relations Area.
  13. Tim Xiao, 2018. "A New Model for Pricing Collateralized Financial Derivatives," Papers 1805.11981, arXiv.org.
  14. Masaaki Fujii & Akihiko Takahashi, 2010. "Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA," CARF F-Series CARF-F-240, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Mar 2011.
  15. Cho-Hoi Hui & Lillie Lam, 2008. "What Drives Hong Kong Dollar Swap Spreads: Credit or Liquidity?," Working Papers 0810, Hong Kong Monetary Authority.
  16. C. Sirmans & Stanley Smith & G. Sirmans, 2015. "Determinants of Mortgage Interest Rates: Treasuries versus Swaps," The Journal of Real Estate Finance and Economics, Springer, vol. 50(1), pages 34-51, January.
  17. repec:eee:empfin:v:45:y:2018:i:c:p:243-268 is not listed on IDEAS
  18. Guillermo Andrés Cangrejo Jiménez, 2014. "La Estructura a Plazos del Riesgo Interbancario," Documentos de Trabajo 012172, Universidad del Rosario.
  19. Dick-Nielsen, Jens & Feldhütter, Peter & Lando, David, 2012. "Corporate bond liquidity before and after the onset of the subprime crisis," Journal of Financial Economics, Elsevier, vol. 103(3), pages 471-492.
  20. Christensen, Jens H. E., 2013. "A Regime-Switching Model of the Yield Curve at the Zero Bound," Working Paper Series 2013-34, Federal Reserve Bank of San Francisco, revised 29 Apr 2015.
  21. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2012. "Properties of foreign exchange risk premiums," Journal of Financial Economics, Elsevier, vol. 105(2), pages 279-310.
  22. Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2013. "Mortgage Hedging in Fixed Income Markets," FMG Discussion Papers dp722, Financial Markets Group.
  23. Dewachter, Hans & Iania, Leonardo, 2012. "An Extended Macro-Finance Model with Financial Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(06), pages 1893-1916, February.
  24. repec:bla:eufman:v:21:y:2015:i:3:p:556-589 is not listed on IDEAS
  25. Renne, J-P., 2009. "Frequency-domain analysis of debt service in a macro-finance model for the euro area," Working papers 261, Banque de France.
  26. Michele Leonardo Bianchi, 2018. "Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs," Papers 1805.09996, arXiv.org.
  27. Patrick Augustin & Mikhail Chernov & Dongho Song, 2018. "Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads," NBER Working Papers 24506, National Bureau of Economic Research, Inc.
  28. repec:eee:jfinec:v:125:y:2017:i:3:p:537-560 is not listed on IDEAS
  29. Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," MPRA Paper 87088, University Library of Munich, Germany.
  30. Masaaki Fujii & Akihiko Takahashi, 2009. "A Survey on Modeling and Analysis of Basis Spreads," CARF F-Series CARF-F-195, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  31. Kim, Don H. & Singleton, Kenneth J., 2012. "Term structure models and the zero bound: An empirical investigation of Japanese yields," Journal of Econometrics, Elsevier, vol. 170(1), pages 32-49.
  32. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2014. "Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(1), pages 136-151, January.
  33. Alain Monfort & Jean-Paul Renne, 2011. "Credit and Liquidity Risks in Euro-area Sovereign Yield Curves," Working Papers 2011-26, Center for Research in Economics and Statistics.
  34. Anella Munro, 2016. "Bond premia, monetary policy and exchange rate dynamics," Reserve Bank of New Zealand Discussion Paper Series DP2016/11, Reserve Bank of New Zealand.
  35. repec:eee:pacfin:v:44:y:2017:i:c:p:47-63 is not listed on IDEAS
  36. Georges Dionne & Olfa Maalaoui Chun, 2013. "Default and liquidity regimes in the bond market during the 2002-2012 period," Canadian Journal of Economics, Canadian Economics Association, vol. 46(4), pages 1160-1195, November.
  37. Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui, 2014. "Nonlinear Kalman Filtering in Affine Term Structure Models," Management Science, INFORMS, vol. 60(9), pages 2248-2268, September.
  38. Azad, A.S.M. Sohel & Batten, Jonathan A. & Fang, Victor, 2015. "What determines the yen swap spread?," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 1-13.
  39. Fischer, Henning & Stolper, Oscar, 2019. "The nonlinear dynamics of corporate bond spreads: Regime-dependent effects of their determinants," Discussion Papers 08/2019, Deutsche Bundesbank.
  40. Dockner, Engelbert J. & Mayer, Manuel & Zechner, Josef, 2013. "Sovereign bond risk premiums," CFS Working Paper Series 2013/28, Center for Financial Studies (CFS).
  41. repec:zbw:espost:197768 is not listed on IDEAS
  42. Ramaprasad Bhar, 2010. "Stochastic Filtering With Applications In Finance:," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, September.
  43. Tomoaki Shouda, 2005. "Dynamical analysis of corporate bonds based on the yield spread term-quality surface," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(4), pages 307-332, December.
  44. repec:eee:empfin:v:49:y:2018:i:c:p:247-262 is not listed on IDEAS
  45. Tim Xiao, 2019. "An Economic Examination of Collateralization in Different Financial Markets," Working Papers hal-02024144, HAL.
  46. Filipović, Damir & Trolle, Anders B., 2013. "The term structure of interbank risk," Journal of Financial Economics, Elsevier, vol. 109(3), pages 707-733.
  47. Xiao, Tim, 2012. "An Economic Examination of Collateralization in Different Financial Markets," MPRA Paper 47105, University Library of Munich, Germany.
  48. Breckenfelder, Johannes & Schwaab, Bernd, 2018. "Bank to sovereign risk spillovers across borders: Evidence from the ECB’s Comprehensive Assessment," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 247-262.
  49. repec:eee:asieco:v:59:y:2018:i:c:p:16-28 is not listed on IDEAS
  50. repec:kap:compec:v:51:y:2018:i:3:d:10.1007_s10614-016-9608-x is not listed on IDEAS
  51. Kempf, Alexander & Korn, Olaf & Uhrig-Homburg, Marliese, 2012. "The term structure of illiquidity premia," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1381-1391.
  52. Junye Li & Gabriele Zinna, 2014. "On bank credit risk: systemic or bank-specific? Evidence from the US and UK," Temi di discussione (Economic working papers) 951, Bank of Italy, Economic Research and International Relations Area.
  53. Sven Klingler & Suresh Sundaresan, 2018. "An explanation of negative swap spreads: demand for duration from underfunded pension plans," BIS Working Papers 705, Bank for International Settlements.
  54. Mitra, Sovan & Date, Paresh & Mamon, Rogemar & Wang, I-Chieh, 2013. "Pricing and risk management of interest rate swaps," European Journal of Operational Research, Elsevier, vol. 228(1), pages 102-111.
  55. Dubecq, Simon & Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2016. "Credit and liquidity in interbank rates: A quadratic approach," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 29-46.
  56. Ejsing, Jacob & Grothe, Magdalena & Grothe, Oliver, 2015. "Liquidity and credit premia in the yields of highly-rated sovereign bonds," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 160-173.
  57. Hanson, Samuel G., 2014. "Mortgage convexity," Journal of Financial Economics, Elsevier, vol. 113(2), pages 270-299.
  58. Gallitschke, Janek & Seifried (née Müller), Stefanie & Seifried, Frank Thomas, 2017. "Interbank interest rates: Funding liquidity risk and XIBOR basis spreads," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 142-152.
  59. Jean-Sébastien Fontaine, 2012. "Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy," Staff Working Papers 12-41, Bank of Canada.
  60. Cao, Charles & Yu, Fan & Zhong, Zhaodong, 2010. "The information content of option-implied volatility for credit default swap valuation," Journal of Financial Markets, Elsevier, vol. 13(3), pages 321-343, August.
  61. Anthony H. Tu & Cathy Yi-Hsuan Chen, 2016. "What Derives the Bond Portfolio Value-at-Risk: Information Roles of Macroeconomic and Financial Stress Factors," SFB 649 Discussion Papers SFB649DP2016-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  62. Masaaki Fujii & Akihiko Takahashi, 2009. "A Survey on Modeling and Analysis of Basis Spreads," CIRJE F-Series CIRJE-F-697, CIRJE, Faculty of Economics, University of Tokyo.
  63. Tim Xiao, 2017. "A New Model for Pricing Collateralized Financial Derivatives," Post-Print hal-01800559, HAL.
  64. Odermann, Alexander & Cremers, Heinz, 2013. "Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress," Frankfurt School - Working Paper Series 204, Frankfurt School of Finance and Management.
  65. Ramaprasad Bhar & Nedim Handzic, 2011. "A Multifactor Model of Credit Spreads," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(1), pages 105-127, March.
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