Determinants of Japanese Yen interest rate swap spreads: Evidence from a smooth transition vector autoregressive model

Ying Huang; Carl R. Chen; Maximo Camacho

doi:10.1002/fut.20281

Determinants of Japanese Yen interest rate swap spreads: Evidence from a smooth transition vector autoregressive model

Journal of Futures Markets ◽

10.1002/fut.20281 ◽

2007 ◽

Vol 28 (1) ◽

pp. 82-107 ◽

Cited By ~ 7

Author(s):

Ying Huang ◽

Carl R. Chen ◽

Maximo Camacho

Keyword(s):

Interest Rate ◽

Autoregressive Model ◽

Smooth Transition ◽

Vector Autoregressive Model ◽

Vector Autoregressive ◽

Interest Rate Swap ◽

Japanese Yen ◽

Swap Spreads ◽

Transition Vector ◽

Rate Swap

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The Components of Interest Rate Swap Spreads: Theory and International Evidence

CFA Digest ◽

10.2469/dig.v33.n3.1316 ◽

2003 ◽

Vol 33 (3) ◽

pp. 34-36

Author(s):

Robert A. McLean

Keyword(s):

Interest Rate ◽

Interest Rate Swap ◽

International Evidence ◽

Swap Spreads ◽

Rate Swap

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Fiscal policy events and interest rate swap spreads: Evidence from the EU

Journal of International Financial Markets Institutions and Money ◽

10.1016/j.intfin.2005.12.002 ◽

2007 ◽

Vol 17 (3) ◽

pp. 261-276 ◽

Cited By ~ 35

Author(s):

António Afonso ◽

Rolf Strauch

Keyword(s):

Fiscal Policy ◽

Interest Rate ◽

Interest Rate Swap ◽

Swap Spreads ◽

Rate Swap ◽

The Eu

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Do Stock Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-varying Vector Autoregressive Model

Journal of Emerging Market Finance ◽

10.1177/0972652715584267 ◽

2015 ◽

Vol 14 (2) ◽

pp. 176-196 ◽

Cited By ~ 13

Author(s):

Goodness C. Aye ◽

Rangan Gupta ◽

Mampho P. Modise

Keyword(s):

South Africa ◽

Interest Rate ◽

Stock Prices ◽

Autoregressive Model ◽

Time Varying ◽

Vector Autoregressive Model ◽

Vector Autoregressive

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Trading Risk and Volatility in Interest Rate Swap Spreads

SSRN Electronic Journal ◽

10.2139/ssrn.596611 ◽

2004 ◽

Cited By ~ 1

Author(s):

John Kambhu

Keyword(s):

Interest Rate ◽

Interest Rate Swap ◽

Swap Spreads ◽

Rate Swap

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The International Linkage of Interest Rate Swap Spreads: The Yen-Dollar Markets

Economic Theory, Dynamics and Markets ◽

10.1007/978-1-4615-1677-4_22 ◽

2001 ◽

pp. 287-308

Author(s):

Young Ho Eom ◽

Marti G. Subrahmanyam ◽

Jun Uno

Keyword(s):

Interest Rate ◽

Interest Rate Swap ◽

Swap Spreads ◽

International Linkage ◽

Rate Swap

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Ripple Effects, the Long-Run Relationship, and Dynamic Corrections among Interest Rate Swap Spreads

The Journal of Fixed Income ◽

10.3905/jfi.2018.27.4.040 ◽

2018 ◽

Vol 27 (4) ◽

pp. 40-52

Author(s):

Kenneth A. Tah ◽

Geoffrey Ngene

Keyword(s):

Interest Rate ◽

Ripple Effects ◽

Interest Rate Swap ◽

Long Run ◽

Swap Spreads ◽

Rate Swap

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The Dynamic Relationship Analysis and Forecast of P2P Interest Rate—Based on Bayesian Vector Autoregressive Model

Proceedings of the Fifth International Forum on Decision Sciences - Uncertainty and Operations Research ◽

10.1007/978-981-10-7817-0_17 ◽

2018 ◽

pp. 175-184

Author(s):

Wenjun Lyu ◽

Tiantong Lyu

Keyword(s):

Interest Rate ◽

Autoregressive Model ◽

Vector Autoregressive Model ◽

Vector Autoregressive ◽

Relationship Analysis ◽

Dynamic Relationship

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An Analytic Solution for Interest Rate Swap Spreads

International Review of Finance ◽

10.1111/1468-2443.00022 ◽

2001 ◽

Vol 2 (3) ◽

pp. 113-149 ◽

Cited By ~ 67

Author(s):

Mark Grinblatt

Keyword(s):

Interest Rate ◽

Analytic Solution ◽

Interest Rate Swap ◽

Swap Spreads ◽

Rate Swap

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Determinants of interest rate swap spreads in the US: bounds testing approach to cointegration

Applied Financial Economics ◽

10.1080/09603107.2011.613757 ◽

2011 ◽

Vol 22 (4) ◽

pp. 331-338 ◽

Cited By ~ 1

Author(s):

Yuki Toyoshima

Keyword(s):

Interest Rate ◽

Bounds Testing ◽

Interest Rate Swap ◽

The Us ◽

Bounds Testing Approach ◽

Testing Approach ◽

Swap Spreads ◽

Rate Swap

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The analysis of interest rate swap spreads in Japan

Applied Financial Economics Letters ◽

10.1080/17446540600883194 ◽

2007 ◽

Vol 3 (1) ◽

pp. 1-4 ◽

Cited By ~ 8

Author(s):

Takayasu Ito

Keyword(s):

Interest Rate ◽

Interest Rate Swap ◽

Swap Spreads ◽

Rate Swap

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