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Swap Market (swap + market)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Selected Abstracts

Australian and US interest rate swap markets: comparison and linkages

ACCOUNTING & FINANCE, Issue 1 2004
Francis In
Abstract We investigate and compare the determinants of US and Australian interest rate swap spreads and the linkages between these markets. The slope of the risk-free term structure is the most significant determinant and its importance is greater for longer terms to maturity. Interest rate levels and, in Australia, the default premium also have some impact. The influences of interest rate volatility, the liquidity premium and (in the USA) the default premium are small or negligible. We hypothesise, and our evidence confirms, that the US swap market significantly affects the Australian swap market but not vice-versa. [source]

Benchmark tipping and the role of the swap market in price discovery

THE JOURNAL OF FUTURES MARKETS, Issue 10 2007
Russell PoskittArticle first published online: 14 AUG 200
The author uses a high-frequency data set to investigate the roles of the sterling swap and futures markets in price discovery at the short-end of the sterling yield curve. Information flows between the futures and swap markets are found to be largely contemporaneous. Causal information flows are bidirectional, although the futures market dominates the information flow over the very short term. Thus, the futures market remains the primary locus of price discovery despite the increased use of swaps as a pricing benchmark and hedging instrument in recent years. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:981,1001, 2007 [source]

International Transmission of Swap Market Movements: The U.S., Korea, and China,

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 5 2009
Hahn S. Lee
Abstract This paper investigates whether and to what extent the Korean and Chinese swap markets are linked to the US counterpart. We apply bivariate EGARCH models to daily closing mid-rate data on swap maturities of 3, 5, and 10 years for the US, Korea, and China. We find that the US swap market has a major influence on the Korean and the Chinese swap markets. Strong evidence is found for the swap spread as well as volatility spillover effects from the US swap market to the Korean counterpart. On the other hand, the linkage between the US and Chinese swap markets turns out to be weak. This result indicates that the Chinese swap market, which opened on April 2006, is yet premature. [source]

Australian and US interest rate swap markets: comparison and linkages

ACCOUNTING & FINANCE, Issue 1 2004
Francis In
Abstract We investigate and compare the determinants of US and Australian interest rate swap spreads and the linkages between these markets. The slope of the risk-free term structure is the most significant determinant and its importance is greater for longer terms to maturity. Interest rate levels and, in Australia, the default premium also have some impact. The influences of interest rate volatility, the liquidity premium and (in the USA) the default premium are small or negligible. We hypothesise, and our evidence confirms, that the US swap market significantly affects the Australian swap market but not vice-versa. [source]

Benchmark tipping and the role of the swap market in price discovery

THE JOURNAL OF FUTURES MARKETS, Issue 10 2007
Russell PoskittArticle first published online: 14 AUG 200
The author uses a high-frequency data set to investigate the roles of the sterling swap and futures markets in price discovery at the short-end of the sterling yield curve. Information flows between the futures and swap markets are found to be largely contemporaneous. Causal information flows are bidirectional, although the futures market dominates the information flow over the very short term. Thus, the futures market remains the primary locus of price discovery despite the increased use of swaps as a pricing benchmark and hedging instrument in recent years. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:981,1001, 2007 [source]

International Transmission of Swap Market Movements: The U.S., Korea, and China,

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 5 2009
Hahn S. Lee
Abstract This paper investigates whether and to what extent the Korean and Chinese swap markets are linked to the US counterpart. We apply bivariate EGARCH models to daily closing mid-rate data on swap maturities of 3, 5, and 10 years for the US, Korea, and China. We find that the US swap market has a major influence on the Korean and the Chinese swap markets. Strong evidence is found for the swap spread as well as volatility spillover effects from the US swap market to the Korean counterpart. On the other hand, the linkage between the US and Chinese swap markets turns out to be weak. This result indicates that the Chinese swap market, which opened on April 2006, is yet premature. [source]