An empirical analysis of the Australian dollar swap spreads
Data(s) |
01/04/2003
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Resumo |
This paper examines the relationship between the Australian dollar interest rate swap spread and the term structure of the interest rates, and also the determinants of interest rate swap spreads. For this purpose, we estimate the term structure of interest rates using the parsimonious fitting function of Nelson and Siegel [Journal of Business 60 (1987) 476] for the Australian government bonds and Australian interest rate swaps for certain maturities that are not available. We analyse the swap spread over the term structure of the government bonds and how changes in swap determinants affect the changes in swap spreads. The sample period covers the daily interval from 6 December 1996 to 31 December 1999.<br /> |
Identificador | |
Idioma(s) |
eng |
Publicador |
Elsevier BV |
Relação |
http://dro.deakin.edu.au/eserv/DU:30042552/fang-empiricalanalysis-2003.pdf http://dx.doi.org/10.1016/S0927-538X(02)00112-9 |
Direitos |
2002, Elsevier Science |
Palavras-Chave | #Swap spreads #Term structure of interest rates #Government bonds |
Tipo |
Journal Article |