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AN ANALYTICAL STUDY OF MANAGING INTEREST RATE RISK IN THE AUSTRALIAN SWAP MARKET

✍ Scribed by KENNETH CHRISTIE; DAVID STEGEHUIS; JAMES BEESON; KARL SMITH

Book ID
118083400
Publisher
Economic Society of Australia
Year
1999
Tongue
English
Weight
547 KB
Volume
18
Category
Article
ISSN
0812-0439

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πŸ“œ SIMILAR VOLUMES

Common risk factors in the U.S. and UK i
Common risk factors in the U.S. and UK interest rate swap markets: Evidence from a nonlinear vector autoregression approach
✍ Ilias Lekkos; Costas Milas πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 595 KB

## Abstract This paper produces evidence in support of the existence of common risk factors in the U.S. and UK interest rate swap markets. Using a multivariate smooth transition autoregression (STVAR) framework, we show that the dynamics of the U.S. and UK swap spreads are best described by a regim