## Abstract This study investigates the determinants of variations in the yield spreads between Japanese yen interest rate swaps and Japan government bonds for a period from 1997 to 2005. A smooth transition vector autoregressive (STVAR) model and generalized impulse response functions are used to
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Determinants of interest rate swap spreads
β Scribed by Larry H.P. Lang; Robert H. Litzenberger; Andy Luchuan Liu
- Book ID
- 117529092
- Publisher
- Elsevier Science
- Year
- 1998
- Tongue
- English
- Weight
- 363 KB
- Volume
- 22
- Category
- Article
- ISSN
- 0378-4266
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