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Linking the interest rate swap markets to the macroeconomic risk: The UK and us evidence

โœ Scribed by A.S.M. Sohel Azad; Victor Fang; Chi-Hsiou Hung

Book ID
116577487
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
849 KB
Volume
22
Category
Article
ISSN
1057-5219

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โœ Ilias Lekkos; Costas Milas ๐Ÿ“‚ Article ๐Ÿ“… 2004 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 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