Regime switching dynamics in credit default swaps: Evidence from smooth transition autoregressive model

Determinants of Japanese Yen interest ra

Determinants of Japanese Yen interest rate swap spreads: Evidence from a smooth transition vector autoregressive model

✍ Ying Huang; Carl R. Chen; Maximo Camacho 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 553 KB

## 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