Heterogeneous Yield Curves and Basis Swaps

Keiichi Tanaka ()
Additional contact information
Keiichi Tanaka: Graduate School of Economics, Osaka University

No 03-12, Discussion Papers in Economics and Business from Osaka University, Graduate School of Economics

Abstract: We present a framework of heterogeneous yield curves of agents based on the pricing kernel approach in order to model LIBOR and basis swap rates. Each yield curve may imply different prices of assets but is consistent with swap rates, basis swap rates and foreign exchange rates. We show three conditions that gurantee the no-arbitrage and the consistency with these rate processes. The introduction of contributors and the Market Representative Agent ( gMRA h) leads to an explanation of a non-zero basis swap rate as a swap rate priced by one of the MRAs.

Keywords: Interest rate swap; Basis swap; Pricing kernel; Risk premium; LIBOR (search for similar items in EconPapers)
JEL-codes: C6 D4 G1 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2003-06
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www2.econ.osaka-u.ac.jp/library/global/dp/0312.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:osk:wpaper:0312

Access Statistics for this paper

More papers in Discussion Papers in Economics and Business from Osaka University, Graduate School of Economics Contact information at EDIRC.
Bibliographic data for series maintained by The Economic Society of Osaka University ().