Determinants of interest rate swap spreads in the US: bounds testing approach to cointegration
Yuki Toyoshima ()
Applied Financial Economics, 2012, vol. 22, issue 4, 331-338
Abstract:
This article empirically analyses the determinants of US interest rate swap spreads, and makes two key contributions. First, it considers the nonstationarity of time series, which previous studies have not done, and conducts a cointegration test using the bounds testing approach. The empirical results reveal that there exists a cointegration relationship between interest rate swap spreads and four determinants: the corporate bond spread, the slope of the yield curve, the T bill and Eurodollar (TED) spread and yield volatility. Second, it analyses the determinants of swap spreads using the Dynamic Ordinary Least Squares (DOLS). Considering the cointegration relationship, all explanatory variables were significant within the 5% level.
Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (1)
Downloads: (external link)
http://hdl.handle.net/10.1080/09603107.2011.613757 (text/html)
Access to full text is restricted to subscribers.
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:taf:apfiec:v:22:y:2012:i:4:p:331-338
Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20
DOI: 10.1080/09603107.2011.613757
Access Statistics for this article
Applied Financial Economics is currently edited by Anita Phillips
More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().