Determinants of UK swap spreads

Andrew Marshall and Chai Ni Ho

Applied Financial Economics Letters, 2006, vol. 2, issue 5, 305-309

Abstract: The main factors which drive swap spreads are interest rates, credit risks and liquidity risks. The study uses UK data from 1 January 2001 to 30 June 2004 to analyse the components of interest rate swap spreads. This paper updates previous empirical evidence and considers if different economic and market conditions can have an impact on determinants of swap spreads. It is found that the level and slope of interest rates are significantly positively related to UK swap spreads for most maturities. This differs from previous empirical evidence. It is concluded that differing economic and market conditions can have an impact on swap spreads. Consistent with previous evidence a positive relation between the default risk factor and swap spreads is also found and the liquidity premium is positively related to UK swap spreads for medium- and long-term swap spreads.

Date: 2006
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/17446540600592803 (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:raflxx:v:2:y:2006:i:5:p:305-309

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rafl20

DOI: 10.1080/17446540600592803

Access Statistics for this article

Applied Financial Economics Letters is currently edited by Anita Phillips

More articles in Applied Financial Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().