The analysis of interest rate swap spreads in Japan

Takayasu Ito

Applied Financial Economics Letters, 2007, vol. 3, issue 1, 1-4

Abstract: The purpose of this article is to investigate the determinants of interest rate swap spreads in Japan. Four determinants of swap spreads – TED spread, corporate bond spread, interest rate and the slope of yield curve – are chosen. The swap spreads of 2 years through 4 years are mostly influenced by TED spread, interest rate and slope. The swap spread of 5 years is mostly decided by corporate bond spread and slope. The swap spreads of 7 years and 10 years are mostly affected by corporate bond spread.

Date: 2007
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DOI: 10.1080/17446540600883194

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