Arbeitspapier
An empirical analysis of factors driving the swap spread
In this paper, we perform a robust analysis of the determinants of US swap spreads using a wide range of theoretically motivated candidate factors. We conduct an analysis in the frequency domain to see how the impacts of the candidate factors on the swap spread differ between different horizons. The sensitivity of the parameters to all possible model specifications has been investigated. Among other things, we find that Treasury- and stock market volatility as well as the activity of the Mortgage Backed Security holders have strong impacts on the US swap spread.
- Sprache
-
Englisch
- Erschienen in
-
Series: Danmarks Nationalbank Working Papers ; No. 54
- Klassifikation
-
Wirtschaft
- Thema
-
Swap
Zinsstruktur
Kapitalanlage
Aktienmarkt
Volatilität
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Asgharian, Hossein
Karlsson, Sonnie
- Ereignis
-
Veröffentlichung
- (wer)
-
Danmarks Nationalbank
- (wo)
-
Copenhagen
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Asgharian, Hossein
- Karlsson, Sonnie
- Danmarks Nationalbank
Entstanden
- 2008
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