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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Danmarks Nationalbank Working Papers ; No. 54
- Classification
-
Wirtschaft
- Subject
-
Swap
Zinsstruktur
Kapitalanlage
Aktienmarkt
Volatilität
USA
- Event
-
Geistige Schöpfung
- (who)
-
Asgharian, Hossein
Karlsson, Sonnie
- Event
-
Veröffentlichung
- (who)
-
Danmarks Nationalbank
- (where)
-
Copenhagen
- (when)
-
2008
- Handle
- Last update
- 10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Asgharian, Hossein
- Karlsson, Sonnie
- Danmarks Nationalbank
Time of origin
- 2008
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Persistence of bank credit default swap spreads
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Trading risk and volatility in interest rate swap spreads
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