Add to ORKGThe interest rate swap is one of the most popular topics that researchers work on since 1980s. Even though there are so many research papers that are about the determinant factors of interest rate swap, it shows the limited explanation. I have conducted the cointegration test on each pair of variables based on the financial and macroeconomic theory. My testing results show that the interest rate swap spread is correlated with default premium in corporate bond market and the government budget deficit index while other assumed determinant variables have weak impacts on the swap spread
In this paper the linear relationship between theoretical determinants of default risk and default s...
This paper analyzes US interest rate swap spreads in relation to the sovereign crisis of the Euro zo...
The paper analyzes the relationship between the credit default swaps (CDS) spreads for 5-year CDS in...
As one of the most popular derivatives to hedge interest rate risk, the variation of interest rate s...
In this article, we perform a robust analysis of the determinants of U.S. swap spreads using a wide ...
Data about swap rates and impinging variables were taken from multiple sources and examined using re...
The main factors which drive swap spreads are interest rates, credit risks and liquidity risks. The ...
We investigate the determinants of changes in U.S. interest rate swap spreads using a model that exp...
This paper investigates the determinants of swap spreads. Compared with previous work done in this a...
We investigate the determinants of US swap spreads based on the development of the swap market and t...
The theoretical drivers of interest rate swap spreads identified in studies conducted in the United ...
This paper argues that liquidity differences between government securities and short term Eurodollar...
The purpose of this thesis is to study traded corporate credit risk in the CDS and bond markets. As ...
The aim of the study is to investigate the factors affecting Euribor basis swap spreads. Variables a...
This article investigates the determinants of US interest rate swap spreads in the period including ...
In this paper the linear relationship between theoretical determinants of default risk and default s...
This paper analyzes US interest rate swap spreads in relation to the sovereign crisis of the Euro zo...
The paper analyzes the relationship between the credit default swaps (CDS) spreads for 5-year CDS in...
As one of the most popular derivatives to hedge interest rate risk, the variation of interest rate s...
In this article, we perform a robust analysis of the determinants of U.S. swap spreads using a wide ...
Data about swap rates and impinging variables were taken from multiple sources and examined using re...
The main factors which drive swap spreads are interest rates, credit risks and liquidity risks. The ...
We investigate the determinants of changes in U.S. interest rate swap spreads using a model that exp...
This paper investigates the determinants of swap spreads. Compared with previous work done in this a...
We investigate the determinants of US swap spreads based on the development of the swap market and t...
The theoretical drivers of interest rate swap spreads identified in studies conducted in the United ...
This paper argues that liquidity differences between government securities and short term Eurodollar...
The purpose of this thesis is to study traded corporate credit risk in the CDS and bond markets. As ...
The aim of the study is to investigate the factors affecting Euribor basis swap spreads. Variables a...
This article investigates the determinants of US interest rate swap spreads in the period including ...
In this paper the linear relationship between theoretical determinants of default risk and default s...
This paper analyzes US interest rate swap spreads in relation to the sovereign crisis of the Euro zo...
The paper analyzes the relationship between the credit default swaps (CDS) spreads for 5-year CDS in...