메뉴 건너뛰기




Volumn 20, Issue 1-2, 2010, Pages 37-43

Global financial crisis and US interest rate swap spreads

Author keywords

[No Author keywords available]

Indexed keywords

ECONOMIC IMPACT; FINANCIAL CRISIS; FINANCIAL MARKET; GLOBALIZATION; INTEREST RATE; MONETARY POLICY;

EID: 72149099587     PISSN: 09603107     EISSN: 14664305     Source Type: Journal    
DOI: 10.1080/09603100903262921     Document Type: Article
Times cited : (10)

References (17)
  • 1
    • 72149094538 scopus 로고    scopus 로고
    • Bank for International Settlements (BIS), Available at, (accessed 30 September 2009)
    • Bank for International Settlements (BIS) (2009) OTC derivatives market activity in the second half of 2008. Available at http://www.bis.org/publ/otc_hy0905.pdf?noframes=1 (accessed 30 September 2009).
    • (2009) Otc Derivatives Market Activity In the Second Half of 2008
  • 2
    • 0002632639 scopus 로고
    • An empirical analysis of interest rate swap spreads
    • Brown, K., Harlow, W. and Smith, D. J. (1994) An empirical analysis of interest rate swap spreads, Journal of Fixed Income, 3, 61-78.
    • (1994) Journal of Fixed Income , vol.3 , pp. 61-78
    • Brown, K.1    Harlow, W.2    Smith, D.J.3
  • 3
    • 1242265777 scopus 로고    scopus 로고
    • Estimating the risk premium of swap spreads. Two econometric GARCH-based techniques
    • Castagnetti, C. (2004) Estimating the risk premium of swap spreads. Two econometric GARCH-based techniques, Applied Financial Economics, 14, 93-104.
    • (2004) Applied Financial Economics , vol.14 , pp. 93-104
    • Castagnetti, C.1
  • 4
    • 0031256283 scopus 로고    scopus 로고
    • Swap credit risk: An empirical investigation on transaction data
    • Cossin, D. and Pirotte, H. (1997) Swap credit risk: an empirical investigation on transaction data, Journal of Banking and Finance, 21, 1351-73.
    • (1997) Journal of Banking and Finance , vol.21 , pp. 1351-1373
    • Cossin, D.1    Pirotte, H.2
  • 5
    • 0040799595 scopus 로고    scopus 로고
    • Swap rates and credit quality
    • Duffie, D. and Huang, M. (1996) Swap rates and credit quality, Journal of Finance, 51, 921-49.
    • (1996) Journal of Finance , vol.51 , pp. 921-949
    • Duffie, D.1    Huang, M.2
  • 7
    • 0037376175 scopus 로고    scopus 로고
    • The components of interest rate swap spreads: Theory and international evidence
    • Fehle, F. (2003) The components of interest rate swap spreads: theory and international evidence, Journal of Futures Markets, 23, 347-87.
    • (2003) Journal of Futures Markets , vol.23 , pp. 347-387
    • Fehle, F.1
  • 8
    • 33845667835 scopus 로고    scopus 로고
    • Empirical study of the yen interest rate swap spread
    • Hamano, M. (1997) Empirical study of the yen interest rate swap spread, Gendai Finance (Modern Finance), 1, 55-67.
    • (1997) Gendai Finance (modern Finance) , vol.1 , pp. 55-67
    • Hamano, M.1
  • 9
    • 36248987397 scopus 로고    scopus 로고
    • The effect of Fed monetary policy regimes on the US interest rate swap spreads
    • Huang, Y. and Chen, C. R. (2007) The effect of Fed monetary policy regimes on the US interest rate swap spreads, Review of Financial Economics, 16, 375-99.
    • (2007) Review of Financial Economics , vol.16 , pp. 375-399
    • Huang, Y.1    Chen, C.R.2
  • 10
    • 33845607631 scopus 로고    scopus 로고
    • The analysis of interest rate swap spreads in Japan
    • Ito, T. (2007) The analysis of interest rate swap spreads in Japan, Applied Financial Economics Letters, 3, 1-4.
    • (2007) Applied Financial Economics Letters , vol.3 , pp. 1-4
    • Ito, T.1
  • 12
    • 0035615263 scopus 로고    scopus 로고
    • Identifying the factors that affect interest rate swap spreads: Some evidence from the United States and the United Kingdom
    • Lekkos, I. and Milas, C. (2001) Identifying the factors that affect interest rate swap spreads: some evidence from the United States and the United Kingdom, Journal of Futures Markets, 21, 737-68.
    • (2001) Journal of Futures Markets , vol.21 , pp. 737-768
    • Lekkos, I.1    Milas, C.2
  • 13
    • 0031138985 scopus 로고    scopus 로고
    • An empirical examination of basic valuation models for plain vanilla US interest rate swaps
    • Minton, B. A. (1997) An empirical examination of basic valuation models for plain vanilla US interest rate swaps, Journal of Financial Economics, 44, 251-77.
    • (1997) Journal of Financial Economics , vol.44 , pp. 251-277
    • Minton, B.A.1
  • 14
    • 0000641348 scopus 로고
    • Conditional heteroskedasticity in asset returns: A new approach
    • Nelson, D. (1991) Conditional heteroskedasticity in asset returns: a new approach, Econometrica, 59, 347-70.
    • (1991) Econometrica , vol.59 , pp. 347-370
    • Nelson, D.1
  • 15
    • 0000706085 scopus 로고
    • A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey, W. K and West, K. D. (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703-8.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    West, K.D.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.