A Note on a Cointegrating Vector for US Interest Rate Swaps
Author | : Ying Sophie Huang |
Publisher | : |
Total Pages | : |
Release | : 2007 |
ISBN-10 | : OCLC:1291189042 |
ISBN-13 | : |
Rating | : 4/5 (42 Downloads) |
Download or read book A Note on a Cointegrating Vector for US Interest Rate Swaps written by Ying Sophie Huang and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This note explores the temporal relationship among US interest rate swap spreads, US corporate credit spreads, LIBOR and the shape of the Treasury yield curve by performing cointegration test and estimating an error correction model. One cointegrating relationship is found, implying that a single common factor underlies these time series and a stable long-run linear relationship exists among them. In addition, the obtained cointegrating vector provides evidence for the existence of complex dynamics between the swap and the equity markets in the US.