Price discovery from cross-currency and FX swaps: a structural analysis

This paper investigates the relative role of price discovery between two long-term swap contracts that exchange U.S. dollars for Japanese yen - the cross-currency basis swap and the foreign exchange (FX) swap - using structural state space models. Our main findings are that: (i) the currency swap market plays a much more dominant role in price discovery than...

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Year of publication:	2008-11-01
Authors:	Baba, Naohiko ; Amatatsu, Yasuaki
Institutions:	Bank für Internationalen Zahlungsausgleich <Basel>
Subject:	Preis \| Swap \| Markteffizienz

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Extent:	549888 bytes 23 p. application/pdf
Series:	Bank for International Settlements -Working Papers BIS Working Paper ; No 264 (2008)
Type of publication:	Book / Working Paper
Language:	English
Classification:	G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10009248829