Akram, Tanweer; al Mamun, Khawaja Abdullah - 2023
This paper models the dynamics of Chinese yuan (CNY)-denominated long-term interest rate swap yields. The financial …, interest rate swaps are likely to have an important role in the Chinese financial system. This paper shows that the short …-term interest rate exerts a decisive influence on the long-term swap yield after controlling for various macrofinancial variables …