Search Results - subject:"Swap"

US ($) interest rate and cross currency swaps after the LIBOR funeral : a corporate treasury primer

Heidorn, Thomas; Liem, Erik; Requardt, Stefan; … - 2025

next to €STR, which means that corporates may continue to use term rates set in advance when they choose to swap U …

Persistent link: https://www.econbiz.de/10015333448

The implications of CIP deviations for international capital flows

Kubitza, Christian; Sigaux, Jean-David; Vandeweyer, Quentin - 2025

We study the implications of deviations from covered interest rate parity for international capital flows using novel data covering euro-area derivatives and securities holdings. Consistent with a dynamic model of currency risk hedging, we document that investors' holdings of USD bonds decrease...

Persistent link: https://www.econbiz.de/10015330343

Macro-financial models of Canadian dollar interest rate swap yields

Akram, Tanweer; Mamun, Khawaja - 2024

This paper analyzes the dynamics of Canadian dollar-denominated (CAD) interest rate swap yields. It applies …-term interest rate and other relevant macro-financial variables on interest rate swap yields. It shows that the current short …-term interest rate is a crucial driver of the swap yields of different maturity tenors. Similar patterns of interest rate swaps …

Persistent link: https://www.econbiz.de/10015152683

The impact of yield curve control under different regimes on Japanese Government Bonds and swap markets in the super long term

Ito, Takayasu - In: The journal of corporate accounting & finance 36 (2025) 1, pp. 55-60

Persistent link: https://www.econbiz.de/10015371247

China: central bank swaps to Argentina, 2014

Arnold, Vincient - In: The journal of financial crises 5 (2023) 1, pp. 158-188

Persistent link: https://www.econbiz.de/10014384281

International Monetary Fund: short-term liquidity line, 2020

Mott, Carey; Brougher, Léo - In: The journal of financial crises 6 (2024) 4, pp. 82-115

Persistent link: https://www.econbiz.de/10015403703

Pricing implications of centrality in an OTC derivative market : an empirical analysis using transaction-level CDS Data

Maehashi, Kohei; Miyakawa, Daisuke; Sasamoto, Kana - 2024

Persistent link: https://www.econbiz.de/10015078199

Strict certainty preference in the predictive brain : a new perspective on financial innovations and their role in the real economy

Siddiqi, Hammad - In: Annals of finance 20 (2024) 2, pp. 277-287

Persistent link: https://www.econbiz.de/10014566431

Debt for Development Swaps: An Approach Framework

International Monetary Fund / Strategy, Policy, & … - 2024

The aim of this note is to help stakeholders optimize their decision-making on when, where, and how to use debt-for-development swaps ("debt swaps"), ensuring they bring the intended benefits to all parties involved. It also proposes new approaches to structure these mechanisms, making them less...

Persistent link: https://www.econbiz.de/10015328529

Euro interest rate swap yields : a GARCH analysis

Akram, Tanweer; Mamun, Khawaja - In: International journal of empirical economics 4 (2025) 2, pp. 1-38

This paper models the month-over-month change in euro-denominated (EUR) long-term interest rate swap yields. It shows … EUR swap yields of different maturity tenors in the subsequent period, after controlling for various macroeconomic and … the monthly change in EUR swap yields and their volatility. The results of the estimated models of EUR swap yields of …

Persistent link: https://www.econbiz.de/10015445622