Search Results - subject:"Swap"

Essays on FX variance risk premium, monetary policy and currency returns

Pozdeev, Igor - 2020

overnight index swap (OIS) rates to forecast the path of future monetary policy. We first document no significant risk premium … embedded in swap rates for maturities up to one year, which enables them to be unbiased predictors of future OIS underlying …

Persistent link: https://www.econbiz.de/10012214090

Breakdown of covered interest parity : mystery or myth?

Wong, Alfred Y.; Zhang, Jiayue - 2018

that the swap dealer behaves as if he tries to align the risks of the transactions in pricing CCBSs, which causes CIP to …

Persistent link: https://www.econbiz.de/10011791979

Central bank swaps then and now : swaps and dollar liquidity in the 1960s

McCauley, Robert N.; Schenk, Catherine R. - 2020

Persistent link: https://www.econbiz.de/10012238246

The Fed's enhanced swap lines and new interventions in the treasury market

Allen, William A.; Moessner, Richhild - 2020

Persistent link: https://www.econbiz.de/10012213793

Persistence of bank credit default swap spreads

Huang, Xin - In: Risks : open access journal 7 (2019) 3/90, pp. 1-13

Credit default swap (CDS) spreads measure the default risk of the reference entity and have been frequently used in …

Persistent link: https://www.econbiz.de/10012126480

Analysing cross-currency basis spreads

Baran, Jaroslav; Witzany, Jiří - In: Ekonomický časopis : časopis pre ekonomickú … 66 (2018) 10, pp. 1002-1030

Persistent link: https://www.econbiz.de/10012152949

Credit default swap regulation in experimental bond markets

Weber, Matthias; Duffy, John Michael; Schram, Arthur - 2019

Persistent link: https://www.econbiz.de/10012050909

Role of cross currency swap markets in funding and investment decisions

Brophy, Thomas J.; Herrala, Niko; Jurado, Raquel; … - 2019

A US dollar funding premium in the EUR/USD cross currency swap market has been in existence since 2008. Whilst there … currency swap markets over balance sheet reporting dates, using the money market statistical reporting (MMSR) dataset in order …

Persistent link: https://www.econbiz.de/10012054472

Credit default swaps and corporate bond trading

Czech, Robert - 2019

Persistent link: https://www.econbiz.de/10012202184

A quantitative analysis of risk premia in the corporate bond market

Cecchetti, Sara - In: Journal of risk and financial management : JRFM 13 (2020) 1/3, pp. 1-33

Measures of corporate credit risk incorporate compensation for unpredictable future changes in the credit environment and compensation for expected default losses. Since the launch of purchases of government securities and corporate securities by the European Central Bank, it has been discussed...

Persistent link: https://www.econbiz.de/10012173339