Amatatsu, Yasuaki; Baba, Naohiko - Bank of Japan - 2007
This paper investigates the relative role of price discovery between two long-term swap contracts that exchange between … the U.S. dollar and the Japanese yen: cross-currency basis swap and FX (foreign exchange) swap. First, we show that these …, regardless of model specifications. (ii) The currency swap market plays a much more dominant role in price discovery than the FX …