comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing …

March 2006. We use (i) the swap yield curves augmented by OIS interest rates (OIS/Swap), and (ii) the JGB yield curve … for each factor between OIS/Swap and FBTB/JGB, and find that the former has a more dominant role of price discovery for …

We build a novel term structure model for pricing synthetic euro area core inflation-linked swaps, a hypothetical swap … contract indexed to core inflation. Our approach relies on a term structure model of traded headline inflation-linked swap … projections are typically only available monthly or quarterly. We find that core inflation-linked swap rates are generally less …