This paper models the dynamics of Chinese yuan (CNY)-denominated long-term interest rate swap yields. The financial …-term interest rate exerts a decisive influence on the long-term swap yield after controlling for various macrofinancial variables … of the long-term swap yield. The empirical findings show that the People's Bank of China's influence extends even to the …

The effect of European Central Bank monetary policy upon EONIA swap spreads is investigated with GARCH-Jump models. I … between main refinancing operations increase the likelihood of jumps in the swap term structure and in the size of the jumps …

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, after controlling for various macroeconomic and financial variables, such as … in EUR swap yields and their volatility. The results of the estimated models of EUR swap yields of different maturity …

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 …

US longterm swap yields by econometrically modeling its dynamics using an autoregressive distributed lag (ARDL) approach … bill rate on the monthly changes in swap yields of different maturity tenors after controlling for a host of macroeconomic …