To investigate yield curve dynamics, researchers have employed a wide variety of models, including the famous Nelson-Siegel level, slope, and curvature factors, and principal components analysis, among others. In this paper, we decompose the term structure of HIBOR (Hong Kong Interbank Offered...

This study examines the determinants of New Taiwan Dollar interest rate swap (NTD IRS) spreads. Prior literature provides evidence that the term structure of interest rates, liquidity, and credit risk comprise the swap spreads. The term structure of interest rates includes the interest rate...