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Breakdown of covered interest parity : mystery or myth?

Wong, Alfred Y.; Zhang, Jiayue - 2017

Persistent link: https://www.econbiz.de/10012201638

General analysis of long-term interest rates

Biagini, Francesca; Gnoatto, Alessandro; Härtel, Maximilian - In: International journal of theoretical and applied finance 23 (2020) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10012270881

Pricing factors in multiple-term structures from interbank rates

Lafuente, Juan Angel; Petit, Nuria; Serrano, Pedro - In: Journal of international money and finance 91 (2019), pp. 138-159

Persistent link: https://www.econbiz.de/10012134492

Central bank swap lines

Bahaj, Saleem; Reis, Ricardo - 2018

Persistent link: https://www.econbiz.de/10012172457

Nibor, Libor and Euribor - all IBORs, but different

Kloster, Arne; Syrstad, Olav - 2019

This memo takes a closer look at what lays behind different benchmark interest rates. Particular emphasis is put on how the different practices for quotation can explain why Nibor's risk premium has on average been higher than the premiums in USD Libor and Euribor.

Persistent link: https://www.econbiz.de/10012114963

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

The dynamics of sovereign yields over swap rates in the Eurozone market

David-Pur, Lior; Galil, Koresh; Rosenboim, Mosi - In: International review of financial analysis 72 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012437221

A consistent stochastic model of the term structure of interest rates for multiple tenors

Alfeus, Mesias; Grasselli, Martino; Schlögl, Erik - In: Journal of economic dynamics & control 114 (2020), pp. 1-42

Persistent link: https://www.econbiz.de/10012502563

Transmission of Japanese government bond and swap markets under negative interest rate policy

Ito, Takayasu - In: International journal of economic policy in emerging … 13 (2020) 4, pp. 305-311

Persistent link: https://www.econbiz.de/10012507971

A measure of Turkey's sovereign and banking sector credit risk : asset swap spreads

Küçüksaraç, Doruk; Kazdal, Abdullah; İbrahim … - In: Central Bank review / Central Bank of the Republic of Turkey 21 (2021) 2, pp. 49-57

banking sector in international markets by calculating asset swap spread for US dollar-denominated fixed coupon eurobonds … and banking sector yield curves and then constructs a synthetic asset swap structure to obtain embedded credit risk premia … default swap premium. In addition to this, estimated eurobond curves are also useful for monitoring borrowing cost dynamics of …

Persistent link: https://www.econbiz.de/10012592021