This paper examines the dynamics of euro-denominated (EUR) long-term interest rate swap yields. It shows that the short …-term interest rate has an economically and statistically significant effect on EUR swap yields of different maturity tenors, after … dynamics of EUR swap yields. The estimated econometric models of EUR swap yields of different maturity tenors imply that the …

This paper econometrically models the dynamics of the Chilean interbank swap yields based on macroeconomic factors. It … examines whether the month-over-month change in the short-term interest rate has a decisive influence on the long-term swap … autoregressive conditional heteroskedasticity (GARCH) approach to model the dynamics of the long-term swap yield. The change in the …

. Using more than 1.5 million data points of individual bonds, instead of using index data, monthly asset swap spread (ASW …