In this study, we forecast the term structure of EURIBOR swap rates by means of rolling vector autoregressive (VAR … statistically assess the forecasting performance for particular rates and the level, slope and curvature of the swap term structure …

We develop and test a model in which swap spreads are determined by end users’ demand for and constrained … intermediaries’ supply of long-term interest rate swaps. Swap spreads reflect compensation both for using scarce intermediary capital … Financial Crisis when swap spreads turned negative and that this variable predicts the excess returns on swap spread trades …

next to €STR, which means that corporates may continue to use term rates set in advance when they choose to swap U …

time passes, the market value of the swap position of counterparty may become positive or negative. In this paper, we … examine the market values and dynamic interest rate risks of existing swap positions using the one factor general equilibrium …

before realigning their portfolios. Specifically, three different regimes are identified: when the swap spread in the … previous week is either high or low, the Treasury bond market leads the swap market. However, when the swap spread is low, none … change in the swap spread, which in turn provides an economic insight into the rebalancing between swap and bond portfolios. …